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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 …

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

Estimating price sensitivity of economic agents using discontinuity in nonlinear contracts

Bajari, Patrick L.; Hong, Han; Park, Minjung; Town, … - In: Quantitative economics : QE ; journal of the … 8 (2017) 2, pp. 397-433

This paper proposes a method to estimate price sensitivity of economic agents exploiting discontinuity in nonlinear …

Persistent link: https://www.econbiz.de/10011801549

Who is responsible for asymmetric fuel price adjustments? : an application of the threshold cointegrated VAR model

Gosińska, Emilia; Leszkiewicz-Kędzior, Katarzyna; … - In: Baltic journal of economics 20 (2020) 1, pp. 59-73

The purpose of the paper is to test the hypothesis about asymmetric price transmission between the fuel markets. The … asymmetric price adjustments (especially in new EU member states) is the behaviour of petrol stations and not of oil companies …

Persistent link: https://www.econbiz.de/10012257595

BTC price volatility : fundamentals versus information

Gbadebo, Adedeji Daniel; Adekunle, Ahmed Oluwatobi; … - In: Cogent business & management 8 (2021) 1, pp. 1-21

This paper offers a plausible response to "what explains the sporadic volatility in the price of Bitcoin?" We … hypothesized that market "fundamentals" and "information demands" are key drivers of Bitcoin’s unpredictable price fluctuation. We … volatility of the price of Bitcoin responds to its transaction volume, cryptocurrency market capitalisation, world market equity …

Persistent link: https://www.econbiz.de/10012652883

Matching as a regression estimator : matching avoids making assumptions about the functional form of the regression equation, making analysis more reliable

Black, Dan A. - 2015

"Matching" is a statistical technique used to evaluate the effect of a treatment by comparing the treated and non-treated units in an observational study. Matching provides an alternative to older estimation methods, such as ordinary least squares (OLS), which involves strong assumptions that...

Persistent link: https://www.econbiz.de/10011433502

Bootstrap tests for overidentification in linear regression models

Davidson, Russell; MacKinnon, James G. - In: Econometrics : open access journal 3 (2015) 4, pp. 825-863

We study the finite-sample properties of tests for overidentifying restrictions in linear regression models with a single endogenous regressor and weak instruments. Under the assumption of Gaussian disturbances, we derive expressions for a variety of test statistics as functions of eight...

Persistent link: https://www.econbiz.de/10011411381

Building a structural model : parameterization and structurality

Mouchart, Michel; Orsi, Renzo - In: Econometrics : open access journal 4 (2016) 2, pp. 1-16

A specific concept of structural model is used as a background for discussing the structurality of its parameterization. Conditions for a structural model to be also causal are examined. Difficulties and pitfalls arising from the parameterization are analyzed. In particular, pitfalls when...

Persistent link: https://www.econbiz.de/10011506231

A comparative analysis of exchange rate volatility in the West African Monetary Zone

Onanuga, Abayomi Toyin; Onanuga, Olaronke Toyin - In: CBN journal of applied statistics 6 (2015) 2, pp. 161-185

This study employs measures of variability and three GARCH models to comparatively explore the behaviour of exchange rate volatility of the currencies in the West African Monetary Zone (WAMZ) for the period 1960M01-2011M12. The study selects a sub-sample period of 2000M1 to 2011M12 to...

Persistent link: https://www.econbiz.de/10011470693

Exchange rate volatility in Nigeria : consistency, persistency & severity analyses

Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49

The adoption of the International Monetary Fund (IMF) Structural Adjustment Programme (SAP) in 1986 resulted in the transition from fixed exchange rate regime to floating exchange rate regime in Nigeria. Ever since, the exchange rate of naira vis-à-vis the U.S dollar has attained varying rates...

Persistent link: https://www.econbiz.de/10011477452

Contagion pattern identification through minimum spanning trees during the Asian financial crisis

Marica, Vasile-George - In: Financial studies 23 (2019) 2, pp. 76-96

Complexity in financial markets is slowly overwhelming canonical statistical modelling. With global crises which stemming from contagion effects becoming more frequent, new tools for financial distress transmission c apture are needed. Graph theory , with its branch on minimum spanning trees can...

Persistent link: https://www.econbiz.de/10012037392

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