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The Weekly Structure of US Stock Prices
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2021
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...
Persistent link: https://www.econbiz.de/10013316133
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Sources of Real Exchange Rate Volatility and International Financial Integration : A Dynamic GMM Panel Approach
Caporale, Guglielmo Maria - 2011
The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange … and monetary) can account for volatility of real exchange rates in emerging economies, with international financial …
Persistent link: https://www.econbiz.de/10013117985
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Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate
Caporale, Guglielmo Maria - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10013082343
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Commodity Price Volatility, Democracy and Economic Growth
Arezki, Rabah - 2013
We use a new dataset on non-resource GDP to examine the impact of commodity price volatility on economic growth in a … panel of up to 158 countries during the period 1970-2007. Our main finding is that commodity price volatility leads to a … result, we show that increased commodity price volatility leads to a statistically significant and quantitatively large …
Persistent link: https://www.econbiz.de/10013092229
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Assets Returns Volatility and Investment Horizon : The French Case
Bec, Frederique - 2009
conditional volatility across investment horizons. The results reveal the same kind of horizon effect as the one found in recent …
Persistent link: https://www.econbiz.de/10013160520
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Pulling Up the Tarnished Anchor : The End of Silver As a Global Unit of Account
Fernholz, Ricardo T. - 2017
suggests that a global bimetallic system, in which the gold price of silver uctuates, has higher price volatility than a global …
Persistent link: https://www.econbiz.de/10012955754
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim - 2017
We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10012958874
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim - 2018
We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10012910613
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Regional Origins of Employment Volatility : Evidence from German States
Buch, Claudia M. - 2008
increase uncertainty through a higher volatility of employment. We use regional data from Germany to test whether openness for … trade has an impact on volatility. We find a downward trend in the unconditional volatility of employment, which has been … interrupted by the re-unification period. Patterns are similar to those for output volatility. The conditional volatility of …
Persistent link: https://www.econbiz.de/10012772003
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International Portfolio Flows and Exchange Rate Volatility for Emerging Markets
Caporale, Guglielmo Maria - 2015
This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly … Kong, Thailand, the Philippines, and Taiwan) over the period 1993:01-2012:11, and estimating a time-varying transition … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility …
Persistent link: https://www.econbiz.de/10013009868