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into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …
Persistent link: https://www.econbiz.de/10009460735
volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …
Persistent link: https://www.econbiz.de/10009471738
The paper examined variety price premium attributes, spatial andtemporal pricing patterns of cowpeas in Ogun State Nigeria. Monthlyretail cowpea prices were collected over the period of January 1989 toDecember 1999, for peu (drum) and sokoto varieties. Four marketslocated in four zones were used...
Persistent link: https://www.econbiz.de/10009455385
The study focuses on tariff-linked (or commodity-linked) agreements entered into between a power utility and commodity producers. The main purpose of these types of agreements is to link electricity tariff payable by commodity producers to the price of the commodity produced thereby transferring...
Persistent link: https://www.econbiz.de/10009457811
What caused the mid-2000s world commodity price ?bubble? and the recent commodity price growth during the economic recovery after the 2007-2009 recession? The classical ?supply and demand? interpretation offered by some observers suggests that rapid global industrial growth over the past decade...
Persistent link: https://www.econbiz.de/10009484482
Persistent link: https://www.econbiz.de/10009434231
This paper proposes asymptotically optimal tests for unstable parameter process under the feasible circumstance that the researcher has little information about the unstable parameter process and the error distribution, and suggests conditions under which the knowledge of those processes does...
Persistent link: https://www.econbiz.de/10009430182
In this paper we examine several approaches to detecting changes in the adjustment coefficients in cointegrated VARs. We adopt recursive and rolling techniques as mis-specification tests for the detection of non-constancy and the estimation of the breakpoints. We find that inspection of the...
Persistent link: https://www.econbiz.de/10009440747
This paper considers savings, investment and economic growth for India using annual time series data for the period 1950/51 to 2003/04. The analysis uses Perron’s innovational outlier model to conduct unit root tests which endogenously determines a structural break. The empirical results show...
Persistent link: https://www.econbiz.de/10009457634
University of Minnesota Ph.D. dissertation. May 2010. Major: Agricultural and Applied Economics. Advisor: Donald J. Liu. 1 computer file (PDF); vi, 170 pages, appendices A-B.
Persistent link: https://www.econbiz.de/10009462952