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Non-parametric statistic for testing cumulative abnormal stock returns

Pynnönen, Seppo - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-13

Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are replaced by cumulated ranks. This paper proposes...

Persistent link: https://www.econbiz.de/10013168738

A silent revolution : how central bank statistics have changed in the last 25 years

De Bonis, Riccardo; Piazza, Matteo - In: PSL quarterly review 74 (2021) 299, pp. 347-371

This work provides a comprehensive overview of the giant leap made by European central bank statistics over the last … quarter century. We illustrate, first, the work that led to a brand-new set of central bank statistics for the implementation … at challenges lying ahead for official statistics, namely, how to deal with digitalization and globalization, and how to …

Persistent link: https://www.econbiz.de/10013175146

Indirect inference : which moments to match?

Frazier, David T.; Renault, Eric - In: Econometrics : open access journal 7 (2019) 1/14, pp. 1-17

The standard approach to indirect inference estimation considers that the auxiliary parameters, which carry the identifying information about the structural parameters of interest, are obtained from some recently identified vector of estimating equations. In contrast to this standard...

Persistent link: https://www.econbiz.de/10012025566

Spatial variations of Greek manufacturing employment growth : the effects of specialization and international trade

Fotopoulos, Georgios; Kallioras, Dimitris; Petrakos, … - In: Papers in regional science : the journal of the … 89 (2010) 1, pp. 109-133

Persistent link: https://www.econbiz.de/10003961500

Comparing and selecting performance measures using rank correlations

Caporin, Massimiliano; Lisi, Francesco - 2011

The financial economics literature proposes dozens of performance measures to be used, for instance, to compare, analyse, rank and select assets. There is thus a problem: which measures should be considered? We extend the current literature by comparing a large set of performance measures over...

Persistent link: https://www.econbiz.de/10009238661

Price transmission analysis in the Greek milk market

Reziti, Ioanna - In: Spoudai : journal of economics and business 64 (2014) 4, pp. 75-86

This paper examines the farm-retail price transmission mechanism in the Greek milk market by using monthly data for the period from January 1998 to June 2014. Through this period, the dairy industry underwent significant changes, resulting in increasing concentration in the market for fresh...

Persistent link: https://www.econbiz.de/10011279845

Infrastructure and trade : a meta-analysis

Celbis, Guney; Nijkamp, Peter; Poot, Jacques - In: Region : the journal of ERSA 1 (2014) 1, pp. 25-62

Low levels of infrastructure quality and quantity can create trade impediments through increased transport costs. Since the late 1990s an increasing number of trade studies have taken infrastructure into account. The purpose of the present paper is to quantify the importance of infrastructure...

Persistent link: https://www.econbiz.de/10011303781

Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data

Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015

The article compares forecast quality from two atheoretical models. Neither method assumed a priori causality and forecasts were generated without additional assumptions about regressors. Tendency survey data was used within the Bayesian averaging of classical estimates (BACE) framework and...

Persistent link: https://www.econbiz.de/10011349021

A reconstruction of a medical history from administrative data : with an application to the cost of skin cancer

Rowell, David; Gordon, Louisa G.; Olsen, Catherine M.; … - In: Health economics review 5 (2015) 4, pp. 1-11

The medical record is a repository of clinical data, which can greatly enhance the quality of health and healthcare analysis. Administrative data are collected for the purpose of billing and reimbursement, and are valued by health researchers because the data are routinely audited to maintain...

Persistent link: https://www.econbiz.de/10010530065

Macroeconomic forecasts in models with Bayesian averaging of classical estimates

Białowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - In: Contemporary economics 6 (2012) 1, pp. 60-69

The aim of this paper is to construct a forecasting model oriented on predicting basic macroeconomic variables, namely: the GDP growth rate, the unemployment rate, and the consumer price inflation. In order to select the set of the best regressors, Bayesian Averaging of Classical Estimators...

Persistent link: https://www.econbiz.de/10009767634

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