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Statistical Surveillance of Structural Breaks in Credit Rating Dynamics [PDF]
Entropy, 2020 The 2007–2008 financial crisis had severe consequences on the global economy and an intriguing question related to the crisis is whether structural breaks in the credit market can be detected.
Haipeng Xing, Ke Wang, Zhi Li, Ying Chen
doaj +2 more sources
The KPSS test with two structural breaks [PDF]
Spanish Economic Review, 2006 In this paper, we generalize the KPSS-type test to allow for two structural breaks. Seven models have been defined depending on the way that structural breaks affect the time series behaviour. The paper derives the limit distribution of the test under both the null and the alternative hypotheses and conducts a set of simulation experiments to analyse ...
Andreu Sansó +1 more
exaly +3 more sources
EXCHANGE RATE PASS-THROUGH, IMPORT PRICES AND INFLATION UNDER STRUCTURAL BREAKS
Economic Journal of Emerging Markets, 2011 This research estimates the exchange rate pass-through (ERPT) into import prices by applying an extension of the basic model of ERPT on Indonesia. It estimates models of cointegration and error-correction mechanism (ECM), with and without structural ...
Arintoko Arintoko
doaj +9 more sources
Current-account breaks and stability spells in a global perspective [PDF]
Applied Economic Analysis, 2022 Purpose – This study aims to identify structural breaks in the current account and the periods between these breaks, which the authors name stability spells, and study their characteristics and determinants.
Alfonso Camba-Crespo +2 more
doaj +1 more source
Does innovation co-move with FDI? Evidence from OECD countries [PDF]
Panoeconomicus, 2022 In this study, the panel co-integration test combined with structural breaks was used to explore the long-term co-movement between FDI and patent and trademark applications, in accordance with 33 OECD countries from 1999 to 2018.
Chang Chun-Ping
doaj +1 more source
Purchasing power parity in GIIPS countries: evidence from unit root tests with breaks and non-linearity [PDF]
Applied Economic Analysis, 2022 Purpose – This paper aims to test purchasing power parity (PPP) hypothesis for Greece, Italy, Ireland, Portugal and Spain, which are known as the GIIPS countries.
Saban Nazlioglu +3 more
doaj +1 more source
Adding dummy variables: A simple approach for improved volatility forecasting in electricity market
Journal of Management Science and Engineering, 2023 This study used dummy variables to measure the influence of day-of-the-week effects and structural breaks on volatility. Considering day-of-the-week effects, structural breaks, or both, we propose three classes of HAR models to forecast electricity ...
Xu Gong, Boqiang Lin
doaj +1 more source
The Equity Premium And Structural Breaks [PDF]
SSRN Electronic Journal, 1998 A long return history is useful in estimating the current equity premium even if the historical distribution has experienced structural breaks. The long series helps not only if the timing of breaks is uncertain but also if one believes that large shifts in the premium are unlikely or that the premium is associated, in part, with volatility.
Pastor, Lubos, Stambaugh, Robert F
openaire +4 more sources
The structure of GUT breaking by orbifolding [PDF]
Nuclear Physics B, 2002 Latex, 23 pages, version to be published in Nucl.Phys ...
Hebecker, A, March-Russell, J
openaire +4 more sources