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Multiple or Simultaneous Equation Models; Multiple Variables x International Finance x clear all

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...

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...