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Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility

Yu, Jung-Suk - 2006

There has been an on-going debate about choices of the most suitable model amongst avariety of model specifications and parameterizations. The first dissertation essay investigateswhether asymmetric leptokurtic return distributions such as Hansen’s (1994) skewed tdistributioncombined with...

Persistent link: https://www.econbiz.de/10009468629

Economic theory and econometric methods in spatial market integration analysis

Araujo Enciso, Sergio René - 2012

The study of Spatial Market Integration (SMI) has been of great concern for agricultural economists, with the Takayama and Judge Price and Allocation Model (TJM), in which prices are bounded by the Spatial Equilibrium Condition (SEC), being the core economic theory. The SEC implies that no...

Persistent link: https://www.econbiz.de/10010235158

An econometric approach to measuring productivity: Australia as a case study

Agbenyegah, Benjamin K. - 2007

capital, foreign direct investment (FDI) and information and communication technology (ICT). The Johansen (1988) cointegration …

Persistent link: https://www.econbiz.de/10009434905

A small, macroeconometric model of the Australian economy : with an emphasis on modelling wages and prices

McHugh, Zoe D. - 2004

Traditional macroeconometric models of the Australian economy estimate the behaviour of wage and price inflation separately, thereby ignoring the possibility that there is a contemporaneous relationship between these two variables. This thesis follows a recent trend emerging in other small open...

Persistent link: https://www.econbiz.de/10009438087

Exploring the relationship between market values and accounting numbers of firms listed in an emerging market.

Suwardi, Eko - 2004

that cointegration and the accompanying equilibriumcorrection relationship between market and book values for firms listed …

Persistent link: https://www.econbiz.de/10009438234

Essays on the Upper Mississippi River and Illinois Waterway and U.S. grain market

Bessler, David A. (contributor); … - 2003

This dissertation examines several issues regarding the congestion on the UpperMississippi River and Illinois Waterway. Chapter II identifies and measures the impactof lock congestion on grain barge rates on these waterways. Results indicate grain bargerates on both rivers are not affected by...

Persistent link: https://www.econbiz.de/10009464800

Dynamics on real estate and emerging markets

Schätz, Alexander - 2009

While much attention has focused on the modelling of the interdependencies between key aggregates and stock indices in industrialised countries, this thesis is focused on investments in emerging markets and real estate two research branches that have up to now not been investigated to a...

Persistent link: https://www.econbiz.de/10009450173

ESSAYS IN CROSS-COUNTRY CONSUMPTION RISK SHARING

Qiao, Zhaogang - 2010

This dissertation concerns cross-country consumption risk sharing in a long-run perspective. Financial integration, empirically measured by cross-country holdings of assets and liabilities, has increased dramatically in the past two decades. But what can explain the lack of cross-country risk...

Persistent link: https://www.econbiz.de/10009450622

Economic Analysis of the North American Softwood Lumber Markets

Shahi, Chander Kamal - 2008

Canada and the US have been conducted. The economic analyses include: (i) testing cointegration of prices among North …

Persistent link: https://www.econbiz.de/10009455273

A study of cointegrating models with applications

Ssekuma, Rajab - 2011

This study estimates cointegration models by applying the Engle-Granger (1989) two-step es-timation procedure, the … Phillip-Ouliaris (1990) residual-based test and Johansen's multivariatetechnique. The cointegration techniques are tested on … Raotbl3 dataset, we test for cointegration between the consumption expenditure, and income and wealth vari-ables. In the …

Persistent link: https://www.econbiz.de/10009457718

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