Adopt the euro? The GME approach

Ferreira, Paulo; Dionísio, Andreia; Pires, Cesaltina Pacheco

doi:10.1007/s11403-010-0062-x

Cited by 11 publications

(4 citation statements)

References 27 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In fact, in the set of countries used in this paper, these countries have more studies on CIP, due to the fact that they belonged to the EU before the creation of the common currency. Similar results can be found in studies by Ferreira et al (2010), Holmes andPentecost (1996, 1999) or Lemmen (1996).…”

Section: Revisiting Covered Interest Parity In the European Union 13supporting

confidence: 90%

See 1 more Smart Citation

Revisiting Covered Interest Parity in the European Union: the DCCA Approach

Ferreira

Dionísio

2015

International Economic Journal

Self Cite

View full text Add to dashboard Cite

Section: Revisiting Covered Interest Parity In the European Union 13supporting

confidence: 90%

“…General Maximum Entropy is one of these methodologies and allows, for co-integrated series, direct analysis of equation (4). Ferreira et al (2010) used this methodology and found, once again, that Central European countries show more evidence of CIP than Southern European ones.…”

Section: Revisiting Covered Interest Parity In the European Unionmentioning

confidence: 99%

Revisiting Covered Interest Parity in the European Union: the DCCA Approach

Ferreira

Dionísio

2015

International Economic Journal

Self Cite

View full text Add to dashboard Cite

“…arbitrage deviations include a compensation for liquidity and credit risk. Ferreira et al (2010) use Augmented Dickey Fuller (A.D.F.) test, univariate approach and Generalised Maximum Entropy to investigate C.I.P., finding that since the adoption of the Euro, it cannot be used to measure financial integration among E.U.…”

Section: Literature Reviewmentioning

confidence: 99%

Does the covered interest rate parity fit for China?

Wang

Tao

et al. 2019

Economic Research-Ekonomska Istraživanja

View full text Add to dashboard Cite

This paper aims to investigate whether the covered interest rate parity (C.I.P.) holds or not through examining the dynamic link between nominal interest rate differential (N.I.R.D.) and nominal exchange rate (N.E.R.) in China. With economic transitions and structural changes existing, we find that the C.I.P. condition using full-sample data does not always hold. Consequently, we apply a time-varying rolling-window approach to revisiting the dynamic causal relationship, and the results show that N.I.R.D. has both positive and negative impacts on N.E.R. in several sub-periods, and in turn, N.E.R. has the same effects on N.I.R.D. for China. Exchange regime reform, currency-specific market risk and capital control are considered in explaining the deviations in some subsample periods. Therefore, empirical results have important implications for distinguishing factors that bring about the C.I.P. deviations and further offers policy suggestions for the Chinese monetary authority.

show abstract

“…Some applications of the GME estimator can be found in Macedo et al (2014), Ferreira et al (2010), Campbell et al (2008), Tonini and Jongeneel (2008), Campbell and Hill (2006), Lansink et al (2001), Lence and Miller (1998), Paris and Howitt (1998), among others.…”

Section: Definition 12mentioning

confidence: 99%

Regularization with Maximum Entropy and Quantum Electrodynamics: The Merg(E) Estimators

Macedo

Scotto

Silva

2015

Communications in Statistics - Simulation and Computation

View full text Add to dashboard Cite

It is well known that under fair conditions linear regression becomes a powerful statistical tool. In practice, however, some of these conditions are usually not satisfied and regression models become ill-posed, implying that the application of traditional estimation methods may lead to nonunique or highly unstable solutions. Addressing this issue, in this article a new class of maximum entropy estimators suitable for dealing with ill-posed models, namely, for the estimation of regression models with small samples sizes affected by collinearity and outliers, is introduced. The performance of the new estimators is illustrated through several simulation studies.

show abstract

Adopt the euro? The GME approach

Abstract: Financial integration, Generalized maximum entropy, Timeseries analysis, Ill-posed problems, C15, C61, G15,

Cited by 11 publications

References 27 publications

Revisiting Covered Interest Parity in the European Union: the DCCA Approach

Revisiting Covered Interest Parity in the European Union: the DCCA Approach

Does the covered interest rate parity fit for China?

Regularization with Maximum Entropy and Quantum Electrodynamics: The Merg(E) Estimators

Contact Info

Product

Resources

About