This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...

This paper, using a combination of volatility models i.e. GARCH, TGARCH, and EGARCH, tries to explain the domestic and external factors, responsible for volatility in Pakistan’s sovereign bond yield-to-maturity of various bond tenors. The paper finds out that within domestic factors, apart...

In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...

In this paper we show that the MSCI ACWI Metals and Mining Index has the ability to predict base metal prices. We use both in-sample and out-of-sample exercises to conduct such examination. The theoretical underpinning of these results relies on the present-value model for stock-price...

In this study economic predictions of the various inputs are analyzed when the budget of the organization increases. Method of Lagrange multiplier is applied here to work with nonlinear budget constraint for the achievement of the profit maximization atmosphere. In the study 6×6 bordered...

This paper evaluates the impact of varying magnitudes of oil price shocks on the equity market returns in BRICS countries under diverse market conditions using quantile-on-quantile regression analysis. Uniquely, unlike previous studies, this paper differentiates between demand and supply oil...

This paper derives some exact power properties of tests for spatial autocorrelation in the context of a linear regression model. In particular, we characterize the circumstances in which the power vanishes as the autocorrelation increases, thus extending the work of Krämer (2005, Journal of...

We consider a family of proper random variables which converges to an improper random variable. The limit in distribution is found and applied to obtain a closed-form expression for the limiting power of the Cliff-Ord test for autocorrelation. The applications include the theory of...

This paper considers the estimation and inferential issues of threshold spatial autoregressive model, which is a hybrid of threshold model and spatial autoregressive model. We consider using the quasi maximum likelihood (QML) method to estimate the model. We prove the tightness and the...