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Persistent link: https://www.econbiz.de/10010520824
This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the standard ones usually employed in the literature. The...
Persistent link: https://www.econbiz.de/10011334455
This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the standard ones usually employed in the literature. The...
Persistent link: https://www.econbiz.de/10011343058
Persistent link: https://www.econbiz.de/10008748168
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...
Persistent link: https://www.econbiz.de/10009272623
Persistent link: https://www.econbiz.de/10001615056
Persistent link: https://www.econbiz.de/10001615066
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10012584220
This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to...
Persistent link: https://www.econbiz.de/10012494826
This paper examines stock market integration between the ASEAN five and the US and China, respectively, over the period from November 2002 to March 2018. The linkages between both aggregate and financial sector stock indices (both weekly and monthly) are analysed using fractional integration and...
Persistent link: https://www.econbiz.de/10011982404