Manajemen | Fakultas Ekonomi Universitas Maritim Raja Ali Haji jbes%2E2010%2E08068
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Perhaps the most striking differences in the correla- tion and coskewness contagion tests are for the real estate and equity markets in Singapore where the correlation test finds
We, the editors, would like to warmly thank our Editorial Co- ordinator, Jamie Hutchens, for keeping the JBES editorial oper- ation running smoothly, along with our publishers,
Since all models have the same individual volatility dynamics, with the sole exception being the flexible multivariate GARCH model, any difference in the goodness of fit for
We propose a new battery of dynamic specification tests for the joint hypothesis of iid-ness and density function based on the fundamental properties of independent random
The results confirm the presence of infinite density at the median as a new significant empirical evidence for stock return distributions.. KEY WORDS: Asymptotic leptokurtosis;
Moreover, the estimates on the socioeconomic characteristics largely confirm our prior expectations and the results from previous studies, providing consistent evidence that the
To check whether the method proposed in this article is su- perior to the conventional particle filter in the time-changed in- finite activity jump model, I also run the
not final), the dynamics of earlier revisions can be captured us- ing a state-space model that includes the textbook noise model, the Howrey model of serially correlated
