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Persistent link: https://www.econbiz.de/10000889047
This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration techniques which allow for the...
Persistent link: https://www.econbiz.de/10009614880
Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process conditional on information which is generated by...
Persistent link: https://www.econbiz.de/10009615423
This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations are conducted to evaluate the power and size...
Persistent link: https://www.econbiz.de/10009582383
Persistent link: https://www.econbiz.de/10001919426