Similar Search Results

Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk

Mishra, Santosh; Gonzalez-Rivera, Gloria; Lee, Tae-Hwy - Econometric Society - 2004

Decision theorists claim that an ordinal measure of risk may be sufficient for an agent to make a rational choice under uncertainty. We propose a measure of financial risk, namely the Varying Cross-sectional Risk (VCR), that is based on a ranking of returns. VCR is defined as the probability of...

Persistent link: https://www.econbiz.de/10005328940

Testing Weak Exogeneity in Cointegrated System

Chiying, Hsiao; Pu, Chen - Econometric Society - 2004

This paper develops a limiting theory for Wald tests of weak exogeneity in error correction models (ECMs). It is well known that Wald statistics on cointegrated systems may involve nonstandard distribution and nuisance parameters, if $I(1)$ variables are not negligible in the statistics. To...

Persistent link: https://www.econbiz.de/10005086413

Why Can the Yield Curve Predict Output Growth, Inflation, and Interest Rates? An Analysis with Affine Term Structure Model

Ichiue, Hibiki - Econometric Society - 2004

The literature gives evidence that term spreads help predict output growth, inflation, and interest rates. This paper integrates and explains these predictability results by using an affine term structure model with observable macroeconomic factors. The results suggest that consumers are willing...

Persistent link: https://www.econbiz.de/10005130246

Twin Deficit or Twin Divergence? Fiscal Policy, Current Account, and Real Exchange Rate in the US

Kim, Soyoung; Roubini, Nouriel - Econometric Society - 2004

current account and the real exchange rate mostly for the flexible exchange rate regime period. Based on VAR models …

Persistent link: https://www.econbiz.de/10005063596

Forecasting the Global Electronics Cycle with Leading Indicators: A VAR Approach

Choy, Keen Meng; Chow, Hwee Kwan - Econometric Society - 2004

constructing a VAR model that captures the economic interactions between leading indicators representing expectations, investments … causality tests. The VAR model is also used to derive the dynamic paths of adjustment of global chip sales in response to shocks … leading quality of the selected indicators. Finally, out-of-sample forecasts of global chip sales are generated from the VAR …

Persistent link: https://www.econbiz.de/10005063677

What moves GNP?

Uhlig, Harald - Econometric Society - 2004

shocks in the context of a VAR model, which explain the majority of the k-step ahead prediction error variances in real GNP …

Persistent link: https://www.econbiz.de/10005699655

A VECM Model of Stockmarket Returns

Sreedharan, Nagaratnam J - Econometric Society - 2004

Observations of security prices and other financial time series usually include not only the close (C), but also an open, a high and a low (O,H,L) price for a specified interval. The multivariate vector of values (H,L,O,C) is obviously more informative than just the open or close (O, C) for...

Persistent link: https://www.econbiz.de/10005702551

Estimating and forecasting instantaneous volatility through a duration model : An assessment based on VaR

Morimoto, Takayuki - Econometric Society - 2004

, when we calculate a VaR (Value at Risk) with an instantaneous volatility to check the prediction performance. Furthermore …

Persistent link: https://www.econbiz.de/10005702699