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International Finance x Econometrics and Mathematical Economics x clear all

Converting Tail-VaR to VaR: An Econometric Study

Christian Gourieroux, Wei Liu and Gourieroux Liu.

in Journal of Financial Econometrics

March 2012; p ublished online March 2012 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Insurance; International Finance. 6942 words.

This paper studies the link between two popular measures of risk, that are the Value-at-Risk (VaR) and the Tail-VaR (TVaR). We study how the TVaR and VaR are related through their risk...

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Dynamic Seemingly Unrelated Cointegrating Regressions

Nelson C. Mark, Masao Ogaki and Donggyu Sul.

in The Review of Economic Studies

July 2005; p ublished online July 2005 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; International Finance. 9443 words.

We propose the parametric Dynamic Seemingly Unrelated Regression (DSUR) estimator for simultaneous estimation of multiple cointegrating regressions. DSUR is efficient when the equilibrium...

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Estimating Equilibrium Real Exchange Rates in the Franc Zone

Simeon Coleman.

in Journal of African Economies

August 2008; p ublished online April 2008 .

Journal Article. Subjects: Other Economic Systems; Multiple or Simultaneous Equation Models; Multiple Variables; Macroeconomic Aspects of International Trade and Finance; International Finance. 9275 words.

This paper estimates the degree of real exchange rate misalignment in 12 CFA (Communauté Financière Africaine) franc zone countries over the period 1960–99. Allowing for contemporaneous...

Ethnic Fractionalisation and Aid Effectiveness

Roland Hodler and David S. Knight.

in Journal of African Economies

January 2012; p ublished online September 2011 .

Journal Article. Subjects: Economic Development; Single Equation Models; Single Variables; Macroeconomic Aspects of International Trade and Finance; International Finance. 8884 words.

We test the hypothesis that the effect of foreign aid on economic growth is positive in ethnically homogenous countries, but decreasing in ethnic fractionalisation. Using panel data...

Heterogeneous Aid Effects on Tax Revenues: Accounting for Government Stability in WAEMU Countries

Hermann D. Yohou, Michaël Goujon and Wautabouna Ouattara.

in Journal of African Economies

June 2016; p ublished online June 2016 .

Journal Article. Subjects: International Finance; Taxation, Subsidies, and Revenue; Single Equation Models; Single Variables; Economywide Country Studies. 12159 words.

Using a panel threshold model, we examine the heterogeneous effects of foreign aid on tax revenue due to government stability in the West African Economic and Monetary Union countries over...

International asset allocation under regime switching, skew, and kurtosis preferences

Massimo Guidolin and Allan Timmermann.

in The Review of Financial Studies

April 2008; p ublished online February 2008 .

Journal Article. Subjects: Economics; International Finance; Multiple or Simultaneous Equation Models; Multiple Variables. 21156 words.

This paper investigates the international asset allocation effects of time-variations in higher-order moments of stock returns such as skewness and kurtosis. In the context of a four-moment...

On the contribution of game theory to the study of sovereign debt and default

Rohan Pitchford and Mark L. J. Wright.

in Oxford Review of Economic Policy

January 2013; p ublished online December 2013 .

Journal Article. Subjects: Game Theory and Bargaining Theory; International Relations and International Political Economy; International Finance. 10584 words.

This paper reviews the lessons learned from the application of the tools of game theory to the theoretical study of sovereign debt and default. We focus on two main questions. First, we...

On the Importance of Time Variability in Higher Moments for Asset Allocation

Eric Jondeau and Michael Rockinger.

in Journal of Financial Econometrics

January 2012; p ublished online January 2012 .

Journal Article. Subjects: Single Equation Models; Single Variables; Economics; Econometric Modelling; International Finance. 12449 words.

It is well known that strategies that allow investors to allocate their wealth using return and volatility forecasts, the use of which are termed market and volatility timing, are of...

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Quantitative Approaches to Fiscal Sustainability Analysis: A Case Study of Turkey since the Crisis of 2001

Nina Budina and Sweder van Wijnbergen.

in The World Bank Economic Review

February 2009; p ublished online November 2008 .

Journal Article. Subjects: Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook; International Finance; Econometric and Statistical Methods and Methodology: General. 7863 words.

This case study of fiscal sustainability in Turkey after the crisis in 2001 reviews and extends quantitative approaches to fiscal sustainability analysis and brings them together in a...

Uncertainty, model selection, and the PPP puzzle

Maria Dolores Gadea and Laura Mayoral.

in Oxford Economic Papers

July 2015; p ublished online March 2015 .

Journal Article. Subjects: Single Equation Models; Single Variables; International Finance. 8876 words.

This article employs a Bayesian methodology to measure the uncertainty involved in the long-run holding of the purchasing power parity (PPP) and in the half-life (HL) of deviations from it....

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Volatility Threshold Dynamic Conditional Correlations: An International Analysis

Maria Kasch and Massimiliano Caporin.

in Journal of Financial Econometrics

September 2013; p ublished online January 2013 .

Journal Article. Subjects: International Financial Markets; Economics; Econometric Modelling; International Finance. 11923 words.

This article proposes a modeling framework for the study of changes in cross-market comovement conditional on volatility regimes. Methodologically, we extend the Dynamic Conditional...

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