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Full-Text Articles in Econometrics
On Emerging Asia-Pacific Equity Markets From The Perspective Of The Dynamics Of Mean And Volatility Spillovers, Li Xu
FIU Electronic Theses and Dissertations
This dissertation investigates the dynamics of mean and volatility spillovers from the U.S. and three large (regional) Asia-Pacific stock markets to ten small (local) ones from June 2008 to May 2013.
After a brief introduction to the main purposes and contributions of my research in Chapter 1, I examine the impact of lagged American and regional returns on the local markets in Chapter 2. By building up a univariate autoregressive model and treating lagged U.S. and regional returns as exogenous variables, I find that the local markets have statistically significant exposure to lagged returns of their own and the U.S. …
Business Cycle Effects On Us Sectoral Stock Returns, Keran Song
Business Cycle Effects On Us Sectoral Stock Returns, Keran Song
FIU Electronic Theses and Dissertations
My dissertation investigated business cycle effects on US sectoral stock returns.
The first chapter examined the relationship between the business cycle and sectoral stock returns. First, I calculated constant correlation coefficients between the business cycle and sectoral stock returns. Then, I employed the DCC GARCH model to estimate time-varying correlation coefficients for each pair of the business cycle and sectoral stock returns. Finally, I ran regression of sectoral returns on dummy variables designed to capture the four stages of the business cycle. I found that though sectoral stock returns were closely related to the business cycle, they did not share …
Essays On Competition In The Pharmaceutical Industry, Jiangyun Wan
Essays On Competition In The Pharmaceutical Industry, Jiangyun Wan
FIU Electronic Theses and Dissertations
Chapter 1: Patents and Entry Competition in the Pharmaceutical Industry: The Role of Marketing Exclusivity
Effective patent length for innovation drugs is severely curtailed because of extensive efficacy and safety tests required for FDA approval, raising concern over adequacy of incentives for new drug development. The Hatch-Waxman Act extends patent length for new drugs by five years, but also promotes generic entry by simplifying approval procedures and granting 180-day marketing exclusivity to a first generic entrant before the patent expires. In this paper we present a dynamic model to examine the effect of marketing exclusivity. We find that marketing exclusivity …