Zobrazeno 1 - 2
of 2
pro vyhledávání: '"Alaa Abi Morshed"'
Publikováno v:
Econometrics, Vol 6, Iss 2, p 27 (2018)
Structural break tests for regression models are sensitive to model misspecification. We show—analytically and through simulations—that the sup Wald test for breaks in the conditional mean and variance of a time series process exhibits severe siz
Externí odkaz:
https://doaj.org/article/51911c965fae499f8d2d61000c7fe360
Autor:
Alaa Abi Morshed
Publikováno v:
SSRN Electronic Journal.
In this paper we study the impact of forecast uncertainty shocks on yields of nominal, inflation-indexed bonds and market-based inflation expectations during the period 1999-2011, in an event-study framework. To that end, we propose a new measure for
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::57f0f111d22df2692a81b8ad39e542ab
https://doi.org/10.2139/ssrn.2839379
https://doi.org/10.2139/ssrn.2839379