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A Time-Series Analysis of the Shanghai and New York Stock Price Indices

Chow, Gregory C. - EconWPA - 2003

volatility in the other market negatively. This spurious correlation is explained by the negative correlations of macroeconomic … and volatility of the Shanghai market were higher. The rates of returns in the two markets were approximately serially … uncorrelated and mutually uncorrelated. Volatility, as measured by the absolute change in the rate of return, has positive serially …

Persistent link: https://www.econbiz.de/10005556546

Financial Dollarization and the Size of the Fear

Castro, Juan F.; Morón, Eduardo - EconWPA - 2005

determinants of the relative volatility of inflation vis-à-vis real depreciation. This analysis contributes in the identification … show this ingredient can end up altering the perceived relative volatility of peso and dollar assets in a way that fuels …

Persistent link: https://www.econbiz.de/10005412746

Dynamic Conditional Correlation with Elliptical Distributions

Pelagatti, Matteo M.; Rondena, Stefania - EconWPA - 2005

The Dynamic Conditional Correlation model of Engle has made the estimation of multivariate GARCH models feasible for …

Persistent link: https://www.econbiz.de/10005119196

International Asset Pricing and World Market Integration : Evidence from a Partially Integrated ICAPM with Asymmetric Effects.

Hedi, Arouri Mohamed El - EconWPA - 2004

This paper tests a partially Segmented ICAPM using an asymmetric multivariate GARCH specification for two developed markets, two emerging markets and World market. We find that this asymmetric process provides a significantly better fit of the data than a standard symmetric process. The evidence...

Persistent link: https://www.econbiz.de/10005119439

An Analysis of Hedge Fund Performance

Capocci, Daniel - EconWPA - 2002

Using one of the greatest hedge fund database ever used (2796 hedge funds including 801 dissolved), we investigate hedge funds performance using various asset-pricing models, including an extension form of Carhart's (1997) model combined with Fama & French (1998) Agarwal & Naik (2000) models and...

Persistent link: https://www.econbiz.de/10005134782

Does Telecommuting Reduce Vehicle-miles Traveled? An Aggregate Time Series Analysis for the U. S.

Choo, Sangho; Mokhtarian, Patricia L.; Salomon, Ilan - EconWPA - 2005

This study examines the impact of telecommuting on passenger vehicle- miles traveled (VMT) through a multivariate time series analysis of aggregate nationwide data spanning 1966-1999 for all variables except telecommuting, and 1988-1998 for telecommuting. The analysis was conducted in two...

Persistent link: https://www.econbiz.de/10005407928

Cross Border Business Cycle (Impacts on Commercial Electricity Demand

Jr, Thomas M Fullerton - EconWPA - 2004

Border region electric utility service loads are impacted by national, regional, and international business cycles. To examine whether the cross-border components of these interactions can be reliably assessed, transfer ARIMA models are estimated for three business rate categories in El Paso,...

Persistent link: https://www.econbiz.de/10005062498

The P* model as a general identity to analyze and forecast the behavior of the inflation rate in the economy of Puerto Rico

Ramos, Carlos A. Rodríguez - EconWPA - 2003

In this work the P* model is used to analyze and forecast the inflation rate in the economy of Puerto Rico. This model is based on two essential points: the first one is to identify the inflationary potential of an economic system through the estimation of the price level to which the inflation...

Persistent link: https://www.econbiz.de/10005556397

Price Flexibility in Channels of Distribution: Evidence from Scanner Data

Dutta, Shantanu; Bergen, Mark; Levy, Daniel - EconWPA - 2004

In this study, we empirically examine the extent of price rigidity using a unique store-level time series data set - consisting of (i) actual retail transaction prices, (ii) actual wholesale transaction prices which represent both the retailers' costs and the prices received by manufacturers,...

Persistent link: https://www.econbiz.de/10005561335

Currency Movements and International Border Crossings

Jr, Thomas M Fullerton - EconWPA - 2004

Similar to merchandise trade flows, commuter traffic between international metropolitan areas respond to changes in exchange rates. This paper examines the impact of currency variations on monthly frequency cross border commuter flows between El Paso, Texas and Ciudad Juarez, Mexico. The sample...

Persistent link: https://www.econbiz.de/10005119020