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Managing Funds in the US Market: How to Distinguish Between Transitory Distortions and Structural Changes in the Stock Prices?

Bruneau, C.; Duval-Kieffer, C.; Nicolai, J.P. - Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. - 1997

In this paper, we estimate a reliable fundamental value of the S&P index, standing for a long run target value in Error-Correcting Modelling of the dynamics of the subsequnet returns. The present Value Model suggests two fundamentals: the dividends and a discount rate factor, specified as a...

Persistent link: https://www.econbiz.de/10005660679

On the Robustness of Cointegration Tests when Series Are Fractionally Integrated.

Lee, T.H.; Gonzalo, J. - A. Gary Anderson Graduate School of Management, … - 1995

Persistent link: https://www.econbiz.de/10005660840

Prior, Posterios and Bayes Factors for Bayesian Analysis of Cointegration.

Paap, R.; Kleibergen, F. - Econometrisch Instituut, Faculteit der Economische … - 1998

Cointegration occurs when the long run multiplier of a vector autoregressive model exhibits rank reduction. Priors and … posteriors of the parameters of the cointegration model are therefore proportional to priors and posteriors of the long run … product of the adjustment parameters and the cointegrating vectors, i.e. the cointegration specification, and a matrix that …

Persistent link: https://www.econbiz.de/10005660887

A Cointegration Study of Aggregate Imports Using Likelihood Based Testing Principles.

Kleibergen, F.; Urbain, J.P.; Van Dijk, H.K. - Econometrisch Instituut, Faculteit der Economische … - 1994

Persistent link: https://www.econbiz.de/10005660909

Equality Restricted Random Variables: Densities and Sampling Algorithms

Kleibergen, F. - Econometrisch Instituut, Faculteit der Economische … - 1996

Many common statistical models can be specified as linear models with restrictions imposed on the parameters. A large amount of these models impose restrictions which do not allow for the analytical construction of the probability density function (pdf) of the parameters given the restrictions....

Persistent link: https://www.econbiz.de/10005660914

Macroeconomic Policy, External Targets and Constraints: The Case of Spain

Dolado, Juan J.; Viñals, José - C.E.P.R. Discussion Papers - 1991

This paper argues that in the presence of distortions and market imperfections it may be rational for governments to monitor short-run fluctuations of the external account in order to anticipate and therefore avoid difficulties, even though the true external constraint is binding only in the...

Persistent link: https://www.econbiz.de/10005661449

Ten Things We Should Know About Time Series

McAleer, M.J.; Oxley, L. - Erasmus University Rotterdam, Econometric Institute - 2010

Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...

Persistent link: https://www.econbiz.de/10008484072

Responses of Agricultural Prices, Industrial Prices and the Agricultural Terms of Trade to Money Supply Shocks in Bangladesh, 1973M1-2006M6

Hossain, Akhand Akhtar - In: Indian Economic Review 43 (2008) December, pp. 287-314

Johansen approach and the Autoregressive Distributed Lag bounds testing approach. The cointegration and error-correction tests …

Persistent link: https://www.econbiz.de/10008486895

Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs

Mayordomo, Sergio; Peña, Juan Ignacio; Romo, Juan - Departamento de Economía de la Empresa, Universidad … - 2009

to 2009, long-run (cointegration) and statistical arbitrage analysis are performed. Before the subprime crisis, we find …

Persistent link: https://www.econbiz.de/10008486969

An International Comparison Of Long-Run Consumer Behaviour

Stewart, Chris - In: European Research Studies Journal VI (2003) 1-2, pp. 145-168

Using the Johansen procedure I test for cointegration between consumption, private disposable income and inflation for … 20 OECD countries over the period 1955-1994. There is evidence of cointegration for all countries. Plausible long …

Persistent link: https://www.econbiz.de/10008487481