In this paper, we propose the use of wavelet covariance and correlation to detect spurious regression. Based on Monte Carlo simulation results and experiments with real exchange rate data, it is shown that the wavelet approach is able to detect spurious relationship in a bivariate time series...

With the development of globalization and regional economic integration, regional markets linked with a common currency emerge, in which investors from domestic market are allowed to trade in foreign markets. Empirical studies have evidenced extensively the existence of co-movement of asset...

Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a simple heterogeneous agent model of fundamentalists and...

Generalized with the regime-dependent beliefs and regime-switching dynamics, the simple market-maker framework established by Day and Huang (1990) is capable to model all types of crises, that is, sudden crisis, disturbing crisis and smooth crisis, and to offer economic and dynamic...

In a quantity-competition oligopoly, previous studies have shown that a price-taking firm can outperform any rival with identical technology that produces at a different output level at any intertemporal equilibrium. This research seeks to examine this seemingly counter-intuitive fact in a...

This paper proposes a wavelet-based approach to analyze spurious and cointegrated regressions in time series. The approach is based on the properties of the wavelet covariance and correlation in Monte Carlo studies of spurious and cointegrated regression. In the case of the spurious regression,...

The impact of information improvement on local stability is examined for continuous dynamics. It is conventionally believed that removal of uncertainty always brings additional stability to an existing equilibrium. This paper shows that the relation between information and equilibrium stability...

This study explores the short-run predictability of, and the risks facing investors in, Singapore's private housing market. We explicitly model a periodically collapsing rational speculative bubble within the present-value framework, and propose an unconventional approach as a first-step to...

We develop a stochastic differential game of capitalism to analyze the role of uncertainty. In the deterministic game, the firm's rent is completely taxed away and the firm stops investing completely. In the stochastic game, the government does not tax the firm's rent completely. The firm posts...

Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a simple heterogeneous agent model of fundamentalists and...