Showing 1 - 10 of 166
The article "The Time Series Properties of the Real Exchange Rates Between the Member States of the European Monetary Union" analyses the time series behavior of the components of the real exchange rates between the founding member states of the EMU before and after the start of the EMU. Various...
Persistent link: https://www.econbiz.de/10014523488
Are financial markets efficient? One proposition that seems to contradict this is Shiller's finding of excess volatility in asset prices and its resulting rejection of the discounted cash flow model. This paper replicates Shiller's approach for a different data set and extends his analysis by...
Persistent link: https://www.econbiz.de/10010269960
This paper investigates the finite-sample properties of the smooth transition-based cointegration test proposed by Kapetanios et al. (2006) when the data generating process under the alternative hypothesis is a globally stationary second order LSTR model. The provided procedure describes an...
Persistent link: https://www.econbiz.de/10010332625
This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics. The principal contributions of the paper are a set of data files that contain estimated response surface...
Persistent link: https://www.econbiz.de/10011940577
We investigate the small-sample size and power properties of bootstrapped likelihood ratio systems cointegration tests via Monte Carlo simulations when the true lag order of the data generating process is unknown. A recursive bootstrap scheme is employed. We estimate the order by minimizing...
Persistent link: https://www.econbiz.de/10012143717
This paper introduces a representation of an integrated vectortime series in which the coefficient of multiple correlation computed fromthe long-run covariance matrix of the innovation sequences is a primitiveparameter of the model. Based on this representation, a notion of nearcointegration is...
Persistent link: https://www.econbiz.de/10010324535
The dynamics of online news and political outcomes have been of high interest in various research fields in recent years. This paper provides a new method to estimate media bias using a structural topic model and cosine similarity to test slanting toward different political actors. For the...
Persistent link: https://www.econbiz.de/10013461483
The global financial crisis and stiff market competition enhance risk exposures that raise debate on the cost of financial intermediation and the supremacy of banks' efficiency. This study examines the concurrent effects of bank risk, efficiency and cost of financial intermediation of...
Persistent link: https://www.econbiz.de/10014001383
I propose a generalized method of moments type procedure to estimate parametric binary choice models when the researcher only observes degenerate pure choices-based or presence-only data and has some information about the distribution of the covariates. This auxiliary information comes in the...
Persistent link: https://www.econbiz.de/10014278366
We use high-frequency data to examine the effects of introducing an additional night trading session of four hours at the Shanghai Futures Exchange for Copper and Aluminum futures in December 2013. This additional trading session is shown to cause a structural break in the intraday behavior of...
Persistent link: https://www.econbiz.de/10014284456