Similar Search Results

Persistence, Non-Linearities and Structural Breaks in European Stock Market Indices

Caporale, Guglielmo Maria - 2019

This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...

Persistent link: https://www.econbiz.de/10012866377

Macroeconomic fundamentals and exchange rates : a non-parametric cointegration analysis

Davradakis, Emmanuel - In: Applied financial economics 15 (2005) 7, pp. 439-446

Persistent link: https://www.econbiz.de/10002738621

Nonparametric regression and the detection of turning points in the Ifo business climate

Abberger, Klaus - 2004

Business climate indicators are used to receive early signals for turning points in the general business cycle. Therefore methods for the detection of turning points in time series are required. Estimations of slopes of a smooth component in the data can be calculated with local polynomial...

Persistent link: https://www.econbiz.de/10010261265

A new test for simultaneous estimation of unit roots and GARCH risk in the presence of stationary conditional heteroscedasticity disturbances

Sjölander, Pär - In: Applied financial economics 18 (2008) 7/9, pp. 527-558

Persistent link: https://www.econbiz.de/10003739218

Do common volatility models capture cyclical behaviour in volatility?

Clements, Adam; Collet, Jérôme - In: Applied financial economics 18 (2008) 7/9, pp. 599-604

Persistent link: https://www.econbiz.de/10003739247

Forecasting stock return volatility at the quarterly frequency : an evaluation of time series approaches

Reeves, Jonathan J.; Xie, Xuan - In: Applied financial economics 24 (2014) 4/6, pp. 347-356

Persistent link: https://www.econbiz.de/10010399705

Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model

Nasr, Adnen Ben; Ajmi, Ahdi Noomen; Gupta, Rangan - In: Applied financial economics 24 (2014) 13/15, pp. 993-1004

Persistent link: https://www.econbiz.de/10010415355

Volatility forecasting performance of two-scale realized volatility

Garg, S.; Vipul - In: Applied financial economics 24 (2014) 16/18, pp. 1111-1121

Persistent link: https://www.econbiz.de/10010418949

Revisiting purchasing power parity in African countries : panel stationary test with sharp and smooth breaks

Bahmani-Oskooee, Mohsen; Chang, Tsangyao; Wu, Tsungpao - In: Applied financial economics 24 (2014) 22/24, pp. 1429-1438

Persistent link: https://www.econbiz.de/10010460119

The weekly structure of US stock prices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Applied financial economics 21 (2011) 22/24, pp. 1757-1764

Persistent link: https://www.econbiz.de/10009384839