An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...

Recent academic studies have shown that since the mid-nineties, the passthrough of exogenous oil shocks into headline inflation has been increasing while the passthrough into core inflation seems to have ceased. This paper explores the implications in term of commodity allocation for inflation...

Electricity spot prices are characterized by sudden large movements, followed a few days later by an equally large movement in the opposite direction. These phenomena are called spikes (upward movements) and drops (downward movements). Recent research has suggested that the dynamics of the...

In this paper, we develop a new model that explicitly considers two endogenous consumption items and investigates its applicability to consumption-capital asset pricing model (C-CAPM) by testing it with various sets of instruments. We found that our model is not rejected with reasonable values...

This paper proposes nonparametric consistent tests of conditional stochastic dominance of arbitrary order in a dynamic setting. The novelty of these tests lies in the nonparametric manner of incorporating the information set into the test. The test allows for general forms of unknown serial and...

A new method for detecting low dimensional chaos in small sample sets is presented. The method is applied to financial data on low frequency (annual and monthly) for which few observations are available.

Various trading rules involving derivatives have been widely applied by practitioners under a wide range of market conditions to date, however, few econometric models can provide a way to accurately decide when to apply those strategies. In this paper, we employ the Innovation Regime-Switching...

We estimate in this paper a non probabilistic Markovien model of stocks prices with an evolutionary selection of heterogeneous strategies. We chose to proceed by estimation relating on 27 companies from the CAC 40 and the composite index corresponding to these 27 companies to avoid the risk of...

Based on the well-established trade relations between the U.S. and its major trading partners, this paper examines the robustness of the trade relation hypothesis which, in some recent studies, argues that difference in trade relations among countries can significantly explain difference in the...

This paper investigates the performances of GMM estimates using kernel methods with and without prewhitening and the VARHAC method in a representative agent exchange economy. A Monte Carlo study is conducted to evaluate the issues of estimating the spectral density functions, e.g., parametric...