Search Results

Building a new framework for analyzing effects of Japanese shocks on Asia,
Etsuro Shioji, from Econometric Society (2004)
Keywords: new open macroeconomics, three country model, monetary policy, international transmission

Rational Panics, Absorbing Regime Switching and Stock Market,
Dengta Chen and Yinggang Zhou, from Econometric Society (2004)
Keywords: Chinese Stock Market, Market Crash, and Inverted-S Demand

The performance of the tests of linear and logarithmic transformations for integrated processes with stochastic unit roots,
Gawon Yoon, from Econometric Society (2004)
Keywords: data transformation, (stochastic) unit roots, nonnested tests

Duration and Order Type Clusters,
Wing Lon Ng, from Econometric Society (2004)
Keywords: Ultra high frequency, transaction data, limit order book, order aggressiveness, market microstructure, ACD model, dynamic logit model, bivariate point process, survival analysis.

World financial liberalization and its effects on capital flows,
José Ricardo Santana & Fernando Garcia, from Econometric Society (2004)
Keywords: Liberalization, Capital flows, FDI, determinants of capital flows

The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles,
Simone Manganelli, Lorenzo Cappiello and Bruno Gerard, from Econometric Society (2004)
Keywords: contagion, conditional probabilities, CAViaR

Interest Rates in Trade Credit Markets,
Humberto Moreira, Walter Novaes and Klenio Barbosa, from Econometric Society (2004)
Keywords: Trade Credit; Invariance of Interest Rates

Microstructure noise, realized volatility, and optimal sampling,
Jeffrey R. Russell and Federico M. Bandi, from Econometric Society (2004)
Keywords: Microstructure noise, realized volatility

The Importance of Borrowers’ History on Credit Behavior: The Mexican Experience,
José L. Negrin, from Econometric Society (2004)
Keywords: credit information, probity modelling, Mexico

Sovereign Debt: Default, Market Sanction, and Bailout,
Paulo Augusto P. de Britto, from Econometric Society (2004)
Keywords: sovereign debt, default, bailout, creadible threat, market sanction

Stock market optimism and participation cost: a mean-variance estimation,
Monica Paiella and Andrea Tiseno, from Econometric Society (2004)
Keywords: heterogeneous household portfolios, mean-variance frontier, participation cost, expectation error

Currency Substitution, Portfolio Diversification and Money Demand,
Miguel de Freitas, from Econometric Society (2004)
Keywords: Money Demand, Currency Substitution, Dollarisation, Portfolio Choice.

Are Bond Covenants Priced?,
Michael Roberts and Michael Bradley, from Econometric Society (2004)
Keywords: Agency Costs, Costly Contracting, Debt Covenants

Asymmetric Information, Stock Returns and Monetary Policy: A Theoretical and Empirical Analysis,
Bedri Tas, from Econometric Society (2004)
Keywords: Asymmetric Information, Monetary Policy, Stock Returns, Kalman Filter, Learning

Liquidity, Default and Crashes: Endogenous Contracts in General Equilibrium,
John Geanakoplos, from Econometric Society (2004)
Keywords: Liquidity, default, collateral, crashes

Structurally Sound Dynamic Index Futures Hedging,
Patrick McGlenchy and Paul Kofman, from Econometric Society (2004)
Keywords: reverse order cusum-square test; index futures hedging

Testing for the martingale hypothesis in Asian stock prices: evidence from a new joint variance ratio test,
Jae Kim, from Econometric Society (2004)
Keywords: Martingale hypothesis, Stock Market Efficiency, Variance Ratio Test, Wild bootstrap,

Profiting from Mean-Reverting Yield Curve Trading Strategies,
Krishna Ramaswamy, Choong-Tze Chua and Winston Koh, from Econometric Society (2004)
Keywords: yield curve, fixed income trading, market efficiency, Treasury bonds

Asymmetry, Loss Aversion and Forecasting,
Stephen E. Satchell and Shaun A. Bond, from Econometric Society (2004)
Keywords: Asymmetry, loss aversion, semi-variance, volatility models.

A VECM Model of Stockmarket Returns,
Nagaratnam J Sreedharan, from Econometric Society (2004)
Keywords: Cointegration (CI); VECM; VAR; return generation process (RGP).

