Evaluating Properties and Performance of Long Memory Models from an Emerging Foreign Markets Return Innovations

The study investigates evaluate properties and performance of long memory models from emerging foreign markets return innovations between 1991 - 2020. The purpose of the study includes; investigate the persistence of shocks in Nigerian international markets, model long-range dependence, test the efficient markets hypothesis using fractionally integrated volatility models, develop an appropriate long memory model for Nigerian international markets, compare the advantages between short and long memory models in modeling for the returns in Nigerian international Markets and Give forecast values for future occurrences. The design for the study was an ex post facto research design. The data used for this study were Nigerian crude oil prices (Dollar per Barrel), exchange rate, and Agricultural Commodity prices extracted from the website of the Central Bank of Nigeria (CBN) www.cbn.ng. The total data points were 1044 and it spanned from 1st January 1991 to 30th January 2020. The statistical software used for data analysis was STATA 15 and OX metrics version 7. In an attempt to achieve the aim of the study, parametric and non-parametric methods of detecting Long Memory were applied. The study applied short and long memory models in an attempt to spot out the deficiencies associated with the short memory models. The results confirmed the presence of long memory in sales and returns on prices in Nigerian international markets. The presence of long memory in both sales and returns on prices in Nigerian International markets disprove the efficient market hypothesis which says that the future returns and volatility values are unpredictable. Similarly, base on performance evaluation using the Akaike information criteria, ARFIMA(1,-0.021,1) model was found to be the best fit model to the data after checking the adequacy of the model selected. Sequel to the above, it was recommended that there is a need for a strong financial and economic reform policy to curb persistent shocks in Nigerian international markets. This is because a stable local financial currency builds confidence in an economy, especially when foreign investors intend to invest in the country’s economy. For example, exchange rate policies also trim down the desire for local investors to trade in the international market. Also, for empirical estimation of long memory sales and returns on prices in Nigeria international markets, ARFIMA(1,-0.021,1) model should be considered appropriate. Two years (January, 20 to Dec-22) step ahead forecast shows that the predicted value for Cocoa Bean Sale using the ARFIMA (1,-0.021,1) falls between the range of 1.907247 to 1.915947.

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North American entrepreneurs in Cuba: which entry mode and government affiliation strategy?

European Journal of Management and Business Economics ◽

10.1108/ejmbe-12-2017-0065 ◽

2018 ◽

Vol 27 (3) ◽

pp. 285-303 ◽

Cited By ~ 1

Author(s):

Natalia Vila-Lopez ◽

Graham White

Keyword(s):

Entry Mode ◽

Foreign Market ◽

International Markets ◽

Performance Outcomes ◽

Added Value ◽

Entry Modes ◽

Foreign Markets ◽

Content Type ◽

Final Sample ◽

And Performance

PurposeTo have success in newly liberalized markets, firms must have a plan of action before resources are committed. What some companies do not realize is that their own entrepreneurial orientation (EO) will dictate their strategies, and performance outcomes, in both their home market and abroad. In order to maximize firm performance in newly liberalized markets (such as Cuba), firms must be able to objectively gauge their own EO. The paper aims to discuss these issues.Design/methodology/approachWithin this framework, the present paper will attempt to effectively measure the EO of decision-making managers from US companies that have an interest in entering the Cuban market. A final sample of 81 US managers accepted to collaborate. They were then split into two groups (high and low EO; with 41 and 35 managers in each group, respectively) and compared regarding three variables: entry mode strategy, government affiliation strategy, and performance outcomes.FindingsThe results show that EO is related with performance, but not with the two proposed variables of entry mode and government affiliation.Originality/valueIn sum, the added value of the paper is to link US managers’ strategies and performance in a newly liberalized market which has been seldom studied: Cuba. The fields of entry mode strategies and government affiliation decisions in this newly liberalized market remain poorly investigated. Not all firms managed by highly entrepreneurial-orientated managers will decide to enter foreign markets and, on the contrary, domestic firms which are not interested in international markets can be run by highly entrepreneurial managers. This is due, in part, to the fact that internationalization can be driven by other factors. Therefore, this paper will attempt to demonstrate if certain entry modes will perform better than others when the foreign market is a newly liberalized economy. Additionally, the importance, and effect, of governmental relationships on performance outcomes will be tested within the research.

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The out-of-sample forecasts of nonlinear long-memory models of the real exchange rate

International Journal of Finance & Economics ◽

10.1002/ijfe.304 ◽

2006 ◽

Vol 11 (4) ◽

pp. 355-370 ◽

Cited By ~ 4

Author(s):

Sang-Kuck Chung

Keyword(s):

Exchange Rate ◽

Real Exchange Rate ◽

Long Memory ◽

Memory Models ◽

The Real ◽

Out Of Sample

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Farzana Naqvi. Energy, Economy and Equity Interactions in a CGE Model for Pakistan. Aldershot: Ashgate Publishing Company, 1997. Hardbound. Price not given. xxii+290 pages.

The Pakistan Development Review ◽

10.30541/v38i2pp.219-222 ◽

1999 ◽

Vol 38 (2) ◽

pp. 219-222

Author(s):

Hina Nazli

Keyword(s):

Negative Impact ◽

Commodity Prices ◽

Government Revenue ◽

Foreign Markets ◽

Nontraded Goods ◽

Real Gdp ◽

International Donor ◽

Energy Economy ◽

Balance Of Trade ◽

Donor Agencies

Modernisation of the agricultural, industrial and household sectors causes the demand for energy to increase more rapidly than its supply. In countries that aim to modernise quickly a heavy investment is required to redress this imbalance. That is why in countries such as Pakistan, the energy has remained on the top of the agenda of loan negotiation with international donor agencies. Energy serves as both a final consumption good and as an essential intermediate input in the production of goods. Thus any change in the price of energy at both these levels affects consumption as well as production and that, in turn, can cause changes in the prices of all other commodities. A change in the prices of exportables affects their demand in foreign markets and any change in the prices of import-competing and nontraded goods affects their demand at home. The net effects of all these changes can be measured in terms of the effects on real GDP, balance of trade, and government revenue. And, because any change in commodity prices exerts a negative impact on real consumption of households; the formulation of a comprehensive energy policy requires a framework that can take the immense complexity of the linkages of all the sectors of the economy into consideration. In the book under review, Dr Farzana Naqvi, argues that the issues of energy pricing can not be examined in isolation and presents a general equilibrium framework to address the complex issues related to energy, economy and equity.

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