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Situngkir, Hokky - EconWPA - 2004

This paper is intended to give some alternative positive suggestion on how to cope with the must of the cutting off the oil subsidy domestically. The problem that faced by the government is that the compensation fund will hardly enjoyed by the poor, and moreover it is hard to watch out the whole...

Persistent link: https://www.econbiz.de/10005412627

The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications

Korenok, Oleg; Radchenko, Stanislav - EconWPA - 2005

stochastic volatility (STARTZ-SV) or as Student-t with GARCH volatility (STARTZ-TGARCH). Using the dynamics of Norwegian krone … zone model. Our estimates of conditional volatility and marginal distribution reject the target zone hypothesis. …

Persistent link: https://www.econbiz.de/10005119119

The Long-Run Forecasting of Energy Prices Using the Model of Shifting Trend

Radchenko, Stanislav - EconWPA - 2005

This paper constructs long-term forecasts of energy prices using a reduced form model of shifting trend developed by Pindyck (1999). A Gibbs sampling algorithm is developed to estimate models with a shifting trend line which are used to construct 10-period-ahead and 15-period ahead forecasts. An...

Persistent link: https://www.econbiz.de/10005119203

Do efficient banking sectors accelerate economic growth in transition countries?

Koivu, Tuuli - EconWPA - 2002

The relationship between financial sector and economic growth in transition countries has been largely ignored in the earlier empirical literature. In this paper, we analyse the finance-growth nexus using a fixed-effects panel model and unbalanced panel data from 25 transition countries during...

Persistent link: https://www.econbiz.de/10005561315

The Misallocation of Resources of Anticipated Inflation

Frenkel, Michael; Mehrez, Gil - EconWPA - 1997

This paper analyzes the effects of anticipated inflation on the resource allocations between production and financial services. We develop a model with heterogeneous workers and two sectors economy. A manufacturing sector producing a final composite good and a financial sector providing monetary...

Persistent link: https://www.econbiz.de/10005126418

Do Chinese stock markets share common information arrival processes?

Kostov, Philip; Wu, Ziping; McErlean, Seamus - EconWPA - 2004

According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a …) volatility and trading volume changes in different financial markets. An implication is that returns volatility in one stock … market should show positive and contemporaneous correlation with returns volatility in another stock market. This paper tests …

Persistent link: https://www.econbiz.de/10005407887

Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?

Starica, Catalin - EconWPA - 2004

-parametric regression approach to next-day volatility forecasting. A second finding is that the GARCH(1,1) model severely over-estimated the … unconditional variance leads to poor volatility forecasts during the period under discussion with the MSE of GARCH(1,1) 1-year ahead … volatility more than 4 times bigger than the MSE of a forecast based on historical volatility. We test and reject the hypothesis …

Persistent link: https://www.econbiz.de/10005407908

Statistical properties of volatility in fractal dimension and probability distribution among six stock markets - USA, Japan, Taiwan, South Korea, Singapore, and Hong Kong

YU, Hai-Chin; Huang, Ming-Chang - EconWPA - 2003

This study examines the statistical properties of volatility. Fractal dimension, probability distribution and two …-point volatility correlation are used to measure and compare volatility among six different markets for the 12-year period from Jan. 1 … different in their resistance to volatility : Tokyo has a higher ability to dissipate volatility. This phenomenon implies that …

Persistent link: https://www.econbiz.de/10005407911

CONDITIONAL VOLATILITY OF MOST ACTIVE SHARES OF CASABLANCA STOCK EXCHANGE

Bouhadi, Abdelhamid El - EconWPA - 2003

Volatility plays an important role in the explanation of prices of securities and their derivatives as well as risk … problem of volatility should not be underestimated for the causes of lack of the making in the order book. The introduction of … not seem even so important. We test in this paper the conditional volatility of a certain number of securities considered …

Persistent link: https://www.econbiz.de/10005413037

Time-Varying Arrival Rates of Informed and Uninformed Trades

Easley, David; Engle, Robert F.; O'Hara, Maureen; Wu, Liuren - EconWPA - 2002

the arrival rates of trades and trade composition on market volatility, liquidity and depth. We find that although … volatility increases with the forecasted arrival rates of total trades, it is relatively independent of the forecasted …

Persistent link: https://www.econbiz.de/10005413104