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Recent evidence suggests shifts (structural breaks) in the volatility of returns causes non‐normality by significantly increasing kurtosis. In this paper, we endogenously detect significant shifts in the volatility of oil prices and incorporate this information to estimate Value‐at‐Risk (VaR) to accurately forecast large declines in oil prices. Our out‐of‐sample performance results indicate that the model, which incorporates both time varying volatility (without making any distributional assumptions) and shifts in volatility, produces more accurate VaR forecasts than several benchmark methods. We make a timely contribution as the recent more frequent occurrences of unexpected large oil price declines has gained significant attention because of its substantial impact on the financial markets and the global economy. 相似文献
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Mahmudul Anam Ghulam Hussain Anjum Shin-Hwan Chiang 《The journal of international trade & economic development》2013,22(8):1117-1129
In this paper, we revisit optimal choice of invoice currency for an exporting firm in the face of exchange rate uncertainty. We demonstrate that when a vehicle currency is available, the optimum choice depends not only on the volatility of the exchange rates but the covariance between them as well. In particular, we show that when the exchange rates between the exporter and importer currencies on the one hand, and the exporter and the vehicle currency on the other, are positively correlated, vehicle currency becomes an attractive choice. The intuition underlying this novel outcome is that this regime dampens profit variability for the exporter. 相似文献
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Discrete regression methods are used to analyse sample survey data from two villages in two different regions of Bangladesh. No significant mortality differentials by socio-economic class are found. 相似文献
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This study adopts a disaggregated regional focus to test for the human capital (HC)-growth nexus in selected nine Asian countries. It utilizes the Empirical Bayesian methodology which addresses not only the heterogeneity issue but it also utilizes the common structural priors of regional countries to yield ‘informationally’ efficient estimates of the impact of HC on the stock and levels of GDP. Various measures of HC are utilized to determine which of these produces a better explanation of economic growth in the two Asian regions. The study finds that primary and secondary education was more prominent in explaining the fluctuations of economic growth in East Asia, whereas tertiary and vocational education showed positive effects on economic growth in South Asia. Government expenditures on education were also found to positively affect economic growth in both regions. The results shed new evidence to establish that the differences in growth rates within East and South Asia are associated with differences in educational progression in the regions. 相似文献
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We examine the potential for further reform of sales tax and tariffs on final goods and on intermediate inputs in Pakistan.
Analysis is conducted at two levels. First, optimal taxes are computed under the assumption that tax revenue is exogenous
and pays for a public good, and these are compared with their current levels. Second, we consider two piecemeal reform exercises
to examine whether there is further scope for replacing the two tariffs by sales tax in a revenue-neutral way. Both approaches
suggest that there is considerable scope for further reducing tariffs on final goods, but not on intermediate inputs.
JEL Code: F1, O2, O5 相似文献
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