Showing 1 - 10 of 1,894
index numbers and demand for characteristics to develop a new method for incorporating changes on the extensive …
Persistent link: https://www.econbiz.de/10012891565
This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...
Persistent link: https://www.econbiz.de/10013225332
We develop a programming algorithm that predicts a balanced-panel mix-adjusted house price index for arbitrary spatial …
Persistent link: https://www.econbiz.de/10013219061
different sources we can do even better. Our analysis results in a new index of global economic conditions and new measures for …
Persistent link: https://www.econbiz.de/10012834350
indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of … has relatively more power than European markets in explaining the WSE index WIG. …
Persistent link: https://www.econbiz.de/10010277059
This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by …
Persistent link: https://www.econbiz.de/10012871648
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 uses fractional integration methods to assess the impact of US policy responses (containment and health measures, income support policy, debt-relief policy, changes in the Effective Federal Funds Rate, monetary and fiscal announcements) to the COVID-19 pandemic on US sectoral stock...
Persistent link: https://www.econbiz.de/10013322776
We introduce the revised version of the KOF Globalisation Index, a composite index measuring globalization for every … country in the world along the economic, social and political dimension. The original index was introduced by Dreher (2006 …) and updated in Dreher et al. (2008). This second revision of the index distinguishes between de facto and de jure measures …
Persistent link: https://www.econbiz.de/10012892154
We formulate a simple theoretical model of a banking industry that we use to identify and construct theory …
Persistent link: https://www.econbiz.de/10010272761