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The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach
SULEIMANN, Ryan - EconWPA - 2003
, using a bivariate SWARCH model to show the dependence of the high and low volatility states of the IT.CAC on the NASDAQ-100 …, with no intermediate simultaneous high-low volatility states. …
Persistent link: https://www.econbiz.de/10005556399
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Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach
SULEIMANN, Ryan - EconWPA - 2003
financial instruments in the portfolio and on the volatility of those returns.This task is relatively simple if the correlations … and volatilities do not change over time.But in reality both volatility and stock market indexes’ correlations do change …
Persistent link: https://www.econbiz.de/10005124892
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New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach
SULEIMANN, Ryan - EconWPA - 2003
modeling this market’s high volatility to prevent against crises.The strong linkage of the American and European New Technology …
Persistent link: https://www.econbiz.de/10005119158
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Non-stationarities in stock returns
Starica, Catalin; Granger, Clive - EconWPA - 2004
The paper outlines a methodology for analyzing daily stock returns that relinquishes the assumption of global stationarity. Giving up this common working hypothesis reflects our belief that fundamental features of the financial markets are continuously and significantly changing. Our approach...
Persistent link: https://www.econbiz.de/10005119176
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A Wavelet Analysis of MENA Stock Markets
Gallegati, Marco - EconWPA - 2005
equity markets (Egypt, Israel, Jordan, Morocco and Turkey) and applying the discrete wavelet decomposition analysis. We …
Persistent link: https://www.econbiz.de/10005076975
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Bank Stability and Market Discipline: Debt-for-Equity Swap versus Subordinated Notes
Raviv, Alon - EconWPA - 2004
costly failure. We propose a novel financial instrument, ‘Debt-for-Equity Swap’ contract (DES), that pays to its holder a … fixed income unless the value of the bank’s assets falls below a predetermined threshold. In such an event, the debt … obligation is automatically converted to the bank’s common equities. By using a contingent claims valuation approach we present …
Persistent link: https://www.econbiz.de/10005413031
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A Structural Model of the Inflation Process in South Africa
Aron, Janine; Muellbauer, John; Smit, Benjamin - EconWPA - 2004
inflation. The model is in the tradition of central bank models of the inflation process, but carefully tests for asymmetries …
Persistent link: https://www.econbiz.de/10005556034
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Tests of Conditional Predictive Ability
Giacomini, Raffaella; White, Halbert - EconWPA - 2003
approaches, our tests are valid under more general data assumptions (heterogeneity rather than stationarity) and estimation …
Persistent link: https://www.econbiz.de/10005556276
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Consistent Model Specification Tests Against Smooth Transition Alternatives
Hill, Jonathan B. - EconWPA - 2004
In this paper we develop tests of functional form that are consistent against a class of nonlinear "smooth transition" models of the conditional mean. Our method is an extension of the consistent model specification tests developed by Bierens (1990), de Jong (1996) and Bierens and Ploberger...
Persistent link: https://www.econbiz.de/10005556316
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Long range dependence effects and ARCH modelling
Mikosch, Thomas; Starica, Catalin - EconWPA - 2004
-stationarity on statistical instruments and estimation procedures. In particular, contrary to the common-hold belief that the LRD …
Persistent link: https://www.econbiz.de/10005556365