In this paper, a hidden markov model hmm approach is used in order to perform these tasks. Christos ntantamis of dalhousie university, halifax dal read 8 publications contact christos ntantamis. If you dont see any interesting for you, use our search form on bottom v. Creates research paper 201052 detecting structural. Crossref christos ntantamis and jun zhou, bull and bear markets in commodity prices and commodity stocks. This book widens out the debate about the crisis in greece and the eurozone. Faculty of science course syllabus department of economics international finance, econ 3331 winter 2019 instructor. Request pdf bull and bear markets in commodity prices and commodity stocks. Chaotic structure of the bric countries and turkeys stock. In this study we examine the widely used brock, dechert and. Preliminary conference program atlantic canada economics association acea 41.
Christos ntantamis phd dal department of economics. Creates annual report 2008 department of economics and. No 156, economics series from institute for advanced studies abstract. Economics and finance discussion papers from economics and finance section, school of social sciences, brunel university. An inquiry into the nature and causes of the wealth of nations by. Bull and bear markets in commodity prices and commodity. Managerial economics, objectives of the business firm, fundamental economic concepts, law of demand, demand elasticity, demand forecasting, consumer behaviour. A duration hidden markov model for the identification of regimes in stock market returns, creates research papers 201051, department of economics and business economics, aarhus university.
Economics markets strategy 3q 20 dbs group research june 20. It aims to promote the integration of trade, economics, and finance. A duration hidden markov model for the identification of regimes. Characterizing economic trends by bayesian stochastic model specification search stefano grassi and tommaso proietti 201115. The problem of modeling housing prices has attracted considerable attention due to its importance in terms of households wealth and in terms of public revenues through taxation. The middle ages susan wise bauer elizabeth rountree.
A heartbreaking story of courage during one of historys darkest hours anne blankman ebook. A monte carlo study guglielmo maria caporale, christos ntantamis, theologos pantelidis, nikitas pittis guglielmo maria caporale london south bank university 103 borough road. We investigate whether the relation between financial constraints and the value of corporate cash holdings varies across firms with different engagement in research and development activity. A duration hidden markov model for the identification of. Creates research papers, department of economics and business economics, aarhus university view citations 1 2004.
While probability is a simple mathematical construction, philosophically it has had at least three di erent meanings. Journal of economics, business and management joebm. Breaks are defined as the data points where the underlying markov chain switches from one state to another. See all articles by christos ntantamis christos ntantamis. Bull and bear markets in commodity prices and commodity stocks. Euclid tsakalotos is deputy finance minister and chief economics. Rotman school of management, university of toronto, 105 st george. I studied in athens polytechnic bs in ee 1972 and princeton ms in ee, 1974 and phd in eecs, 1976. The estimation of the hmm is conducted using a variant of the iterative. Weekend gold returns in bull and bear markets blose. The views expressed herein are those of the authors and should not be attributed. Principles of economics open textbook bc open textbooks.
School of economics and finance, university of hong kong, pokfulam road, hong kong. Christos ntantamis measuring the synchronization of bull and bear markets in canadian housing prices. On this page you can read or download tflebook markets and strategy in pdf format. Christos ntantamis curriculum vitae, november 2017 contact information department of economics, dalhousie university 6214 university ave, po box 15000 halifax, ns b3h 4r2 canada mobile 1. Guglielmo maria caporale, christos ntantamis, theologos pantelidis and nikitas pittis. Valeri voev au, creates research fellows, copenhagen prof.
Testing for structural breaks and identifying their location is essential for econometric modeling. A monte carlo study, journal of financial econometrics, volume 3, issue 2. Successive editions of this textbook, which became samuelsonnordhaus. Decision making under uncertainty and reinforcement learning. The bds test as a test for the adequacy of a garch1,1. Pdf detecting housing submarkets using unsupervised. Principles of economics covers scope and sequence requirements for a twosemester introductory economics course. Faculty of science course syllabus department of economics.
