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Seasonality on non-linear price effects in scanner-data based market-response models
Franses, Philip Hans; Fok, Fok, D. - Faculteit der Economische Wetenschappen, Erasmus … - 2005
Scanner data for fast moving consumer goods typically amount to panels of time series where both N and T are large. To reduce the number of parameters and to shrink parameters towards plausible and interpretable values, multi-level models turn out to be useful. Such models contain in the second...
Persistent link: https://www.econbiz.de/10010837954
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Trade fragmentation and volatility-of-volatility networks
Bastidon, Cécile; Jawadi, Fredj - In: Journal of international financial markets, … 91 (2024), pp. 1-22
Persistent link: https://www.econbiz.de/10014494806
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Seasonality on non-linear price effects in scanner-data based market-response models
Fok, D.; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2005
Scanner data for fast moving consumer goods typically amount to panels of time series where both N and T are large. To reduce the number of parameters and to shrink parameters towards plausible and interpretable values, multi-level models turn out to be useful. Such models contain in the second...
Persistent link: https://www.econbiz.de/10004991091
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Price Relationships in the U.S. Tree Nut Market
Ibrahim, Mohammed; Florkowski, Wojciech J. - Agricultural and Applied Economics Association - AAEA - 2007
cointegration procedure. We found long run equilibrium among some nut prices, namely, pecans, walnuts, and almonds. These findings …
Persistent link: https://www.econbiz.de/10005038914
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Social learning and higher order beliefs: A structural model of exchange rates dynamics
Pancotto, Francesca; Pignataro, Giuseppe; Raggi, Davide - 2015
publicly revealed does exert a disproportionate influence, and differences in the estimated signals determine the equilibrium …
Persistent link: https://www.econbiz.de/10011335955
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Exchange rate pass-through and inflation dynamics in Tunisia: A Markov-switching approach
Khemiri, Rim; Ali, Mohamed Sami Ben - In: Economics: The Open-Access, Open-Assessment E-Journal 7 (2013) 2013-43, pp. 1-30
This paper studies the effect of exchange rate pass-through on inflation in Tunisia for the period 2001 to 2009. The objective is to track inflation regimes for the Tunisian economy and to forecast its determinants. Using a Markov-switching approach, the authors identified two main regimes for...
Persistent link: https://www.econbiz.de/10010330077
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The scapegoat theory of exchange rates: the first tests
Fratzscher, Marcel; Sarno, Lucio; Zinna, Gabriele - 2012
This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at...
Persistent link: https://www.econbiz.de/10011605463
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Exchange rate predictability and dynamic Bayesian learning
Schüssler, Rainer; Beckmann, Joscha; Koop, Gary; … - 2018
This paper considers how an investor in foreign exchange markets might exploit predictive information in macroeconomic fundamentals by allowing for switching between multivariate time series regression models. These models are chosen to reflect a wide array of established empirical and...
Persistent link: https://www.econbiz.de/10011892028
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Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model
Bertram, Philip; Ma, Jun; Sibbertsen, Philipp - 2015
dynamics for real exchange rates. The Markov switching part captures the effect of time variations of the equilibrium exchange … rates, while the smooth transition part models the nonlinear adjustment to the equilibrium. We describe the model and the … an effort to make sense of the switching equilibrium rates, we relate relevant macroeconomic variables, such as output …
Persistent link: https://www.econbiz.de/10011439271
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Do goodwill impairments affect audit opinions? Evidence from China
He, Ziye; Chen, Dong; Tang, Jianxin - In: China Journal of Accounting Research 14 (2021) 2, pp. 151-182
There has been a steady growth of goodwill impairments in the Chinese stock market since the adoption of the impairment approach in accounting. The influence of goodwill impairments on a firm's financial position and profitability give reason to doubt its current and future performance. We...
Persistent link: https://www.econbiz.de/10012621062