Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward consistently rising prices. Short-term forecasting would imply persistence of...

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41...

Although Bosnia and Herzegovina (BiH) has experienced rapid growth in credit to households in recent years, most individuals are still credit constrained. This paper analyzes the determinants of household credit demand and credit constraints in BiH. To our knowledge, it is the first study on...

The aim of this study is to investigate if there is a stable demand for money for Tonga. Our empirical results based on the alternative time series approaches of LSE-Hendry's General to Specific (GETS) and Johansen's Maximum Likelihood (JML) show that there is a unique cointegrated and stable...

We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis. Key economic variables are modeled jointly with principal components from a large time series panel of macroeconomic indicators using a multivariate unobserved components time...

We consider bridge regression models, which can produce a sparse or non-sparse model by controlling a tuning parameter in the penalty term. A crucial part of a model building strategy is the selection of the values for adjusted parameters, such as regularization and tuning parameters. Indeed,...

We propose here a robust extension of the bivariate Birnbaum–Saunders (BS) distribution derived recently by Kundu et al. (2010). This extension is based on scale mixtures of normal (SMN) distributions that are used for modeling symmetric data. This type of bivariate Birnbaum–Saunders...

In Taiwan, the hillside is about 70 % of total area. These areas also have steep topography and geological vulnerability. When an event of torrential rain comes during a typhoon, the landslide disasters usually occur at these areas due to the long duration and high intensity of rainfall....

In this article, we have estimated a neo-classical model of investment augmented with real rate of interest to proxy the user cost of capital for Bangladesh. Our results reveal that there is a equilibrium relationship between investment output ratio, real output and real rate of interest. The...