摘要:

AbstractIn this paper the dynamics of foreign exchange rates is sought to be studied via new frequency domain techniques. Stationarity properties of the rates are analysed via a unit root test as well as a test based on the evolutionary spectrum. Linearity and Gaussianity are analysed via bispectral tests and compared with the more frequently employed time domain tests, such as the McLeod‐Li and Tsay tests. Finally, an evaluation of the out‐of‐sample forecasting properties for eight methods—Random Walk, ARMA, Bilinear, State dependent model, dynamic linear model, ARCH, GARCH, and Garch‐in‐mean—is made. The methods used here seem to shed a great deal of light on hitherto neglected aspects of exchange

ISSN:0277-6693    

DOI:10.1002/for.3980120502

出版商:John Wiley&Sons, Ltd.    

年代:1993

数据来源: WILEY

摘要:

AbstractWe analyse the price movement of the S&P 500 futures market for violations of the efficient market hypothesis on a short‐term basis. To assess market inefficiency we construct a model and find that the returns, i.e. the difference in the logarithm of closing prices on consecutive days, exhibit the usual conditional heteroscedasticity behaviour typical of long series of financial data. To account for this non‐linear behaviour we scale the returns by a volatility factor which depends on the daily high, low, and closing price. The rescaled series, which may be interpreted as the trend‐countertrend component of the time series, is modelled using Box and Jenkins techniques. The resulting model is an ARMA(1,1). The scale factors are assumed to form a time series and are modelled using a semi‐non‐parametric method which avoids the restrictive assumptions of most ARCH or GARCH models. Using the combined model we perform 1000 simulations of market data, each simulation comprising 250 days (approximately one year). We then formulate a naive trading strategy which is based on the ratio of the one‐day‐ahead expected return to its one‐day‐ahead expected conditional standard deviation. The trading strategy has four adjustable parameters which are set to maximize profits for the simulation data. Next, we apply the trading strategy to one year of recent out‐of‐sample data. Our conclusion is that the S&P 500 futures market exhibits only slight inefficiencies, but that there exist, in principle, better trading strategies which take account of risk than the benchmark strategy of buy‐and‐hold. We have also constructed a linear model for the return series. Using the linear model, we have simulated returns and determined the optimum values for the adjustable parameters of the trading strategy. In this case, the optimum trading strategy is the same as the benchmark strategy, buy‐and‐hold. Finally, we have compared the profitability of the optimized trading strategy, based on the non‐linear model, to threead hoctrading strategies using the out‐of‐sample data. The threead hocstrategies are more pro

ISSN:0277-6693    

DOI:10.1002/for.3980120503

出版商:John Wiley&Sons, Ltd.    

年代:1993

数据来源: WILEY

摘要:

AbstractThis paper presents the results of fitting a scaled translog restricted profit function to ‘pseudo’‐data formed by repeated runs of a large linear programming model of domestic and international refining. The translog approximation is designed to estimate the marginal cost of producing eight petroleum products given the amounts of each product demanded and the price of crude oil. We test the model against out‐of‐sample data from the refinery model and historical data. The model is used in the US Department of Energy's Annual Energy Outlook forecasti

ISSN:0277-6693    

DOI:10.1002/for.3980120504

出版商:John Wiley&Sons, Ltd.    

年代:1993

数据来源: WILEY

摘要:

AbstractComputable general equilibrium (CGE) models are widely used as an advanced tool to evaluate alternative economic strategies and policy measures. These models are well rooted in solid economic theory, yet a crucial question is hardly asked:how well do these models perform?We address this question by comparing the economic performance of the Spanish economy in 1988 with the simulation results drawn from a CGE model calibrated with a 1987 Social Accounting Matrix. The values of endogenous variables used in the comparison are the equilibrium values provided by the model after updating the values of exogenous variables such as labour and capital endowments, real exports and effective nominal exchange rates with the European Community and the rest of the world, real government expenditures, and various tax rates, government subsidies, and transfers. The comparison shows that the model captures adequately the major developments that occurred in the Spanish economy in 1988. This result increases our confidence in the quantitative estimates derived from the model in the usual simulation exercises.

ISSN:0277-6693    

DOI:10.1002/for.3980120505

出版商:John Wiley&Sons, Ltd.    

年代:1993

数据来源: WILEY

摘要:

AbstractThe practice of modelling the components of a vector time series to arrive at a joint model for the vector is considered. It is shown that in some cases this is not unreasonable. A vector ARMA model is used to model the Canadian money and income data. We also use these data to discuss the issue of differencing a multiple time series. Finally, models based on first and second differences are compared using forecasts.

ISSN:0277-6693    

DOI:10.1002/for.3980120506

出版商:John Wiley&Sons, Ltd.    

年代:1993

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980120501

出版商:John Wiley&Sons, Ltd.    

年代:1993

数据来源: WILEY