| 2691. |
- Hassan, Mahdi Mohammad, 1977-, et al.
(författare)
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Testability and Software Robustness : A Systematic Literature Review
- 2015
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Ingår i: 2015 41st Euromicro Conference on Software Engineering and Advanced Applications. - Funchal, Madeira, Portugal : IEEE. - 9781467375856 ; , s. 341-348
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Konferensbidrag (refereegranskat)abstract
- The concept of software testability has been researched in several different dimensions, however the relation of this important concept with other quality attributes is a grey area where existing evidence is scattered. The objective of this study is to present a state-of-the-art with respect to issues of importance concerning software testability and an important quality attribute: software robustness. The objective is achieved by conducting a systematic literature review (SLR) on the topic. Our results show that a variety of testability issues are in focus with observability and controllability issues being most researched. Fault tolerance, exception handling and handling external influence are prominent robustness issues in focus.
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| 2692. |
- Hatemi-J, Abdulnasser, et al.
(författare)
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A bootstrap-corrected causality test : another look at the money–income relationship
- 2006
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Ingår i: Empirical Economics. - : Springer. - 0377-7332 .- 1435-8921. ; 31:1, s. 207-216
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Tidskriftsartikel (refereegranskat)abstract
- Previous studies of the causal relationship between money supply and real output are based on asymptotic distributions. If the assumption of normality is not fulfilled and if ARCH effects are present, asymptotic distributions perform inaccurately. In this paper, we reinvestigate the potential causal relationship between money and output by applying an alternative methodology based on the leveraged bootstrapped simulation techniques using data from Denmark, Japan, Sweden, and the US. We find unidirectional causality from money to output for the sample countries except for Sweden for which causality is bi-directional. This finding of unidirectional causality between money and output supports monetary business-cycle models and reveals one important policy implication—that is, in looking for the sources of output fluctuations, money might be a major factor.
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| 2693. |
- Hatemi-J, Abdulnasser, et al.
(författare)
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A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods
- 2006
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Ingår i: Economic Modelling. - : Elsevier. - 0264-9993 .- 1873-6122. ; 23:6, s. 993-1007
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Tidskriftsartikel (refereegranskat)abstract
- This article investigates the issue of international portfolio diversification with respect to the three largest financial markets in the world-namely the US, Japan and the UK. In addition to making use of traditional portfolio analysis, we also suggest a procedure to calculate bootstrap correlation coefficients that can take into account the dynamic structure between the markets as measured by bootstrapped causality tests. Weekly data is used. The results from the first approach are supporting international diversification. The bootstrapped causality tests provide additional empirical support for this conclusion since the size of the causal effects is negligible and the bootstrap correlations are similar as the standard ones. (c) 2006 Elsevier B.V. All rights reserved.
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| 2694. |
- Hatemi-J, Abdulnasser, et al.
(författare)
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An Alternative Method to Measure Contagion with an Application to the Asian Financial Crisis
- 2005
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Ingår i: Applied Financial Economics Letters. - : Routledge. - 1744-6546 .- 1744-6554. ; 1:6, s. 343-347
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Tidskriftsartikel (refereegranskat)abstract
- This paper investigates the size properties of a test for contagion based on an asymptotic t-distribution. The simulations show that this asymptotic test does not have correct size properties. An alternative test method based on case-resampling bootstrapping is introduced to improve on the correctness of inference. The simulations show that this new test has much better size properties. It also has quite high power properties and it is robust to ARCH effects. The method is applied to testing for contagion from Thailand to Indonesia during the Asian financial crisis.
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| 2695. |
- Hatemi-J, Abdulnasser, et al.
(författare)
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An examination of the equity market price linkage between Australia and the European Union using leveraged bootstrap method
- 2004
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Ingår i: The European Journal of Finance. - : Routledge. - 1466-4364 .- 1351-847X. ; 10:6, s. 475-488
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Tidskriftsartikel (refereegranskat)abstract
- The paper examines the equity market price interaction between Australia and the European Union - represented by the UK, Germany and France - based on the Toda-Yamamoto causality test, which is bootstrapped with leveraged adjustments. A new information criterion is used to choose the optimal lag order. Weekly MSCI data covering the period 1988 to 2001 is used, divided into two subperiods to allow for a structural break arising from the ERM crisis of 1992. Results show that, during the period before the ERM crisis, no significant causal links exist between Australia and any of three EU countries. During the period after the ERM crisis, Australia also had no causal links with Germany and France but it had with the UK, with causality running from the UK to Australia but not vice-versa. Thus, Australian investors may find the German and French, but not the UK, equity markets, attractive venues for their international diversification. German and French, but not British, investors may also obtain the same benefit from the Australian equity market.
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| 2696. |
- Hatemi-J, Abdulnasser, et al.
