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Full-Text Articles in Econometrics
Aggregate Online Brand Name Pharmacy Price Dynamics For The United States And Mexico, Thomas M. Fullerton Jr., Steven L. Fullerton
Aggregate Online Brand Name Pharmacy Price Dynamics For The United States And Mexico, Thomas M. Fullerton Jr., Steven L. Fullerton
Border Region Modeling Project
Virtual cross-border medical tourism allows many residents in the United States to purchase brand name medicines from companies in Mexico without travelling there. Monthly economic reports indicate that the online brand name pharmaceutical product prices in Mexico are noticeably lower than the corresponding internet prices in the United States. There have been very few econometric studies on how these prices are linked and the dynamic nature of those relationships. Results in this study indicate that online medicine prices in Mexico respond very rapidly to online prices changes in the high-price market.
Forecasting Equity Index Volatility By Measuring The Linkage Among Component Stocks, Yue Qiu, Tian Xie, Jun Yu, Qiankun Zhou
Forecasting Equity Index Volatility By Measuring The Linkage Among Component Stocks, Yue Qiu, Tian Xie, Jun Yu, Qiankun Zhou
Research Collection School Of Economics
The linkage among the realized volatilities of component stocks is important when modeling and forecasting the relevant index volatility. In this article, the linkage is measured via an extended Common Correlated Effects (CCEs) approach under a panel heterogeneous autoregression model where unobserved common factors in errors are assumed. Consistency of the CCE estimator is obtained. The common factors are extracted using the principal component analysis. Empirical studies show that realized volatility models exploiting the linkage effects lead to significantly better out-of-sample forecast performance, for example, an up to 32% increase in the pseudo R2. We also conduct various forecasting exercises …