Xuất bản: 27 July, 2022
In this paper we examine the dynamic linkages of international monetary markets over the 2004 – 2009 period using daily short-term interbank interest rates of three of the most advanced countries (France, United Kingdom and United States). Empirical...
Modeling nonlinear and heterogeneous dynamic
linkages in international monetary markets
In this paper we examine the dynamic linkages of international monetary markets over the 2004 – 2009 period using daily short-term interbank interest rates of three of the most advanced countries (France, United Kingdom and United States). Empirical results from vector error-correction models (VECM) and smooth transition error-correction models (STECM) indicate strong evidence of nonlinear […]
Xuất bản: 27 July, 2022
This paper investigates whether structural breaks and long memory are relevant features in modeling and forecasting the conditional volatility of oil spot and futures prices using three GARCH-type models, i.e., linear GARCH, GARCH with structural breaks...
Forecasting the conditional volatility of oil spot and futures
prices with structural breaks and long memory models
This paper investigates whether structural breaks and long memory are relevant features in modeling and forecasting the conditional volatility of oil spot and futures prices using three GARCH-type models, i.e., linear GARCH, GARCH with structural breaks and FIGARCH. By relying on a modified version of Inclan and Tiao (1994)’s iterated cumulative sum of squares (ICSS) […]
Xuất bản: 27 July, 2022
In recent years, Vietnam has modernized its economic policies. Positive results include an economic growth rate averaging more than 7% per annum, increased foreign investment and improved living standards for its citizens. Having moved from a traditional...
Measuring the effective rate of protection in Vietnam’s economy with emphasis on the manufacturing industry: An input-output approach
In recent years, Vietnam has modernized its economic policies. Positive results include an economic growth rate averaging more than 7% per annum, increased foreign investment and improved living standards for its citizens. Having moved from a traditional socialist model to a market-based system, trade is now a major economic priority of the Vietnamese Government. The […]
Xuất bản: 27 July, 2022
In rural economies, risk-sharing arrangements through networks of relatives and friends are common. Monitoring issues seem to impede the development of informal insurance mechanisms at higher level. As such, after a large and covariate shock, the prerequisites...
Do tropical typhoons smash community ties? Theory and Evidence from Vietnam
In rural economies, risk-sharing arrangements through networks of relatives and friends are common. Monitoring issues seem to impede the development of informal insurance mechanisms at higher level. As such, after a large and covariate shock, the prerequisites under which informal arrangements are feasible might refrain the community to redistribute efficiently resources between sub-groups. I rely […]
Xuất bản: 27 July, 2022
In the year 2008 and the first half of 2009, the world witnessed the unfolding and heavy repercussions of the global financial crisis. Being a small open, FDI-reliant and export-dependant economy, Vietnam has not been spared from this external shock....
Current Global Crisis, Fiscal Stimulus Package and Implication for Vietnam
In the year 2008 and the first half of 2009, the world witnessed the unfolding and heavy repercussions of the global financial crisis. Being a small open, FDI-reliant and export-dependant economy, Vietnam has not been spared from this external shock. The global crisis has led to the reduction of investments inflow, lower global commodity prices […]
Xuất bản: 27 July, 2022
This paper investigates the day-of-the-week effects in the stock indexes of both developed and emerging markets as well as the MSCI world index from March 2002?May 2008 using regression models. The results show many daily effects, occurring from Monday...
Day-Of-The-Week Effects in Different Stock Markets:
New Evidence on Model-Dependency in Testing
Seasonalities in Stock Returns
This paper investigates the day-of-the-week effects in the stock indexes of both developed and emerging markets as well as the MSCI world index from March 2002?May 2008 using regression models. The results show many daily effects, occurring from Monday to Friday, which are different from the weekend effect. No consistent daily effects were found for […]