Search Results - subject:"Data generating process"

Episodic non-linear behabiour of bilateral Malaysian ringgit-US Dollar spot rate

Lim, Kian-Ping; Azali, Mohamed - In: Journal of international economic review 6 (2013) 1, pp. 25-48

Persistent link: https://www.econbiz.de/10010223531

Government revenue forecasting in Nepal

Koirala, T. P. - In: NRB economic review 24 (2012) 2, pp. 47-60

Persistent link: https://www.econbiz.de/10009686781

Empirical Limits for Time Series Econometric Models

Phillips, Peter C.B.; Ploberger, Werner - Cowles Foundation for Research in Economics, Yale University - 1999

This paper seeks to characterize empirically achievable limits for time series econometric modeling. The approach involves the concept of minimal information loss in time series regression and the paper shows how to derive bounds that delimit the proximity of empirical measures to the true...

Persistent link: https://www.econbiz.de/10004990803

Rissanen's Theorem and Econometric Time Series

Ploberger, Werner; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1998

In a typical empirical modeling context, the data generating process (DGP) of a time series is assumed to be known up …

Persistent link: https://www.econbiz.de/10005464029

Statistical Inadequacy of GARCH Models for Asian Stock Markets

Lim, Kian-Ping; Hinich, Melvin J.; Liew, Venus Khim-Sen - In: Journal of Emerging Market Finance 4 (2005) 3, pp. 263-279

This study employs the Hinich portmanteau bicorrelation test (Hinich 1996; Hinich and Patterson 1995) as a diagnostic tool to determine the adequacy of Generalised Autoregressive Conditional Heteroscedasticity (GARCH) models for eight Asian stock markets. The bicorrelation test results demonstrate...

Persistent link: https://www.econbiz.de/10011137871

Stock market cycles and stock market development in Spain

Biscarri, Javier; Gracia, Fernando - In: Spanish Economic Review 6 (2004) 2, pp. 127-151

In this paper we use Spanish stock market data to identify the bull and bear phases of the market and to analyze its characteristics during the period 1941-2002. We compare these characteristics with those of the US and of two other European countries (Germany and the UK). Our sample is divided...

Persistent link: https://www.econbiz.de/10005598208

Non-stationarities in stock returns

Starica, Catalin; Granger, Clive - EconWPA - 2004

framework or to those based on a stationary Garch(1,1) data generating process. …

Persistent link: https://www.econbiz.de/10005119176

Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies: The Case of the Kuala Lumpur Stock Exchange

Lim, Kian-Ping; Liew, Venus Khim-Sen; Wong, Hock-Tsen - EconWPA - 2003

This study utilizes the windowed-test procedure of Hinich and Patterson (1995) to examine the data generating process … econometrics results indicate that linear and non-linear dependencies play a significant role in the underlying data generating … process. However, these dependencies are not stable as the results suggest that they are episodic and transient in nature …

Persistent link: https://www.econbiz.de/10005125068

GARCH Diagnosis with Portmanteau Bicorrelation Test: An Application on the Malaysia's Stock Market

Lim, K.P.; Hinich, M.J.; Liew, K.S. - EconWPA - 2003

This study employed the Hinich portmanteau bicorrelation test (Hinich and Patterson, 1995; Hinich, 1996) as a diagnostic tool to determine the adequacy of the GARCH model in describing the returns generating process of Malaysia’s stock market, specifically the Kuala Lumpur Stock Exchange Composite...

Persistent link: https://www.econbiz.de/10005134637

Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets

Lim, Kian-Ping; Azali, M.; Habibullah, M.S.; Liew, … - EconWPA - 2003

With abounding evidence of non-linearity in stock markets of developed markets, this study attempts to narrow the gap in the literature of Asian countries by providing further empirical evidence to the issue “are non-linear dynamics a universal occurrence?”. The results from the Hinich...

Persistent link: https://www.econbiz.de/10005134690