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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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...
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...