(författare)
-
Bilateral trade elasticities : Sweden versus her trade partners
- 2005
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Ingår i: American Review of Political Economy. - : ARPE Journal. - 1551-1383. ; 3:2, s. 38-50
-
Tidskriftsartikel (refereegranskat)abstract
- This study explores the long-run bilateral trade elasticities between Sweden and its six major trading partners for the period 1960-1999. Tests for unit roots and cointegration in a panel perspective are conducted. The estimated cross sectional trade elasticities show that trade is highly sensitive to changes in income but less sensitive to real exchange rate fluctuations. The bilateral trade elasticities disclose that the Marshall-Lerner condition is not satisfied (except for Germany) and real depreciation of the Swedish currency has less favorable impact on the trade balance. The policy implications of our findings are also discussed.
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| 2697. |
- Hatemi-J, Abdulnasser, et al.
(författare)
-
Calculating the optimal hedge ratio : constant, time varying and the Kalman Filter approach
- 2006
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Ingår i: Applied Economics Letters. - : Routledge. - 1350-4851 .- 1466-4291. ; 13:5, s. 293-299
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Tidskriftsartikel (refereegranskat)abstract
- A crucial input in the hedging of risk is the optimal hedge ratio - defined by the relationship between the price of the spot instrument and that of the hedging instrument. Since it has been shown that the expected relationship between economic or financial variables may be better captured by a time varying parameter model rather than a fixed coefficient model, the optimal hedge ratio, therefore, can be one that is time varying rather than constant. This study suggests and demonstrates the use of the Kalman Filter approach for estimating time varying hedge ratio - a procedure that is statistically more efficient and with better forecasting properties.
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| 2698. |
- Hatemi-J, Abdulnasser, et al.
(författare)
-
Controlling Money Supply and Price Level in a Cointegration Model with Unknown Regime Shifts
- 2008
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Ingår i: Journal of Applied Business Research. - : The Clute Institute. - 2157-8834 .- 0892-7626. ; 24:2, s. 139-146
-
Tidskriftsartikel (refereegranskat)abstract
- <p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-size: 10pt;" lang="EN-GB"><span style="font-family: Times New Roman;">This paper investigates the relationship between money supply and price level using new tests for cointegration with two unknown regime shifts and bootstrap causality tests. Quarterly Chilean data from 1973: I to 2006: III is used. We find empirical evidence that the variables establish a long-run steady state relationship in the presence of two regime shifts. The elasticity of price level with regard to money supply is close to unity during the first period (prior to 1978: II). The elasticity is reduced during the second period (1978: III-1986: I) and it is also reduced for the remaining period but the reduction is smaller. We also conducted bootstrap causality tests that reveal the following: in the first sub-period there is bidirectional causality between the underlying variables. In the last two sub-periods money supply causes the price level only. This implies that money supply is weakly exogenous concerning the price level and that the monetary authority had enough independence to execute an active monetary policy in Chile. <span style="mso-bidi-font-weight: bold;"></span></span></span></p>
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| 2699. |
- Hatemi-J, Abdulnasser, et al.
(författare)
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Do birds of the same feather flock together? : The case of the Chinese states equity markets
- 2004
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Ingår i: Journal of international financial markets, institutions, and money. - : Elsevier. - 1042-4431 .- 1873-0612. ; 14:3, s. 281-294
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Tidskriftsartikel (refereegranskat)abstract
- We examine the equity market price interdependence between China, Hong Kong, Singapore, and Taiwan based on the [Journal of Econometrics 66 (1995) 225] causality test which we bootstrap with leveraged adjustments. A new information criterion is used to choose the optimal lag order. We cover the period January 1, 1993–September 10, 2001 taking into account the Asian financial crisis in 1997. We find that before the Asian crisis, the only interaction among the Chinese markets was between Singapore and the markets of Taiwan and Hong Kong with the causality running from the former to the latter. However, after the Asian crisis, the Chinese equity markets became more interdependent among themselves although Hong Kong remained non-influential.
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| 2700. |
- Hatemi-J, Abdulnasser, et al.
(författare)
-
Exchange Rates and Stock Prices Interaction during Good and Bad Times
- 2005
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Ingår i: Applied Financial Economics. - : Routledge. - 0960-3107 .- 1466-4305. ; 15:8, s. 539-546
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Tidskriftsartikel (refereegranskat)abstract
- Using bootstrap causality tests with leveraged adjustments, the link between exchange rates and stock prices in Malaysia, Indonesia, Philippines and Thailand is investigated for the periods immediately before and during the 1997 Asian crisis. Two variables are found to be significantly linked in the non-crisis period but not at all during the crisis period. The implications of this result in terms of hedging, market efficiency, market integration and policy intervention are explained in the paper.
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