Seminar archives department of economics dalhousie university. A duration hidden markov model for the identification of regimes in stock market returns. Lester hogan professor of eecs computer science division university of california at berkeley soda hall 689 eecs department berkeley, ca 94720, u. Christos ntantamis department of economics dalhousie university. In this study, we examine the brock, dechert and scheinkman bds test when applied to the standardised residuals of an estimated garch1,1. We would like to thank ngo van long, carlene belford, christos ntantamis, and an anonymous referee for hisher helpful comments and suggestions. Imf working papers describe research in progress by the authors and are published to elicit comments and to encourage. The focus is to publish papers on stateoftheart economics, business and management. A book of homage to peter will be made available to pay personal tribute to peter g. Topics covered include consumer demand, production, exchange, the price system, resource allocation, and government intervention.
Levitt shelved 4284 times as economics avg rating 3. Atlantic canada economics association acea 41 annual. By christos ntantamis abstract this paper introduces a duration hidden markov model to model bull and bear market regime switches in the stock market. Principles of economics covers the scope and sequence for a twosemester principles of economics course. Highlights 2009 center for research in econometric analysis of time series, creates, is a research unit at aarhus university, hosted by the school of economics and management. Faculty of science course syllabus department of economics econometrics ii, econ 5576 winter 2019 instructor. Room 111 james sawler curtailing economics 101ism for students of economics 101 jeff kadoguchi levelsetting economics education. Faculty of science course syllabus department of economics time series in economics, econ 4440 winter 2019 instructor. A monte carlo study public policy discussion papers, economics and finance section, school of social sciences, brunel university view citations 7. Oct 28, christos ntantamis, dalhousie university, measuring the synchronization of bull and bear markets in canadian housing prices pdf 1. International monetary fund, 700 19th nw, washington dc, usa. A monte carlo study, economics and finance discussion papers 0414, economics and finance section, school of. Christos ntantamis acknowledges support from creates center for research in econometric analysis of time series dnrf78, funded by the danish national research foundation.
The bds test as a test for the adequacy of a garch1, 1 specification. Public policy discussion papers from economics and finance section, school of social sciences, brunel university. Medas, christos ntantamis, and fotios raptis for their comments and suggestions, as well as participants to the 47th annual conference of the canadian economics association. One of the main concerns raised in both the theoretical and the empirical literature is the existence of spatial association between prices that can be attributed, among others, to unobserved neighborhood effects. Guglielmo maria caporale, christos ntantamis, theologos pantelidis, nikitas pittis, the bds test as a test for the adequacy of a garch1, 1 specification. In this study we examine the widely used brock, dechert and scheinkman bds. In the classical sense, a probability distribution is. The award winning paper was submitted by christos ntantamis, department of economics, mount allison university and jun zhou, rowe. A rogue economist explores the hidden side of everything hardcover by. Economics books showing 150 of 41,227 freakonomics.
A lot of this book is grounded in the essential methods of probability, in particular using it to represent uncertainty. Cardinal analysis, ordinal analysis, production function, economies of scale, cost concepts, price determination. We thank the social sciences and humanities research council of canada for. Economic conditions for regional development and for first nations. The information herein is published by dbs bank ltd the company. Economics is the study of choices made under constraints, usually the constraints of budgets, prices, and input costs. Christos ntantamis contact information current and past. On this page you can read or download bear arbst manual in pdf format. The role of natural, human and fiscal resources the contribution of innovation, education, trade, economics and the public sector. The authors are grateful for comments from christos ntantamis, hao zhou and participants at the third risk management conference, mont tremblant. Evidence from garch models with timevarying skewness and kurtosis, applied economics, 47, 27, 2844, 2015. Detecting structural breaks using hidden markov models. The bds test as a test for the adequacy of a garch1,1 specification. Christos laskos and euclid tsakalotos argue that greeces exceptionalism is largely a myth.
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