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This paper investigates the causal relations between stock return and volume based on quantile regressions. We first define Granger non-causality in all quantiles and propose testing non-causality by a sup-Wald test. Such a test is consistent against any deviation from non-causality in...
Persistent link: https://www.econbiz.de/10005006335
This paper investigates the causal relations between stock return and volume based on quantile regressions. We first define Granger non-causality in all quantiles and propose testing non-causality by a sup-Wald test. Such a test is consistent against any deviation from non-causality in...
Persistent link: https://www.econbiz.de/10008458467
We propose an encompassing test for non-nested linear quantile regression models and show that it has an asymptotic [chi]2 distribution. It is also shown that the proposed test is a regression rank score test in a comprehensive model under conditional homogeneity. Our simulation results indicate...
Persistent link: https://www.econbiz.de/10008551423
This paper devises a methodology to compare the accuracy of prediction markets and polls. The data of the Exchange of Future Events (xFuture) for Taiwan’s 2006 mayoral elections and 2008 presidential election show that the prediction markets outperform the opinion polls in various indices of...
Persistent link: https://www.econbiz.de/10010798258
This paper explores the long-run and causality relationship between the exchange rate and macroeconomic fundamentals in G-7 countries, employing recently developed tests for the linear cointegration provided by Johansen (1988), the non-parametric cointegration method provided by Bierens (1997),...
Persistent link: https://www.econbiz.de/10008492963
This paper applies the dynamic panel quantile regression (DPQR) model under the autoregressive distributional lag (ARDL) specification, and examines the deficit–inflation relationship in 91 countries from 1960 to 2006. The DPQR model estimates the impact of deficits on inflation at various...
Persistent link: https://www.econbiz.de/10010594684
Persistent link: https://www.econbiz.de/10010597034
Persistent link: https://www.econbiz.de/10008925218
Persistent link: https://www.econbiz.de/10008775900
This study employed the CCR model of Data Envelopment Analysis (DEA) and the slack variable analysis to evaluate the operating efficiency of the domestic banks in Taiwan from 1998 to 2004. The operating efficiency of domestic banks was measured using interest expenses, fixed assets, deposits and...
Persistent link: https://www.econbiz.de/10010669369