Welcome to International Journal of Econometrics and Financial Management

The “International Journal of Econometrics and Financial Management publishes research papers around behavioural issues in econometrics, financial Management, quality control and optimization.
It aims to discuss the effect of the emergence of the behavioural theory in different fields of research. This journal is a leader in its domain for it is the first journal that introduces concepts of “Financial Management” and “Econometrics of Quality Control”.
International Journal of Econometrics and Financial Management is also concerned with the link between the real and financial sides of the economy, forecasting and recent developments in econometric techniques applicable to financial Management research.
International Journal of Econometrics and Financial Management aims at publishing articles and short research notes particularly in the areas of international economics, Quality control, international finance, international banking and portfolio management, Islamic Finance, Supply chain Management, financial econometric analysis, financial market regulation, financial risk analysis, transition economies, corporate finance, exchange rate modelling, forecasting financial markets, Simulation, pricing and risk of financial instruments, advances in financial econometrics and statistics, and public finance decision-making.

ISSN (Print): 2374-2011

ISSN (Online): 2374-2038

Editor-in-Chief: Tarek Sadraoui

Website: http://www.sciepub.com/journal/IJEFM

   

Article

Smooth Bootstrap Methods on External Sector Statistics

1Department of Statistics, Michael Okpara University of Agriculture Umudike, Abia State, Nigeria

2Department of Banking and Finance, University of Uyo, Uyo, AkwaIbom State, Nigeria


International Journal of Econometrics and Financial Management. 2015, 3(3), 115-120
doi: 10.12691/ijefm-3-3-2
Copyright © 2015 Science and Education Publishing

Cite this paper:
Acha Chigozie K, Acha Ikechukwu A. Smooth Bootstrap Methods on External Sector Statistics. International Journal of Econometrics and Financial Management. 2015; 3(3):115-120. doi: 10.12691/ijefm-3-3-2.

Correspondence to: Acha  Chigozie K, Department of Statistics, Michael Okpara University of Agriculture Umudike, Abia State, Nigeria. Email: specialgozie@yahoo.com

Abstract

The investigation of the possibility of a significant difference existing in the parametric and nonparametric bootstrap methods on external sector statistics, and establishing the sample data distribution using the smooth bootstrap is the focus of this study. The root mean square error (RMSE) and the kernel density will be used on the test statistic θ in the determination of such difference. Establishing this difference will lead to more detailed study to discover reasons for such difference. This will also aid the Nigeria economy to aim at improving the performance of the external sector statistics (ESS). The study used secondary data from Central bank of Nigeria (1983-2012). Analysis was carried out using R-statistical package. In the course of the analysis, 17280 scenarios were replicated 200 times. The result shows a significant difference between the performances of the parametric and nonparametric smooth bootstrap methods, namely; wild and pairwise bootstrap respectively. The significantly better performance of the wild bootstrap indicate the possible use of this technique in assessment of comparative performance of ESS with a view to further understanding the better performers in order to identify factors contributing to such better performance. Also, when the sample size and the bootstrap level are very high, the smooth bootstrap or kernel density estimates outperform the pair wise bootstrap notwithstanding that they are nonparametric methods. The kernel density plots revealed that the sampling distribution of the ESS was found to be a Chi-square distribution and was confirmed by the smooth bootstrap methods.

Keywords

References

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Article

Adjusting Band-Regression Estimators for Prediction: Shrinkage and Downweighting

1Department of Statistics and Operations Research, University of Vienna, Vienna, Austria


International Journal of Econometrics and Financial Management. 2015, 3(3), 121-130
doi: 10.12691/ijefm-3-3-3
Copyright © 2015 Science and Education Publishing

Cite this paper:
Erhard Reschenhofer, Marek Chudy. Adjusting Band-Regression Estimators for Prediction: Shrinkage and Downweighting. International Journal of Econometrics and Financial Management. 2015; 3(3):121-130. doi: 10.12691/ijefm-3-3-3.

Correspondence to: Erhard  Reschenhofer, Department of Statistics and Operations Research, University of Vienna, Vienna, Austria. Email: erhard.reschenhofer@univie.ac.at

Abstract

This paper proposes further developments of band-regression models for forecasting purposes, namely a simple method for shrinking the parameter estimates as well as a method for the automatic selection of the underlying frequency band. In combination with a method for downweighting older data, the improved band-regression model is used to forecast real GDP growth across nine industrialized economies. The results of this empirical study show that this forecasting approach outperforms conventional forecasting methods. As a secondary finding, the empirical results also raise doubts whether the yield-curve spread is really a valuable leading indicator of GDP growth.

Keywords

References

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Article

The Role of Uganda Securities Exchange in the Economic Growth of Uganda: An Econometric Analysis

1Faculty of Business and Development Studies, Gulu University, P. O. Box 166 Gulu, Uganda

2Department of Management, SMC University, Zug, Switzerland


International Journal of Econometrics and Financial Management. 2015, 3(3), 131-141
doi: 10.12691/ijefm-3-3-4
Copyright © 2015 Science and Education Publishing

Cite this paper:
Mshilla Maghanga, William Quisenberry. The Role of Uganda Securities Exchange in the Economic Growth of Uganda: An Econometric Analysis. International Journal of Econometrics and Financial Management. 2015; 3(3):131-141. doi: 10.12691/ijefm-3-3-4.

Correspondence to: Mshilla  Maghanga, Faculty of Business and Development Studies, Gulu University, P. O. Box 166 Gulu, Uganda. Email: mshilla2000@gmail.com

Abstract

This study focused on the role of the Uganda Securities Exchange (USE) in stimulating economic growth in Uganda based on the premise that its contribution is not evident and yet is has been documented that economic growth is accelerated once a stock exchange opens, and that, securities markets support economic growth and can increase economic efficiency, investment and growth of real gross domestic product (GDP) of a country. This quantitative study focused on a period of twenty five years (1986-2010). Autoregressive distributed lag (ARDL) bounds testing procedure was adopted because the Uganda’s stock market is not only small but also very young. The study variables included real GDP as a proxy of economic growth; while the proxies for the stock exchange development were shares traded, market turnover, and market capitalization. The sources of these data included Uganda Bureau os Statictics, Bank of Uganda, USE, Ministry of Finance and Economic Development, International Monetary Fund, and World Bank databases. Analyses were carried out using SPSS and SHAZAM computer softwares. Real GDP was established to be more closely correlated to market capitalisation [Pearson’s r = .973, Sig. (2-tail) = .000] than it is with the turnover [Pearson’s r = .634, Sig. (2-tail) = .036] and the shares traded [Pearson’s r = .730, Sig. (2-tail) = .011]. While a strong and statistically significant correlation was established between the economic growth and the Exchange, the Granger causality relationship findings were inconclusive further affirming that stock markets are not a sine qua non of economic growth. It was recommended that the government should support USE to attract more investors and become more vibrant. Also, USE should take advantage of the East African Stock Markets Association (EASEA) to grow its operations and market base.

Keywords

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