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Small Sample Properties of Certain Cointegration Test Statistics: A Monte Carlo Study

Dhrymes, Phoebus J.; Thomakos, Dimitrios D. - 1997

the Conformity test (CCT) for the existence and rank of cointegration, as given in Johansen (J) (1988), (1991), and the … CCT has very good power characteristics in detecting the rank of cointegration, but it exhibits some size distortions that …

Persistent link: https://www.econbiz.de/10009472581

Horizontal Price Transmission of the Finnish Meat Sector with Major EU Players

Liu, Xing - 2011

aim is to estimate the characteristics of the Finnish pork and beef markets inrelation to those of Germany and Denmark …. Our analysis uses symmetric and asymmetric thresholderror correction models. Both pork and beef prices in Finland are … found to have slowly cointegratedwith German prices, but the cointegration relationship of the two counties is only found to …

Persistent link: https://www.econbiz.de/10009442626

Structure of interdependencies among international stock markets and contagion patterns of 2008 global financial crisis

Ahmedov, Zafarbek; Bessler, David A. - 2011

In this study, we apply directed acyclic graphs and search algorithm designed for timeseries with non-Gaussian distribution to obtain causal structure of innovations from an errorcorrection model. The structure of interdependencies among six international stock markets isinvestigated. The...

Persistent link: https://www.econbiz.de/10009445191

Money-Income Relationships between Three ERM Countries

Choudhry, Taufiq - 2002

tests are conducted by means of the Johansen multivariate cointegration method and the error correction model. Among the ERM …

Persistent link: https://www.econbiz.de/10009445749

Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico

Zhong, Maosen; Darrat, Ali F.; Otero, Rafael - 2004

that also incorporates possible cointegration between the futures and spot markets. The evidence supports both hypotheses …

Persistent link: https://www.econbiz.de/10009448857

Parameter Estimation and Hypothesis Testing for the Truncated Normal Distribution with Applications to Introductory Statistics Grades

Hattaway, James T 1981- - 2010

The normal distribution is a commonly seen distribution in nature, education, and business. Data that are mounded or bell shaped are easily found across various fields of study. Although there is high utility with the normal distribution; often the full range can not be observed. The truncated...

Persistent link: https://www.econbiz.de/10009456970

Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility

Yu, Jung-Suk - 2006

There has been an on-going debate about choices of the most suitable model amongst avariety of model specifications and parameterizations. The first dissertation essay investigateswhether asymmetric leptokurtic return distributions such as Hansen’s (1994) skewed tdistributioncombined with...

Persistent link: https://www.econbiz.de/10009468629

Testing for threshold moving average with conditional heteroscedasticity

Li, G; Li, WK - 2008

The recent paper by Ling and Tong (2005) considered a quasi-likelihood ratio test for the threshold in moving average models with errors. This article generalizes their results to the case with GARCH errors, and a new quasi-likelihood ratio test is derived. The generalization is not direct since...

Persistent link: https://www.econbiz.de/10009471397

Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility

Yu, Jung-Suk - 2006

There has been an on-going debate about choices of the most suitable model amongst a variety of model specifications and parameterizations. The first dissertation essay investigates whether asymmetric leptokurtic return distributions such as Hansen's (1994) skewed tdistribution combined with...

Persistent link: https://www.econbiz.de/10009451062

Essays in applied demand and production analysis

Zereyesus, Yacob Abrehe - 2010

Doctor of Philosophy

Persistent link: https://www.econbiz.de/10009464001