Showing 1 - 10 of 10
This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to...
Persistent link: https://www.econbiz.de/10013235116
This paper analyses the relationship between CPI and real GDP in both the US and the UK using fractional integration and long-range dependence techniques. All series appear to be highly trended and to exhibit high degrees of integration and persistence, especially in the case of CPI. Since the...
Persistent link: https://www.econbiz.de/10013235154
This paper examines the effects of the COVID-19 pandemic on stock returns, CDS and economic activity in the US and the five European countries (the UK, Germany, France, Italy, and Spain) which have been most affected. The sample period covers the dates from the first confirmed COVID-19 cases in...
Persistent link: https://www.econbiz.de/10013211119
This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from...
Persistent link: https://www.econbiz.de/10013314848
This paper examines the long-run dynamics and the cyclical structure of various series related to the US stock market using fractional integration. We implement a procedure which enables one to consider unit roots with possibly fractional orders of integration both at the zero (long-run) and the...
Persistent link: https://www.econbiz.de/10013316966
This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, SP500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies in price behaviour arise from witching by...
Persistent link: https://www.econbiz.de/10013323081
This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...
Persistent link: https://www.econbiz.de/10014239604
This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the period 1962-2021 using two different fractional integration approaches including Chebyshev polynomials and Fourier functions respectively. The results for both quarterly and...
Persistent link: https://www.econbiz.de/10013306037
This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of California, Colorado, Columbia and Ohio, and the role played by the recent Covid-19 pandemic and the COP policy announcements respectively. Specifically, four-variate VAR-GARCH-BEKK...
Persistent link: https://www.econbiz.de/10014358701
This paper uses fractional integration methods to examine persistence, trends and structural breaks in US house prices, more specifically the monthly Federal Housing Finance Agency (FHFA) House Price Index for Census Divisions, and the US as a whole over the period from January 1991 to August...
Persistent link: https://www.econbiz.de/10014264457