On the role of structural breaks in identifying the dynamic conditional linkages between stock and commodity markets

2016 ◽  
Vol 9 (4) ◽  
pp. 71-81 ◽  
Author(s):  
Tarek Chebbi ◽  
Abdelkader Derbali
Keyword(s):  
Structural Breaks ◽  
Commodity Markets

Convergence of Corporate Governance Models

2004 ◽  
pp. 129-140 ◽  
Author(s):  
M. Tretyakov
Keyword(s):  
Corporate Governance ◽  
Institutional Environment ◽  
Driving Forces ◽  
Commodity Markets ◽  
Legal Systems ◽  
National Institutions ◽  
Governance Models ◽  
Changing Role

The article focuses on the analysis of the process of convergence of outsider and insider models of corporate governance. Chief characteristics of basic and intermediate systems of corporate governance as well as the changing role of its main agents are under examination. Globalization of financial and commodity markets, convergence of legal systems, an open exchange of ideas and information are the driving forces of the convergence of basic systems of corporate governance. However the convergence does not imply the unification of institutional environment and national institutions of corporate governance.

scholarly journals Selecting a Model for Forecasting

Econometrics ◽  
2021 ◽  
Vol 9 (3) ◽  
pp. 26
Author(s):  
Jennifer L. Castle ◽  
Jurgen A. Doornik ◽  
David F. Hendry
Keyword(s):  
Structural Breaks ◽  
Simulation Experiment ◽  
Structural Break ◽  
Static Model ◽  
Forecast Period ◽  
Forecast Performance ◽  
Significance Level ◽  
Forecasting Models ◽  
Theoretical Results

We investigate forecasting in models that condition on variables for which future values are unknown. We consider the role of the significance level because it guides the binary decisions whether to include or exclude variables. The analysis is extended by allowing for a structural break, either in the first forecast period or just before. Theoretical results are derived for a three-variable static model, but generalized to include dynamics and many more variables in the simulation experiment. The results show that the trade-off for selecting variables in forecasting models in a stationary world, namely that variables should be retained if their noncentralities exceed unity, still applies in settings with structural breaks. This provides support for model selection at looser than conventional settings, albeit with many additional features explaining the forecast performance, and with the caveat that retaining irrelevant variables that are subject to location shifts can worsen forecast performance.

The moderating role of informal economy on financial development induced ekc hypothesis in turkey

2022 ◽  
pp. 0958305X2110707
Author(s):  
Baris Memduh Eren ◽  
Salih Katircioglu ◽  
Korhan K. Gokmenoglu
Keyword(s):  
Financial Development ◽  
Informal Economy ◽  
Structural Breaks ◽  
Energy Use ◽  
Well Being ◽  
Supporting Evidence ◽  
Interaction Variables ◽  
The Impact ◽  
Moderating Role

This study conducts an empirical investigation about the moderating role of the informal economy on Turkey's environmental performance by employing advanced econometric techniques that account numerous structural breaks in series. In this extent, we created three interaction variables by captivating the impact of informal economic activities on CO2 emissions through income, energy use, and financial sector development. Besides, we built a main effect model without the interaction variables to assess the direct effects of our variables on global environmental degradation. The outcomes of the carried analyses produced supporting evidence toward the confirmation of the Environmental Kuznets Curve (EKC) assumption. Obtained findings shown that energy use, financial development and the informal economy in Turkey transmit a deteriorating impact on environmental well-being. Furthermore, the moderating role of the informal economy was found to be statistically significant factor in terms of both economic and environmental efficiency.

scholarly journals Revisiting the Integration of China Into the World Crude Oil Market: The Role of Structural Breaks

2019 ◽  
Vol 7 ◽  
Author(s):  
Zhenhua Liu ◽  
Zhihua Ding ◽  
Pengxiang Zhai ◽  
Tao Lv ◽  
Jy S. Wu ◽  
...  
Keyword(s):  
Crude Oil ◽  
Structural Breaks ◽  
Oil Market ◽  
The World

scholarly journals THE ROLE OF FORWARD MARKETS COMMISSION IN INDIAN COMMODITY MARKETS

