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Credit risk-free sovereign bonds under Solvency II : a cointegration analysis with consistently estimated structural breaks
Ludwig, Alexander - In: Applied financial economics 24 (2014) 10/12, pp. 811-823
Persistent link: https://www.econbiz.de/10010402551
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Testing for structural breaks in GARCH models
Smith, Daniel R. - In: Applied financial economics 18 (2008) 10/12, pp. 845-862
Persistent link: https://www.econbiz.de/10003739446
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Macroeconomic instability in the European monetary system?
Morales Zumaquero, Amalia; Sosvilla-Rivero, Simón - In: Applied financial economics 18 (2008) 10/12, pp. 965-983
Persistent link: https://www.econbiz.de/10003739512
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Testing for bubbles : an application of tests for change in persistence
Sollis, Robert - In: Applied financial economics 16 (2006) 6, pp. 491-498
Persistent link: https://www.econbiz.de/10003335024
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Structural breaks in the real exchange rate adjustment mechanism
Copeland, Laurence S.; Heravi, Saeed M. - In: Applied financial economics 19 (2009) 1/3, pp. 121-134
We show that the behaviour of the real exchange rates of the UK, Germany, France and Japan has been characterized by structural breaks, which changed the adjustment mechanism. In the context of a Time-Varying Smooth Transition Autoregression (TV-STAR) of the kind introduced by Lundbergh et al....
Persistent link: https://www.econbiz.de/10003825837
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Structural breaks and common factors in the volatiliy of the Fama-French factor portfolios
Morana, Claudio; Beltratti, Andrea - In: Applied financial economics 16 (2006) 14, pp. 1059-1073
Persistent link: https://www.econbiz.de/10003377864
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Testing financial liberalization hypothesis with ARDL modelling approach
Shrestha, Min B.; Chowdhury, Khorshed - In: Applied financial economics 17 (2007) 16/18, pp. 1529-1540
Persistent link: https://www.econbiz.de/10003605862
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Structural breaks and the Fisher hypothesis in bond and stock markets
Bae, Sung-chul; Yi, Taihyeup David - In: Applied financial economics 19 (2009) 22/24, pp. 1961-1973
(CUSUM) test, in which the timing of structural breaks is based completely on sample data without requiring a priori … information. The CUSUM test identifies a structural break in 1982Q1, which coincides approximately with the Federal Open Market … rejected after the structural break identified by the CUSUM test in either the aggregate bond or stock market. In sum, our …
Persistent link: https://www.econbiz.de/10003921108
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Financial liberalization, structural breaks and stock market volatility : evidence from South Africa
Ndako, Umar Bida - In: Applied financial economics 22 (2012) 13/15, pp. 1259-1273
Persistent link: https://www.econbiz.de/10009625377
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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