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On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - CESifo - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10010636593
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Cointegration Tests of PPP : Do They Also Exhibit Erratic Behaviour?
Caporale, Guglielmo Maria; Hanck, Christoph - 2021
(possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage …
Persistent link: https://www.econbiz.de/10013317393
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Cointegration Tests of PPP: Do they also Exhibit Erratic Behaviour?
Caporale, Guglielmo Maria; Hanck, Christoph - CESifo - 2006
(possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage …
Persistent link: https://www.econbiz.de/10005765840
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Volatility of Exchange Rates in Selected New EU Members: Evidence from Daily Data
Fidrmuc, Jarko; Horváth, Roman - CESifo - 2007
We examine the daily exchange rate dynamics in selected new EU member states (Czech Republic, Hungary, Poland, Romania, and Slovakia) using GARCH and TARCH models between 1999 and 2006. Despite these countries adopted inflation targeting regime, they occasionally tried to manage their exchange...
Persistent link: https://www.econbiz.de/10005765724
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On the Linkages between Stock Prices and Exchange Rates : Evidence from the Banking Crisis of 2007-2010
Caporale, Guglielmo Maria - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10013083258
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An Exponential Class of Dynamic Binary Choice Panel Data Models with Fixed Effects
Al-Sadoon, Majid M.; Li, Tong; Pesaran, M. Hashem - CESifo - 2012
eliminate the unobserved heterogeneity term and at the same time to identify the parameters of the model. We then propose GMM … likelihood approach, which can only identify the effect of state dependence in our case. Monte Carlo experiments demonstrate the … finite sample performance of our GMM estimators. …
Persistent link: https://www.econbiz.de/10010598909
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Consistent Estimation of Linear Panel Data Models with Measurement Error
Meijer, Erik; Spierdijk, Laura; Wansbeek, Tom J. - CESifo - 2015
offers various opportunities to derive moment conditions that result in consistent GMM estimators. We consider three sources …
Persistent link: https://www.econbiz.de/10011122680
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Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
Pesaran, M. Hashem - 2017
This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...
Persistent link: https://www.econbiz.de/10012955752
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
This paper contributes to the GMM literature by introducing the idea of self-instrumenting target variables instead of … different experimental designs and sample sizes, including in the case of experiments where the system GMM estimators are …
Persistent link: https://www.econbiz.de/10012943386
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Transformed Maximum Likelihood Estimation of Short Dynamic Panel Data Models with Interactive Effects
Hayakawa, Kazuhiko - 2014
This paper proposes the transformed maximum likelihood estimator for short dynamic panel data models with interactive … important extension since it retains the advantages of the transformed likelihood approach, whilst at the same time allows for … estimator performs well in finite samples and outperforms the GMM estimators proposed in the literature in almost all cases …
Persistent link: https://www.econbiz.de/10013052017