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Stock market integration of emerging Asian economies: Patterns and causes

Narayan, S.; Sriananthakumar, S.; Islam, S.Z. - In: Economic Modelling 39 (2014) C, pp. 19-31

integration for countries on a daily, weekly, or monthly basis using the time-varying correlation technique, namely, GARCH …

Persistent link: https://www.econbiz.de/10010781965

Modelling stock return volatility dynamics in selected African markets

King, Daniel; Botha, Ferdi - In: Economic Modelling 45 (2015) C, pp. 50-73

single-state (G)ARCH models, within and across selected African markets for the period 2002–2012. In the univariate portion … portfolios. Accounting for structural breaks in the conditional variance process, conventional GARCH effects remain important in … capturing heteroscedasticity. However, those univariate models including a GARCH term perform comparatively poorly when used for …

Persistent link: https://www.econbiz.de/10011190219

Global and regional volatility spillovers to GCC stock markets

Alotaibi, Abdullah R.; Mishra, Anil V. - In: Economic Modelling 45 (2015) C, pp. 38-49

markets (Bahrain, Oman, Kuwait, Qatar, United Arab Emirates). The paper develops various bivariate GARCH models for regional …

Persistent link: https://www.econbiz.de/10011190234

Panel versus GARCH information in unit root testing with an application to financial markets

Westerlund, Joakim; Narayan, Paresh - In: Economic Modelling 41 (2014) C, pp. 173-176

contained in the GARCH of the innovations. However, while promising, tests with GARCH are difficult to implement, which has made … them quite uncommon in the empirical literature. A computationally attractive alternative is to account not for GARCH but …

Persistent link: https://www.econbiz.de/10010933312

Modeling volatility and conditional correlations between socially responsible investments, gold and oil

Sadorsky, Perry - In: Economic Modelling 38 (2014) C, pp. 609-618

investing. In this paper, multivariate GARCH models are used to model volatilities and conditional correlations between a stock …

Persistent link: https://www.econbiz.de/10010753356

Foreign exchange risk in a managed float regime: A case study of Pakistani rupee

Mudakkar, Syeda Rabab; Uppal, Jamshed Y.; Zaman, Khalid; … - In: Economic Modelling 35 (2013) C, pp. 409-417

The study examines applicability and performance of Value-at-Risk (VaR) models with respect to foreign exchange risk assessment within a managed float regime. Pakistani rupee offers an instructive case as it seems to manage its currency mainly against the US dollar, but to a lesser extent...

Persistent link: https://www.econbiz.de/10010719405

Shifting Armington trade preferences: A re-examination of the Mercosur–EU negotiations

Philippidis, G.; Resano, H.; Sanjuán, A.I. - In: Economic Modelling 40 (2014) C, pp. 21-32

This paper examines the ‘small share’ problem inherent within the constant elasticity of substitution Armington specification. As a de facto research tool in the quantitative trade literature, this structural bias plagues the results of numerous multi-region CGE studies. Kuiper and van...

Persistent link: https://www.econbiz.de/10011048796

Sensitive products in the Doha negotiations: The case of European and Japanese market access

Gouel, Christophe; Mitaritonna, Cristina; Ramos, Maria … - In: Economic Modelling 28 (2011) 6, pp. 2395-2403

Given the highly concentrated distribution of agricultural protection, allowing in the negotiations too many exceptions through sensitive products puts at risk the objectives of World Trade Organization. This issue is difficult to analyze with the commonly used applied trade models, because they...

Persistent link: https://www.econbiz.de/10011048946

Short- and long-term impact of remarkable economic events on the growth causes of China–Germany trade in agri-food products

Guo, Zhichao; Feng, Yuanhua; Tan, Xiangyong - In: Economic Modelling 28 (2011) 6, pp. 2359-2368

This paper focuses on a systematic quantitative discussion of the short- and long-term impact of remarkable economic events on international trade in a two-stage framework. Firstly, procedures based on dummy variables are proposed to detect structural breaks, types and sizes of jumps caused by...

Persistent link: https://www.econbiz.de/10010577072

Model structure or data aggregation level: Which leads to greater bias of results?

Brockmeier, Martina; Bektasoglu, Beyhan - In: Economic Modelling 38 (2014) C, pp. 238-245

The aim of this paper is to provide a first step toward a systematic sensitivity analysis of a system of linked models. We focus on two fundamental characteristics: the model structure and the data aggregation level. Employing the Global Trade Analysis Project (GTAP) framework, we combine the...

Persistent link: https://www.econbiz.de/10010753323