Results 61 to 70 of about 32,224 (224)
Exchange Rate Dynamics: Where is the Saddle Path? [PDF]
overshooting, cointegration, Johansen test, simulation, convergence ...
Javier Gardeazabal +2 more
core
Speed Bump and Stock Market Quality: Evidence From NYSE American
Financial Management, EarlyView.ABSTRACT Should trading speed of high‐frequency traders be regulated? Using the data from the New York Stock Exchange American, this paper examines the impact of a speed bump on market liquidity and price discovery. Our results indicate that the use of a speed bump can lower the costs of adverse selection through reducing informed trading.
Bo Liu, Ke Xu
wiley +1 more source
Econometrics at the Extreme: From Quantile Regression to QFAVAR1
Journal of Economic Surveys, EarlyView.ABSTRACT This paper surveys quantile modelling from its theoretical origins to current advances. We organize the literature and present core econometric formulations and estimation methods for: (i) cross‐sectional quantile regression; (ii) quantile time series models and their time series properties; (iii) quantile vector autoregressions for ...
Stéphane Goutte +4 more
wiley +1 more source
Forecasting Climate Change Using a Multivariate Cointegrated System
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT A cointegrated vector equilibrium correction model of key climate variables including sea surface temperature, ocean heat content, Arctic sea‐ice extent and sea‐level change is built, driven by radiative forcing in which a stochastic trend arises due to anthropogenic emissions of greenhouse gases.
Jennifer L. Castle +3 more
wiley +1 more source
Forecasting Price Relationships among U.S Tree Nuts Prices [PDF]
This paper investigates a vector auto regression model, using the Johansen cointegration technique, and the autoregressive integrated moving average time series models to determine the better model for forecasting US tree nut prices over the period 1992 ...
Florkowski, Wojciech J. +1 more
core +1 more source
Inference on the Attractor Space via Functional Approximation
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for I(1)$$ I(1) $$ linear processes with moderately large cross‐sectional dimension. The approach is based on sample canonical correlations and functional approximation of Brownian motions, and it can be applied both to the whole system ...
Massimo Franchi, Paolo Paruolo
wiley +1 more source
Aviation Demand and Economic Growth in the Czech Republic: Cointegration Estimation and Causality Analysis [PDF]
Statistika: Statistics and Economy Journal, 2014 The main purpose of the paper is to empirically examine the aviation-led growth hypothesis for the Czech Republic by testing causality between aviation and economic growth.
Bilal Mehmood, Amna Shahid
doaj
Buletin Ekonomi Moneter dan Perbankan, 2007 In a long run perspective, the aim of this research is to analyze the impact of the inflating-policy on the employment growth, and the agriculture investment.
Andi Irawan
doaj +1 more source
Testing the Market Integration in Regional Cantaloupe and Melon Markets between the U.S. and Mexico: An Application of Error Correction Model [PDF]
Examine the integration between U.S. and Mexican cantaloupe and watermelon prices using cointegration and error correction model approach. Cointegration analysis shows significant post-2002 improvement in market integration, particularly in the speed at ...
Rosson, C. Parr, III +2 more
core +1 more source
The Mathematical History Behind the Granger–Johansen Representation Theorem
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT When can a vector time series that is integrated once (i.e., becomes stationary after taking first differences) be described in error correction form? The answer to this is provided by the Granger–Johansen representation theorem. From a mathematical point of view, the theorem can be viewed as essentially a statement concerning the geometry of ...
Johannes M. Schumacher
wiley +1 more source