A Smooth Test for Density Forecast Evaluation,
Aurobindo Ghosh and Anil K. Bera, from Econometric Society (2004)
Keywords: Smooth test, score test, locally most powerful unbiased test, density forecast evaluation, probability integral transform, sample selection method, t-GARCH model, simulation based method, sample split

The Effect of Exchange Rate Uncertainty on US Imports from the UK: Consistent OLS Estimation with Volatility Measured by An ARCH-type Model,
Jan Podivinsky, Chongcheul Cheong and Maozu Lu, from Econometric Society (2004)
Keywords: ARCH model; Consistent estimation; Generated regressors; Volatility

Duration and Order Type Clusters,
Wing Lon Ng, from Econometric Society (2004)
Keywords: Ultra high frequency transaction data, limit order book, market microstructure, ACD model, dynamic logit model, bivariate point process.

Tests of Functional Form and Heteroscedasticity,
Z. L. Yang Y. K. Tse, from Econometric Society (2004)
Keywords: Functional Form, Hetersocedasticity, Lagrange Multiplier Test

Modeling Yield-Factor Volatility,
Daniel Smith and Christophe Parignon, from Econometric Society (2004)
Keywords: C32, C51, G12

Robustness of a semiparametric estimator of a copula,
Param Silvapulle, Gunky Kim and Mervyn J. Silvapulle, from Econometric Society (2004)
Keywords: Copulas; multivariate joint distribution; inference function method;maximum likelihood mathod;semiparametric method

Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors,
Emma Iglesias and Jean-Marie Dufour, from Econometric Society (2004)
Keywords: Point Optimal Test, ARCH, Non-stationarity, Fat-tails

Estimation and Testing for Partially Nonstationary Vector Autoregressive Models with GARCH: WLS versus QMLE,
Chor-yiu Sin, from Econometric Society (2004)
Keywords: Asymmetric distribution; Cointegration; LABF models; Multivariate GARCH; Price discovery; WLS

Sensitivity of OLS estimates against ARFIMA error process as small sample Test for long memory,
Anurag Banerjee, from Econometric Society (2004)
Keywords: Sensitivity, long memory time series

LM-Type tests for a Unit Root Allowing for a Break in Trend,
Luis Nunes, from Econometric Society (2004)
Keywords: Unit Root, Structural Change, Lagrange Multiplier Test, Breaking Trend

Testing for Dependence in Non-Gaussian Time Series Data,
Keith Freeland, Brendan McCabe and Gael Martin, from Econometric Society (2004)
Keywords: Latent variable model; locally most powerful tests; approximate likelihood; correlation tests; stochastic volatility tests

The Cusum Test for Parameter Change in Regression with ARCH Errors,
Koichi Maekawa, Sangyeol and Lee, from Econometric Society (2004)
Keywords: Test for parameter change, regression models with ARCH errors, residual cusum test, Brownian bridge, weak convergence

Indirect Estimation of Long Memory Volatility Models,
Nigel Wilkins, from Econometric Society (2004)
Keywords: Fractional Integration, Persistence, Simulation

Estimation of Copula-Based Semiparametric Time Series Models,
Yanqin Fan and Xiaohong Chen, from Econometric Society (2004)
Keywords: Copula; Nonlinear Markov models; Semiparametric estimation;Conditional quantile

Wavelet transform for log periodogram regression in long memory stochastic volatility model,
Jin Lee, from Econometric Society (2004)
Keywords: Long memory stochastic volatility, Wavelet transform, Log periodogram regression

The Markovian Dynamics of "Smart Money",
Steffi Yang J-H, from Econometric Society (2004)
Keywords: markov model, fund styles, drawdown, capital movement

An Empirical Model of the Brazilian Country Risk - An Extension of the Beta Country Risk Model,
Joaquim Andrade and Vladimir Teles, from Econometric Society (2004)
Keywords: beta risk, country risk

A simple estimation method and finite-sample inference for a stochastic volatility model,
Pascale VALERY (HEC-Montreal) and Jean-Marie Dufour, from Econometric Society (2004)
Keywords: exact tests, Monte Carlo tests, C-alpha tests, stochastic volatility model, method-of-moments

Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications,
Minxian Yang, from Econometric Society (2004)
Keywords: GARCH, stochastic volatility, ARCH-M, maximum likelihood

Credit Constraints and Macroeconomic Instability in a Small Open Economy,
Luis Felipe Céspedes, from Econometric Society (2004)
Keywords: Exchange rates, credit constraints, open economy.

Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility,
Scott I. White, Adam Clements and Stan Hurn, from Econometric Society (2004)
Keywords: Non-linear filtering, latent variable models, stochastic volatility, volatilitry forecasting

Forward looking information in S&P 500 options,
Scott I White, Ralf Becker and Adam Clements, from Econometric Society (2004)
Keywords: Implied volatility, information, volatility forecasts, volatility models, realized volatility

EXTREMAL DEPENDENCE IN EXCHANGE RATE MARKETS,
Viviana Fernandez, from Econometric Society (2004)
Keywords: extremal dependence, DVEC models

Endogenous Credit Constraints and Factor Market Rigidities: the case of Bankruptcy,
R. Fischer and Claudio Bonilla, from Econometric Society (2004)
Keywords: Credit constraints, rigidities, bankruptcy

Realized Variance and IID Market Microstructure Noise,
Asger Lunde and Peter Hansen, from Econometric Society (2004)
Keywords: Realized Variance; High-Frequency Data; Integrated Variance.

Discounting The Equity Premium Puzzle,
Vance Martin, Guay Lim and Esfandiar Maasoumi, from Econometric Society (2004)
Keywords: Equity premium puzzle, stochastic dominance, nonparametric, subsampling.

Beta Risk and Regime Shift in Market Volatility,
Don Galagedera and Roland G. Shami, from Econometric Society (2004)
Keywords: Markov regime-switching, Market volatility, Beta risk.

The Role of Firm Size in Controlling Output Volatility during the Asian Financial Crisis,
Hung-Ju Chen, from Econometric Society (2004)
Keywords: Asian financial crisis; Firm size; Credit constraints; Risk premiums

Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model,
George Milunovich, from Econometric Society (2004)
Keywords: Heteroschedasticity, Simultaneous Equations, Multivariate GARCH, Size-Sorted Portfolios, Conditional Impulse Responses, Conditional Variance Decomposition

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns,
Pentti Saikkonen and Markku Lanne, from Econometric Society (2004)
Keywords: Conditional skewness, GARCH-in-Mean, Risk-return tradeoff

Comovements in Trading activity: A Multivariate Autoregressive Model of Time Series Count Data Using Copulas,
Erick Rengifo and Andréas Heinen, from Econometric Society (2004)
Keywords: Continuousation; Factor model; Market microstructure.

A Risk Management Approach to Emerging Market’s Sovereign Debt Sustainability with an application to Brazilian data,
Roberto Rigobon and Marcio Garcia, from Econometric Society (2004)
Keywords: Public Debt, Debt Sustainability, Country Risk, Brazil

The Mean Variance Mixing GARCH (1,1) model,
Lars Forsberg and Anders Eriksson, from Econometric Society (2004)
Keywords: GARCH Skewness Conditional Skewness

Specification Testing for Multivariate Time Series Volatility Models,
Yoon-Jin Lee and Yongmiao Hong, from Econometric Society (2004)
Keywords: Generalized spectral derivative, Kernel, Multivariate generalized spectrum, Multivariate GARCH models, Nonlinear volatility dynamics, Robustness, Specification testing, Stochastic Volatility Model, Time-varying higher order moments of unknown form.

Effects of Level Outliers on the Identification and Estimation of GARCH Models,
Esther Ruiz, M. Angeles Carnero and D. Pereira, from Econometric Society (2004)
Keywords: Autocorrelations, Heteroscedasticity testing, Maximum Likelihood, Ordinary Least Squares

A Time Series Model for an Exchange Rate in a Target Zone with Applications,
Timo Teräsvirta, from Econometric Society (2004)
Keywords: target zone model, cycles

Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness,
Anthony S Tay and Aamir Hashmi, from Econometric Society (2004)
Keywords: Asymmetries, Skewness, Volatility, Spillover, Stock returns, News.

The Role of Risk Aversion in Predicting Individual Behaviour,
Monica Paiella and Luigi Guiso, from Econometric Society (2004)
Keywords: Risk aversion, heterogeneous preferences, choice under risk, entrepreneurship, self selection

Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity,
Stan Hurn, from Econometric Society (2004)
Keywords: nonlinearity in mean, heteroskedasticity, wild bootstrap, empirical size and power

Forecasting Value-at-Risk Using the Markov-Switching ARCH Model,
Wei-Ting Tang and Yin-Feng Gau, from Econometric Society (2004)
Keywords: Value-at-Risk, Switching-regime ARCH models

The road to extinction: commons with capital markets,
Colin Rowat and Jayasri Dutta, from Econometric Society (2004)
Keywords: commons, capital markets, extinction, resource curse, storage, multiple equilibrium, rational expectations equilibrium