Search: onr:"swepub:oai:DiVA.org:hj-954" >
Simulation-Based Ap...
Simulation-Based Approaches in Financial Econometrics
-
- Sjölander, Pär (author)
- Jönköping University,IHH, Nationalekonomi
-
- Bahmani-Oskooee, Mohsen, Professor (opponent)
- University of Wisconsin-Milwaukee, USA
-
(creator_code:org_t)
- ISBN 9189164806
- Jönköping : Internationella Handelshögskolan, 2007
- English 153 s.
-
Series: JIBS Dissertation Series ; 43
- Related links:
-
https://hj.diva-port... (primary) (Raw object)
-
show more...
-
https://urn.kb.se/re...
-
show less...
Abstract
Subject headings
Close
- This doctoral thesis consists of four chapters all related to the field of financial econometrics. The main contributions are based on the empirical evaluation of theories in or related to financial economics supported by the recent advances of models and simulation-based methods in time-series econometrics. In chapter II, following the summarizing introductory chapter, a new unit root test is developed which by the use of simulation is demonstrated to be robust in the presence of generalized conditional heteroscedasticity (GARCH) distortions. In the presence of GARCH disturbances, for empirically relevant sample sizes, this new test exhibits superior statistical size and power properties compared with a sample of eight commonly used traditional unit root tests. In chapter III, a combination of an empirical and simulation-based evaluation of the theory of long-run purchasing power parity (PPP) is conducted. It is demonstrated that the traditional unit root tests of PPP are non-robust to the empirically identified GARCH distortions in the real exchange rates (RER). Therefore, based on this study and currently existing research, it appears virtually impossible to empirically come to a credible conclusion regarding whether long-run PPP holds or not. In chapter IV certain financial stability requirements of the Basel (II) Accord are scrutinized. It is concluded that the Basel requirement of an estimation period that is at least one year long for the calculation of minimum capital risk requirements is not empirically justified.
Keyword
- Economics
- Nationalekonomi
Publication and Content Type
- vet (subject category)
- dok (subject category)
Find in a library
To the university's database