Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 47 for “"Structural breaks"”.
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Essays on Nonlinearities and Structural Breaks in the Relationships between Macroeconomic Variables
… is set out in three chapters, focusing on the structural changes that led to jobless recoveries in following the past three recessions, the asymmetric effects of fiscal stimulus over the business cycle, and the asymmetric effects of fiscal cuts and stimulus respectively. In the first chapter, I …
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Estimation and forecasting team strength dynamics in football : investigation into structural breaks
… in football. It investigates the presence of structural breaks, which occur when there is a change in parameters that govern dynamics in a time series. In football, such structural breaks occur because of events such as squad changes during transfer markets as well as managerial or ownership …
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Structural breaks and outliers detection in time-series econometrics: Methods and applications
… contributes to the econometric literature on structural breaks analysis and outliers detection in parametric linear models. The focus is on the development of new econometric tools as well as on the analysis of novel but largely unexplored approaches. The econometric methods under analysis are …
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Two applications of U-Statistic type processes to detecting failures in risk models and structural breaks in linear regression models
… failures in Risk Models and in detecting structural breaks in linear regression models. By applying Theorem 2.1 of Szyszkowicz on U-statistic type process, a number of weak convergence results regarding three weighted partial sum processes are established. It is shown that these partial …
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Institutional quality in the finance-growth nexus in Sub-Saharan Africa
… SSA economies; third, to detect and account for structural breaks introduced by historical events to produce more reliable estimates in our investigation; and fourth, to consider the constant elasticity of substitution and the variable elasticity of substitution in addition to the Cobb-Douglas …
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An empirical analysis of European retail banking integration
… and lending spread data series are tested for structural breaks and the effects of these breaks are then removed by demeaning each individual spread data series. Third, while allowing for structural breaks, panel unit root tests are applied to all the interest spread data. Fourth, the recently …
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Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?
… stock returns. Moreover, we can identify two structural breaks in the time series of idiosyncratic kurtosis. Using a sample of US stocks traded on NYSE, AMEX and NASDAQ markets from January 1970 to December 2013, we run Fama-MacBeth test at the individual stock level. We document a negative …
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Are Idiosyncratic Skewness and Idiosyncratic Kurtosis Priced?
… stock returns. Moreover, we can identify two structural breaks in the time series of idiosyncratic kurtosis. Using a sample of US stocks traded on NYSE, AMEX and NASDAQ markets from January 1970 to December 2013, we run Fama-MacBeth test at the individual stock level. We document a negative …
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Essays in international finance
… which allows for (i) heterogeneous and multiple structural breaks and (ii) crosssectional dependence. Based on a panel of 53 economies (1992:01-2014:05 ) no evidence of PPP can be found using two types of models that can be equipped/illequipped to handle the potential presence of structural …
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Price volatility and liquidity cost in grain futures markets
… long memory patterns arise from seasonality and structural breaks. After accounting for these factors, a less pronounced but still significant long memory effect exists in corn and wheat, but it disappears in soybeans. Directly modeling structural breaks through a semi-parametric method generally …
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Cointegration tests with smooth breaks and co-movements of international reserves
… Lag (ADL) cointegration test in the presence of structural breaks approximated by a Fourier function. The test offers a simple way to capture a smooth structural change in time series data. Exact break dates are not required, and the suggested methodology can accommodate various types of models …
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Estimating the demand for money in a developing country
… demand and its determinants in the context of structural breaks. The paper found that structural breaks arising from changes in monetary and exchange policies had significant impacts on money demand, as expected,while changes in the political regime did not have a significant impact on money …
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Modelling the asset allocation process and the effectiveness of the models through time
… classes of cash, equities and fixed interest. Structural breaks occur in 1947 and 1973 but stability since then means that stochastic investment modelling is a feasible proposition. The final model contains four real variables with inflation as the sole exogenous variable. Inflation modelling …
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Structural change and unit roots
… a discussion of three problems related to structural changes and unit-roots in time-series analysis. First, it is shown under which conditions it is possible to consistently estimate the break date in a model with one structural break. It is also shown that when the errors have a unit-root, …
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Tests of purchasing power parity
… by pretesting price index time series for structural breaks, in addition to pretesting the price indices and exchange rates for compatible stochastic properties. It compares the results of conventional cointegration tests for parity with a weaker form of the relationship suggested by …
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Non-linear aspects of financial integration: An analysis of the real interest rate parity for Southeast Asian economies
… results from unit root tests, with and without structural breaks, with results from Bai and Perron (1998) technique. Changes in the level of financial integration are evaluated through a modified Band-Threshold Autoregressive model. In this framework, constraints to financial integration …
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Structural changes and financial frictions in the monetary transmission mechanism : GMM, VAR and Bayesian DSGE approaches
… UK economy. Fourth, it addresses the issue of structural changes and determines the degree of significant changes assuming that MSBs exist. Specifically, the study examines the robustness of the Augmented Dickey-Fuller (ADF) and the ZA one break unit root tests to the presence of endogenously …
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Examining the relationship between foreign investment flows and foreign exchange reserves in Namibia
… model stability to determine if there are any structural breaks present in the model. This was done by employing the CUSUM test and the solid line did not exceed the best lines which indicate that the model is a good-fit. The main results from the study found a strong positive and statistically …
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Testando quebras estruturais em uma regra de política monetária com regressores endógenos: um estudo empírico para o Brasil (2000-2016)
The objective of this work is to perform structural break tests to verify possible changes in the conduct of monetary policy in Brazil after the adoption by the Brazilian monetary authority of the regime of inflation targets, taking into account that the regressors of the reaction function of the …
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Applications of machine learning in finance: analysis of international portfolio flows using regime-switching models
… and a relationship between flows and returns. Structural breaks and persistent regime shifts in investor behaviour are identified by the models. Regime-switching models infer regimes in the data which exhibit unique characteristic flows and returns. To determine whether the information …
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