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Modeling and Forecasting Volatility of the Malaysian and the Singaporean stock indices using Asymmetric GARCH models and Non-normal Densities

Shamiri, Ahmed; Hassan, Abu - EconWPA - 2005

This paper examines and estimate the three GARCH(1,1) models (GARCH, EGARCH and GJR-GARCH) using the daily price data. Two Asian stock indices KLCI and STI are studied using daily data over a 14-years period. The competing Models include GARCH, EGARCH and GJR-GARCH used with three different...

Persistent link: https://www.econbiz.de/10005408004

ASYMMETRY, PERSISTENCE AND NON-LINEARITY OF SPANISH UNEMPLOYMENT RATES

Garcia, Jose Maria Casado; Bielsa, Javier Trivez - EconWPA - 2004

The asymmetry or counter-cyclical nature and its influence on the persistence of the number of registered unemployed is …

Persistent link: https://www.econbiz.de/10005119367

Asymmetries in the Euro area economy

Mayes, David G.; Virén, Matti - EconWPA - 2004

Using quarterly data for the period since 1987 this paper explores, in the context of a small model of the EU economy, the degree to which monetary policy has been asymmetric. It shows in particular that monetary policy has been much more responsive to threats that inflation would lie outside...

Persistent link: https://www.econbiz.de/10005126468

The dynamics of capital structure in transition economies

Nivorozhkin, Eugene - EconWPA - 2003

’ target financial leverage and the speed of adjustment to it in two transition economies, the Czech Republic and Bulgaria. We … explicitly model the adjustment of companies’ leverage to a target leverage, and this target leverage is itself explained by a … under investigation. Bulgarian companies adjusted much faster to the target leverage than Czech firms. The speed of …

Persistent link: https://www.econbiz.de/10005412747

Debt-Deflation: Concepts, and a Stylised Model

Peter, Goetz von - EconWPA - 2005

This paper proposes a model of how agents adjust their asset holdings in response to losses in general equilibrium. By emphasising the relation between deflation and financial distress, we capture some original features of the early debt-deflation literature, such as distress selling,...

Persistent link: https://www.econbiz.de/10005126279

Optimal Convergence Trading

KArgin, Vladislav - EconWPA - 2004

This article examines arbitrage investment in a mispriced asset when the mispricing follows the Ornstein-Uhlenbeck process and a credit- constrained investor maximizes a generalization of the Kelly criterion. The optimal differentiable and threshold policies are derived. The optimal...

Persistent link: https://www.econbiz.de/10005134713