Stationarity tests exhibit extreme size distortions if the observable process is stationary yet highly persistent. In this paper we provide a theoretical explanation for the size distortion of the KPSS test for DGPs with a broad range of first order autocorrelation coefficient. Considering a...

Using adequate composite indicators, indeed together with other specific models, to analyse high frequency time series and to obtain sort-term forecasts can improve information for business environment, in modern era characterised by an accelerate process of changing. In our study we tried to...

We propose a new test for a multivariate parametric conditional distribution of a vector of variables yt given a conditional vector xt. The proposed test is shown to have an asymptotic normal distribution under the null hypothesis, while being consistent for all fixed alternatives, and having...

This is a study to investigate the exchange rate volatility and it impacts on international trade growth: evidence from Bangladesh. To establish the empirical relationship between exchange rate volatility and impact on international trade growth in Bangladesh, different quantitative techniques...

We analyze the asymptotic distributions associated with the seasonal unit root tests of the Hylleberg et al. (1990) procedure for quarterly data when the innovations follow a moving average process. Although both the t- and F-type tests suffer from scale and shift effects compared with the...

This paper examines weak form efficiency in the stock markets of India, Sri Lanka, Pakistan and Bangladesh; and the linkages between these four markets. The Augmented Dicky Fuller (ADF-1979), the Phillip-Perron (PP-1988), the Dicky-Fuller Generalized Least Square (DF-GLS 1996) and...

The goal of this paper is to empirically test for structural breaks of world mean temperatures that may have ignited at some date the phenomenon known as “Climate Change” or “Global Warming”. Estimation by means of the dynamic Generalized Method of Moments is conducted on a large dataset...

Asymmetric GARCH models were developped for equity stocks to take into account the larger response of the conditional variance to negative price shocks. We show that these asymmetric GARCH models are also relevant for modelling commodity prices. Contrary to the equity case, positive shocks are...

A recent contribution to the literature argues that the present international monetary system in many ways operates like the Bretton-Woods system. Asia is the new periphery of the system and pursues an export-led development strategy based on undervalued exchange rates and accumulated foreign...

The study of export performance, especially for countries with serious external imbalances, is essential for economic decision-making. This study attempts to evaluate Greek export performance during the 1996-2006 period, using detailed panel data on bilateral trade by product. Factors explaining...