This paper investigates the joint determination of two dimensions of a security: trading volume and return. In much of the existing literature, volume is modeled as being exogenously related to security returns. Our analysis evaluates the extent to which trading activity also depends on security...

Hundreds of papers and hundreds of factors attempt to explain the cross-section of expected returns. Given this extensive data mining, it does not make any economic or statistical sense to use the usual significance criteria for a newly discovered factor, e.g., a t-ratio greater than 2.0....

There is growing interest in the use of subjective well-being data, such as survey questions about happiness and life satisfaction. The existing validation tests determine whether these subjective measures have a positive correlation with objective measures of well-being, such as suicide rates...

The primary focus of this research is to study the impact of Foreign Exchange Reserve changes on key economic indicators, namely Inflation and the Exchange Rate of Bangladesh. In addition, the article seeks to illustrate the effects of recent theft from Bangladesh Bank's reserve on Bangladeshi...

Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR, TARCH, NARCH, APARCH, EGARCH) to analyze quarterly time...

We examine, with the tools of economics, a fundamental tenet of some of the most recent theoretical work in sociology, which we refer to as the Postmodernist Critique : preferences are socially constructed, firms exploit their monopoly power through advertising in order to create new (false)...

This paper uses monthly data from April 2005 to August 2013 for Taiwan to propose a novel tourism indicator, namely the Tourism Conditions Index (TCI). TCI accounts for the spillover weights based on the Granger causality test and estimates of the multivariate BEKK model for four TCI indicators...

This paper develops a specification of the credit scoring model with high discriminatory power to analyze data on loans at the retail banking market. Parametric and non- parametric approaches are employed to produce three models using logistic regression (parametric) and one model using...

This study applies a new method of decomposing total redistributive effect of taxation proposed by Duclos et al. (2003) to assess the redistributive effects of direct healthcare financing in Nigeria. This new framework makes it possible not only to introduce into the conventional Gini Index...

Purpose The purpose of this paper is to contribute to the teaching of undergraduate macroeconomics. Design/methodology/approach To suggest a roadmap, based on a consumption function, to be used by instructors willing to teach the Lucas Critique subject. Findings Therefore, this paper proposes a...