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Forecast Evaluation of Explanatory Models of Financial Variability

Sucarrat, Genaro - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-8, pp. 1-33

obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on … illustration provides an example of where an explanatory model outperforms realised volatility ex post. …

Persistent link: https://www.econbiz.de/10010332964

The information content in a volatility index for Spain

Gonzalez-Perez, Maria T.; Novales, Alfonso - In: SERIEs - Journal of the Spanish Economic Association 2 (2011) 2, pp. 185-216

A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish … display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common volatility indicators …, as an implied volatility indicator or a GARCH(1,1) conditional volatility model. This relationship is approximately …

Persistent link: https://www.econbiz.de/10010333080

Econometric Models for Oil Price Forecasting: A Critical Survey

Frey, Giliola; Manera, Matteo; Markandya, Anil; Scarpa, … - In: CESifo Forum 10 (2009) 1, pp. 29-44

Persistent link: https://www.econbiz.de/10011695921

Restatement of the I-O coefficient stability problem

Dobrescu, Emilian - In: Journal of Economic Structures 2 (2013), pp. 1-67

The capacity of input-output tables to reflect the structural peculiarities of an economy and to forecast, on this basis, its evolution, depends essentially on the characteristics of the matrix A matrix of I-O (or technical) coefficients. However, the temporal behaviour of these coefficients is...

Persistent link: https://www.econbiz.de/10011551997

Impact of democratic/non-democratic regimes on foreign direct investment in Pakistan: Pre and post September 11, 2001 scenarios

Nawaz, Tahir; Khan, Masood Amjad; Shah, Muhammad Akbar Ali - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 67-82

observed that the volatility shocks are quite persistent and take a long time to die out. September 11, 2001incident and … thereafter war on terror has increased the conditional volatility of foreign direct investment and has statistically significant … volatility. One interesting finding of this study is that the impact of Non-Democratic regime before September, 11 scenario is …

Persistent link: https://www.econbiz.de/10011938300

Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models

Theodossiou, Panayiotis; McDonald, James B.; Hansen, … - In: Economics: The Open-Access, Open-Assessment E-Journal 1 (2007) 2007-7, pp. 1-20

This paper provides a survey of three families of flexible parametric probability density functions (the skewed generalized t, the exponential generalized beta of the second kind, and the inverse hyperbolic sine distributions) which can be used in modeling a wide variety of econometric problems....

Persistent link: https://www.econbiz.de/10010295290

Power-Law and Log-Normal Distributions in Temporal Changes of Firm-Size Variables

Ishikawa, Atushi - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-11, pp. 1-25

In this paper the author shows that signed temporal changes of firm size variables follow the power-law for large changes; while, for middle changes a log-normal distribution is found. In the analyses, the author employed three databases: highincome data, high-sales data and positive-profits...

Persistent link: https://www.econbiz.de/10010298630

Distribution of Labour Productivity in Japan over the Period 1996-2006

Fujiwara, Yoshi; Iyetomi, Hiroshi; Ikeda, Yuichi; … - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-14, pp. 1-14

The distribution of labour productivity is investigated by analyzing the longitudinal micro-level data set which contains the detailed financial conditions of large numbers of Japanese companies over the period 1996-2006. The authors show that the distribution of labour productivity in both the...

Persistent link: https://www.econbiz.de/10010298633

A Dynamic Probabilistic Version of the Aoki-Yoshikawa Sectoral Productivity Model

Scalas, Enrico; Garibaldi, Ubaldo - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-15, pp. 1-10

In this paper, the authors explore a dynamical version of the Aoki and Yoshikawa model (AYM) for an economy driven by demand. They show that when an appropriate Markovian dynamics is taken into account, the AYM has different equilibrium distributions depending on the form of transition...

Persistent link: https://www.econbiz.de/10010298634

Superstatistics of Labour Productivity in Manufacturing and Nonmanufacturing Sectors

Ikeda, Yuichi; Fujiwara, Yoshi; Aoyama, Hideaki; … - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-22, pp. 1-17

Labour productivity distribution (dispersion) is studied within the framework of statistical physics and the result is compared with the outcome of the empirical analysis. Superstatistics is presented as a natural theoretical framework for the productivity distribution. The demand index ê is...

Persistent link: https://www.econbiz.de/10010298640

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