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Gold and Silver as Safe Havens : A Fractional Integration and Cointegration Analysis
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022
This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with … 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and … sample starting in January 2020, the evidence in favour of gold and silver as possible safe havens is pretty conclusive since …
Persistent link: https://www.econbiz.de/10014241989
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How Money Relates to Value? An Empirical Examination on Gold, Silver and Bitcoin
Alves, José; Gonçalves, João Quental - 2022
our problem allowing us to ask how old forms of money such as Gold and Silver hold up in today’s world regarding their …. We analyse price dynamics from 1980 to 2020 for gold and silver resorting to annual data. Regarding bitcoin we employ …
Persistent link: https://www.econbiz.de/10013266627
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Connectedness between the Crude Oil Futures and Equity Markets During the Pre- and Post-Financialisation Eras
Wadud, Sania; Durand, Robert B. B.; Gronwald, Marc - 2021
This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects...
Persistent link: https://www.econbiz.de/10013218287
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Real-Time Forecasting Using Mixed-Frequency Vars with Time-Varying Parameters
Heinrich, Markus - 2020
This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed-frequency time-varying...
Persistent link: https://www.econbiz.de/10012842676
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Macro-Financial Linkages in the High-Frequency Domain : The Effects of Uncertainty on Realized Volatility
Caporale, Guglielmo Maria - 2020
-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …
Persistent link: https://www.econbiz.de/10012844423
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Exponent of Cross-Sectional Dependence for Residuals
Bailey, Natalia - 2018
In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise...
Persistent link: https://www.econbiz.de/10012908680
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Political Competitiveness and Fiscal Structure : A Time Series Analysis. Canada, 1870 - 2015
Ferris, J Stephen - 2018
We investigate the extent to which the intensity of political competition moderates the governance issues that arise in relation to Canada’s fiscal structure. By fiscal structure we mean three distinct but interrelated fiscal dimensions of the state: financial stability, long run size and...
Persistent link: https://www.econbiz.de/10012908683
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Right and Yet Wrong : A Spatio-Temporal Evaluation of Germany's COVID-19 Containment Policy
Berlemann, Michael; Haustein, Erik - 2020
In order to get the COVID-19 pandemic under control, most governments around the globe have adopted some sort of containment policies. In the light of the enormous costs of these policies, in many countries highly controversial discussions on the adequacy of the chosen policies evolved. We...
Persistent link: https://www.econbiz.de/10012827114
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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 …
Persistent link: https://www.econbiz.de/10012866377
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Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us
Haase, Felix; Neuenkirch, Matthias - 2021
The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability …
Persistent link: https://www.econbiz.de/10013250734