This paper applies dynamic specification approach and error correction model form to construct a quarterly foreign trade model of China at the aggregate level for the period of 1992-2004. The empirical results indicate China’s imports and exports depend on each other both in the long run and short run, which reflects the special and importance role of processing trade in China. Imports respond ...

Current integration and co-movement among international stock markets has been boosted by increased globalization of the world economy, and profit-chasing capital surfing across borders. With a reputation as the fastest growing economy in the world, China’s stock market has continued gaining momentum during recent years and incurred growing attention from academicians, as well as practitioners....

This study looks at the dynamic relationship between the Pakistani equity market and equity markets of Group of Eight countries (G8) which includes Canada, France, Germany, Italy, Japan, Russia, UK and USA by using weekly time series data starting from June 2004 to May 2009. Multivariate Co-integration approach by Johnson and Julius (1990) shows there exists no long-term relationship between th...

In this paper, we investigate the behavior of block errors which arise in data transmission on fading channels. Our approach takes into account the details of the specific coding/modulation scheme and tracks the fading process symbol by symbol. It is shown that a Markov approximation for the block error process (possibly degenerating into an identically distributed (i.i.d.) process for sufficie...

We examine the explanatory and predictive power of fundamental macroeconomic and behavioral factors with regards to stock returns of the Dow Jones Industrials Index. With a novel sentiment dataset from over 3.6 million Reuters news articles, we nd signi cant correlations between Reuters sentiment and stock returns. We show with vector autoregression and error correction models that Reuters sent...

Error correction models are widely used to estimate dynamic cointegrated systems. In most applications, estimated error correction models are reduced form models. As a result, nonstructural speed of adjustment coefficients are estimated in these applications. A single equation instrumental variable method can be used to estimate a structural speed of adjustment coefficient. This paper develops ...

In this paper, we present an analysis of the impact of using media–dependent Forward Error Correction (FEC) in VoIP flows over the Internet. This error correction mechanism consists of piggybacking a compressed copy of the contents of packet n in packet n + i (i being variable), so as to mitigate the effect of network losses on the quality of the conversation. To evaluate the impact of this tec...

This paper proposes a set of measurement to analyze the information content of limit order book based on cointegration theory and error correction model, and conduct empirical studies using the tick-by-tick transaction data of Shanghai Stock Exchange 180 Index components. Empirical results indicate that limit-order book is informative, even the orders other than the best bid and ask can also co...

This paper analyzes the public healthcare expenditure of Middle Eastern countries in relation to different exogenous explanatory variables, through a panel study involving twelve (12) Middle East countries. More specifically, the study methodology uses panel cointegration, and panel-based error correction models derived from annual data covering the period of 2000 to 2010. The empirical results...

a r t i c l e i n f o This paper examines the relationship between US crude oil and stock market prices, using a Markov-Switching vector error-correction model and a monthly data set from 1859 to 2013. The sample covers the entire modern era of the petroleum industry, which typically begins with the first drilled oil well in Titusville, Pennsylvania in 1858. We estimate a two-regime model that ...