This paper uses a panel threshold regression (PTR) model to investigate the influence that energy prices have on renewable energy development under different economic growth rate regimes. The empirical data are obtained from each of the OECD member-countries over the period from 1997 to 2006. We...

This investigation proposes a composite Simpson's rule, a numerical integral method, for estimating quantiles on the skewed generalized error distribution (SGED). Daily spot prices of S&P500 and Dow-Jones stock indices are used as data to examine the one-day-ahead VaR (Value at Risk) forecasting...

This article employs a bivariate poisson jump model to investigate the relationship between the volatility of crude oil and gasoline especially during the period of the Gulf War. We find that greater jumps occurring in crude oil returns will appear in gasoline returns at the same time, but the...

Two-stage methodology is developed to verify how the unanticipated asymmetry variations affect the stock returns. A GARCH model is investigated on residuals from a CIP identification followed by an ARJI model examination of the stock return. Consequently, a negative exogenous change can result...

This study blends the simplicity and empirical success of univariate GARCH processes with an easy to estimate and interpret dynamic correlation estimator. A two step estimator and a simple test are employed to verify the null of constant correlation against an alternative of dynamic conditional...