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The power of the “objective” Bayesian unit-root test

Ahking, Francis W. - In: The open economics journal 2 (2009), pp. 71-79

Some researchers, for example, Koop [1], and Sims [2], have advocated for Bayesian alternatives to unit-root testing over the classical approach using the augmented Dickey-Fuller test (ADF). This paper studies the power of what Koop [1] has called the Objectiveʺ Bayesian approach to unit-root...

Persistent link: https://www.econbiz.de/10010080118

Spurious rejections by Dickey-Fuller tests in the presence of an endogenously determined break under the null

Badillo Amador, Rosa; Belaire Franch, Jorge; Reverte … - In: Revista de métodos cuantitativos para la economía y … 9 (2010), pp. 3-16

Leybourne et al. (1998) have proved the possibility of a `converse Perron phenomenon' when conventional Dickey-Fuller tests are applied to deter-mine the order of integration of a time series. That is, if the true generating process is I(1) but with a break, frequent spurious rejections of the...

Persistent link: https://www.econbiz.de/10009957378

A time-varying parameter vector autoregression model for forecasting emerging market exchange rates

Kumar, Manish - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 21-39

In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...

Persistent link: https://www.econbiz.de/10009958060

Volatility shifts and persistence in variance : evidence from the sector indices of Istanbul Stock Exchange

Çağlı, Efe Çağlar; Mandacı, Pınar Evrim; … - In: International journal of economic sciences and applied … 4 (2011) 3, pp. 119-140

This study examines the impact of volatility shifts on volatility persistence for three major sector indices of … volatility shifts which are determined by using iterated cumulative sums of squares (ICSS) and modified ICSS algorithms such as … Kappa-1 (ê-1) and Kappa-2 (ê-2). The results indicate that the inclusion of volatility shifts in the model substantially …

Persistent link: https://www.econbiz.de/10009958079

Modeling stock market indexes with copula functions

Leśkow, Jacek; Mokrzycka, Justyna; Krawiec, Kamil - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 2, pp. 1-16

Contemporary financial risk management is significantly based on the analysis of time series of returns. One of the most significant errors frequently committed by analysts is the predominant use of normal distributions when it is clear that the returns are not normal. Copula models and models...

Persistent link: https://www.econbiz.de/10009959716

Global imbalances in current account balances

Bildirici, Melike; Kayıkçı, Fazil - In: Journal of applied finance & banking 2 (2012) 6, pp. 83-93

Persistent current account deficits were observed in some developing countries that are received substantial foreign capital in the last decades. This has raised the issue of sustainability and increased the volume of studies about the measures of sustainable current account deficits in the...

Persistent link: https://www.econbiz.de/10010118422

Seasonal adjustment versus seasonality modelling : effect on tourism demand forecasting

Gasmi, Amira - In: Advances in management & applied economics 3 (2013) 4, pp. 119-132

In this study, we treat the seasonal variation in monthly time series in the context of the Western-European tourism demand for Tunisia, by presenting different techniques of detection of seasonality and the parametric and non-parametric approaches of seasonal adjustment. Then, we compare the...

Persistent link: https://www.econbiz.de/10010148054

Structural breaks, parameter stability and energy demand modeling in Nigeria

Omisakin, Olusegun A.; Adeniyi, Oluwatosin A.; … - In: International journal of economic sciences and applied … 5 (2012) 2, pp. 129-144

This paper extends previous studies in modeling and estimating energy demand functions for both gasoline and kerosene petroleum products for Nigeria from 1977 to 2008. In contrast to earlier studies on Nigeria and other developing countries, this study specifically tests for the possibility of...

Persistent link: https://www.econbiz.de/10010039587

The New Keynesian Phillips Curve in an inflation targeting country : the case of Turkey

Gozgor, Giray - In: International journal of economic sciences and applied … 6 (2013) 1, pp. 7-18

targeting monetary policy. The results from Generalized Methods of Moments (GMM) estimation suggest that empirical findings are …

Persistent link: https://www.econbiz.de/10010160677

Seasonality in Southeast Asian stock markets : the Ramadan effect

Nai-chiek, Aik - In: The IUP journal of applied finance : IJAF 19 (2013) 3, pp. 75-92

Persistent link: https://www.econbiz.de/10010185424