Showing 1 - 10 of 134
We examine determinants of inflation in China. Analyses of both yearonyear and monthonmonth growth data confirm excess …
Persistent link: https://www.econbiz.de/10009363914
Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted … bond returns in particular for short maturities. This finding has important implications for modelling and forecasting … government bond returns. For example, widely used models for yield curve analysis such as the affine term structure model assume …
Persistent link: https://www.econbiz.de/10011278032
Is there asymmetry in the distribution of government bond returns in developed countries? Can asymmetries be predicted … bond returns in particular for short maturities. This finding has important implications for modelling and forecasting … government bond returns. For example, widely used models for yield curve analysis such as the affine term structure model assume …
Persistent link: https://www.econbiz.de/10011278127
We investigated whether differences in quality of firm-level corporate governance can explain the firm-level performance in a cross-section of companies listed at Karachi Stock Exchange. Therefore, we analysed the relationship between firm-level value as measured by Tobins Q and total Corporate...
Persistent link: https://www.econbiz.de/10009363281
Most studies of exchange rate exposure of stock returns do not address three relevant aspects simultaneously. They are, namely : sensitivity of stock returns to exchange rate changes; sensitivity of volatility of stock returns to volatility of changes in foreign exchange market; and the...
Persistent link: https://www.econbiz.de/10009363774
This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. A trivariate BEKK-GARCH-in-mean model is used to estimate the timevarying conditional variance and covariance of returns of stock index, the world market portfolio and changes...
Persistent link: https://www.econbiz.de/10009363801
circumstances, it is required that the Japanese government, as the supplier of the Japanese Government Bond (JGB), a unique yen … issues will contribute to the development of bond market and ALM (Asset Liability Management) of financial institutions. On …
Persistent link: https://www.econbiz.de/10009363818
Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce...
Persistent link: https://www.econbiz.de/10009363828
, home price index and asset-backed commercial paper), two commodities (the crude oil price and platinum price), one bond …
Persistent link: https://www.econbiz.de/10009363843
Previous studies on the office market tend to focus on either the rental market or the aggregate sale market. This paper focuses on the intra-metropolitan sale market and the office price and trading volume dynamics in Hong Kong. Buildings with higher prices are not necessarily being traded...
Persistent link: https://www.econbiz.de/10009363845