2015 ◽  
Vol 3 (11) ◽  
pp. 87-105
Author(s):  
Shree Bhagwat ◽  
Angad Singh Maravi
Keyword(s):  
Commodity Markets ◽  
Commodity Futures ◽  
Commodity Market ◽  
Futures Trading ◽  
Forward Markets ◽  
Agriculture Sector ◽  
Risk Management Process ◽  
Current Scenario ◽  
Commodity Derivatives

This paper examines the role of Forward Markets Commission (FMC) in Indian Commodity Markets. The Results show important developments of Forward Markets Commission. Commodity futures and derivatives have a crucial role to play in the price risk management process, especially in agriculture sector. The significance of commodity derivatives has increased in the current scenario. India has long history of trade in commodity derivatives. Organized commodity derivatives in India started as early as 1875, barely about a decade after they started in Chicago. Since 2003, when commodity futures’ trading was permitted, commodity futures market in India has experienced an unprecedented boom in terms of the number of modern exchanges, number of commodities allowed for derivatives trading as well as the value of futures trading in commodities. There are 6 national and 16 regional commodity exchanges recognized and regulated by the FMC. Different types of commodities such as agricultural; bullion, plantation, energy etc. is traded on commodity exchanges in the country. So considering these points an attempt has been made to know the regulatory framework of commodity futures and derivatives market in India and various developments in Indian commodity market and commodity exchanges. This study is an attempt to investigate the performance of Forward Markets Commission in India and its role in Indian commodity market.

The Effect of an Electronic Exchange on Prices and Return Volatility in the Fine Wine Market

e-Finanse ◽  
2018 ◽  
Vol 14 (4) ◽  
pp. 22-35 ◽  
Author(s):  
Marcin Czupryna ◽  
Paweł Oleksy
Keyword(s):  
Cost Effective ◽  
Commodity Markets ◽  
Attractive Alternative ◽  
Return Volatility ◽  
Agricultural Commodity ◽  
Over The Counter ◽  
Trading Systems ◽  
Asset Class ◽  
Wine Market

AbstractFine wine has become an attractive alternative asset class in recent decades. In our study, we take the market microstructural perspective and verify how innovations in trading infrastructure affect the fine wine market. More specifically, we examine the average prices and the return volatility of fine wines traded on three different trading systems: automated electronic exchange, auctions and over-the-counter agreements (the OTC market). Our findings confirm an important role of a fully automated, cost-effective wine exchange in improving pricing efficiency and reducing market risk. This may constitute useful information for professional wine traders and institutional investors, who might consider shifting from less transparent trading systems into an automated on-book venue. This may also be a valuable indication for the future development of trading infrastructure in wine and other agricultural commodity markets.

Nonlinear time-series convergence: The role of structural breaks

2011 ◽  
Vol 110 (3) ◽  
pp. 238-240 ◽  
Author(s):  
Alan King ◽  
Carlyn Ramlogan-Dobson
Keyword(s):  
Time Series ◽  
Structural Breaks ◽  
Nonlinear Time Series ◽  
Series Convergence

Role of Universities on the Level of Regional Growth in Portugal

2020 ◽  
pp. 183-202
Author(s):  
Vitor Miguel Ribeiro ◽  
Celeste Varum ◽  
Ana Dias Daniel
Keyword(s):  
Economic Growth ◽  
Regional Development ◽  
Structural Breaks ◽  
Positive Impact ◽  
Regional Growth ◽  
Long Run ◽  
Key Players ◽  
One Step ◽  
The University

Universities nowadays are considered key players in the development of entrepreneurial ecosystems and, thus, may impact regional development. This chapter analyzes the role of the university as a determinant of regional economic growth in Portuguese NUTS III regions, from 2004-2017. One-step and two-step system GMM estimation results show a statistically significant and positive impact of universities upon regional growth. Moreover, the magnitude of effects is transversely stronger in the long run, which requires the need to avoid structural breaks in public actions previously initiated in the past.

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