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Are Stock Markets Integrated? Evidence from a Partially Segmented ICAPM with Asymmetric Effects
International Asset Pricing Financial Integration Emerging Markets Multivariate GARCH
2010/11/1
In this paper, we test a partially segmented ICAPM for two developed markets, two emerging markets and World market, using an asymmetric extension of the multivariate GARCH process of De Santis and Ge...
Stock market integration in the Latin American markets: further evidence from nonlinear modeling
Stock market integration Latin American marketsp nonlinear modeling
2010/11/1
This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques of Hansen and Seo (2...
Direct evidence for inversion formula in multifractal financial volatility measure
Direct evidence inversion formula multifractal financial volatility measure
2010/12/13
The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. In this Letter, we propose to verify th...
Income, Health and Wellbeing Around the World: Evidence from the Gallup World Poll
Income Health Wellbeing Evidence Gallup World Poll
2014/3/17
The great promise of surveys in which people report their own level of life satisfaction is that such surveys might provide a straightforward and easily collected measure of individual or national wel...
The Impact of Labour Turnover: Theory and Evidence from UK Micro Data
Labour turnover turnover costs optimal turnover
2010/9/7
We analyse the impact of labour turnover on profits. We extend the efficiency wage model of Salop (1979) by separating incumbent and newly hired workers in the production function. We show that an exo...
“中国经济研讨会”第十一讲:Technology Diversity and Development: Evidence from China’s Industrial Enterprises
2007/12/27
“中国经济研讨会”第十一讲
题目:Technology Diversity and Development: Evidence from China’s Industrial Enterprises
时间:3月28日(周三)上午9:30—11:30
地点:万众楼小教室
主讲人:Professor Gary H. Jefferson
Carl Marks Professor of Inte...
2006年第8讲(总第487讲)
[6月1日] New Evidence on the Causal Link between the Quantity and Quality of Children
2007/8/13
主讲人
Josh Angrist
MIT, NBER and IZA Bonn
题目
New Evidence on the Causal Link between the Quantity and Quality of Children
时间
2006年6月1日(星期四)下午15:40-----17:00
地点
北京大学中国经济研究中心致福轩大教室
工作语言
英文
联系电话
62751475
...
NO. E2006005
Grassroots Democracy and Income Distribution: Evidence from Village Election in China
2007/8/10
Grassroots Democracy and Income Distribution: Evidence from Village Election in China
Yan ShenAssistant professor& Yang YaoProfessorChina Center for Economic Research Peking University
April 9, 20...
Toward the Effect of Audit Quality on Earnings Management——Empirical Evidence from Manufacturing Enterprises Listed in Shanghai Stock Market
audit quality earnings management discretionary accruals dual audit non-dual Audit First Ten auditors non-First Ten auditors
2007/7/4
Nowadays, earnings management is a hot issue, but most of the researches focus on the incentives of earnings management and few of them refer to the effect of audit quality on earnings management. In ...
Entrepreneurship, Reforms, and Development: Empirical Evidence
development growth entrepreneurship institutions policy reform
2014/6/24
We examine how entrepreneurship and institutional and policy reforms affect development (proxied by the rate of growth in per–capita inc ome). We do so by
performing Arellano - Bond GMM estimations o...
Regional Labour Market Integration since China’s World Trade Organization Entry: Evidence from Household-level Data
Regional Labour Market Integration China’s World Trade Organization Entry Evidence from Household-level Data
2013/7/5
For an economy in transition, development of the market is a sign of a successful transition and a premise for a sustainable form of economic growth. Development and integration of labour markets are ...
On the Persistence of Real Interest Rates: New Evidence from Long-Horizon Data
Real interest rate CCAPM local-to-unity half-life
2010/9/7
Since the paper of Rose (1988), a large literature has emerged on testing the stationarity of real interest rates using a variety of econometric procedures. In this study, we emphasize that the low po...
Can the Random Walk Model be Beaten in Out-Of-Sample Density Forecasts? Evidence from...
Density forecasts GARCH Intraday exchange rate Jumps Maximum likelihood estimation Nonlinear time series Out-of-sample forecasts Regime-switching
2011/4/2
It has been documented that random walk outperforms most economic structural and time series models in out-of-sample forecasts of the conditional mean dynamics of exchange rates. In this paper, we stu...
Evidence-based aid must not become the latest in a long string of development fads
Evidence-based aid development fads political right
2014/3/17
While skepticism about foreign aid used to be the preserve of the political right, it has now spread to some who clearly recognize the moral imperative of the world’s rich to help the world’s poor.
Can the Random Walk Model be Beaten in Out-of-Sample Density Forecasts? Evidence from Intraday Forei
Density forecasts GARCH Intraday exchange rate Jumps Maximum likelihood estimation Nonlinear time series Out-of-sample forecasts Regime-switching
2011/4/6
It has been documented that random walk outperforms most economic structural and time
series models in out-of-sample forecasts of the conditional mean dynamics of exchange rates.