Explanations of the persistent deficit in U.S. net exports of goods rest on macroeconomic developments and an asymmetry in elasticities: the income elasticity for imports being larger than the income elasticity for exports. Such macroeconomic developments are not applicable to the equally...

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...

In this paper, we consider a family of recently-proposed measurement invariance tests that are based on the scores of a fitted model. This family can be used to test for measurement invariance w.r.t. a continuous auxiliary variable, without pre-specification of subgroups. Moreover, the family...

The exchange rate between the Naira and other currencies has continued to witness variability with depreciation. This variability makes it difficult to predict returns. Against this background, this paper examines the naira exchange rate vis-a-vis four other currencies. The impact of exogenous...

The major purpose of this research exercise is to assess the volatility dynamics of the stock returns of the banks of India and to determine the factor which influence and explains the stock returns. For this the two important methodologies are applied, for understanding the sensitivity of stock...

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

We estimate the process underlying the pricing of American options by using higher-order lattices combined with a multigrid method. This paper also tests whether the risk-neutral densities given from American options provide a good forecasting tool. We use a nonparametric test of the densities...

We use a 3-factor Regime Switching Threshold model to study common factors in the excess returns of 18 European corporate bond indices during 2000-2014. Our results document significant time variation of the common factors across bond indices for different maturities, ratings and industries. The...