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The Covid-19 pandemic and the degree of persistence of US stock prices and bond yields
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2021
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/10012494826
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The weekly structure of US stock prices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
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/10008732289
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An empirical model of daily highs and lows
Cheung, Yin-Wong (contributor) - 2006
We construct an empirical model for daily highs and daily lows of US stock indexes based on the intuition that highs and lows do not drift apart over time. Our empirical results show that daily highs and lows of three main US stock price indexes are cointegrated. Data on openings, closings, and...
Persistent link: https://www.econbiz.de/10003301373
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The Warsaw Stock Exchange index WIG : modelling and forecasting
Wdowinski, Piotr (contributor);  … - 2005
In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...
Persistent link: https://www.econbiz.de/10003202866
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Horizontal versus vertical interdependence in multinational activity
Badinger, Harald (contributor); Egger, Peter (contributor) - 2008
Recent research in international economics highlights the role of interdependencies of investment decisions and sales … between host countries). For this, we use a panel data set of U.S. foreign affiliate sales to 16 developed countries in 7 …
Persistent link: https://www.econbiz.de/10003720587
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The effect of Internet piracy on CD sales : cross-section evidence
Peitz, Martin; Waelbroeck, Patrick - 2004
Persistent link: https://www.econbiz.de/10011402698
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Modelling long-run trends and cycles in financial time series data
Caporale, Guglielmo Maria (contributor);  … - 2008
This paper proposes a very general time series framework to capture the long-run behaviour of financial series. The suggested model includes linear and non-linear time trends, and stationary and nonstationary processes based on integer and/or fractional degrees of differentiation. Moreover, the...
Persistent link: https://www.econbiz.de/10003720605
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The yield spread puzzle and the information content of SPF forecasts
Lahiri, Kajal; Monokroussos, George; Zhao, Yongchen - 2012
While the yield spread has long been recognized as a good predictor of recessions, it seems to have been largely …-rich environment including not just the yield spread but many other predictors as well. We confirm the puzzle in this context by … examining the contributions of both the SPF forecasts and the yield spread in predicting recessions, and by examining the …
Persistent link: https://www.econbiz.de/10009630664
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Sovereign bonds since Waterloo
Meyer, Josefin; Reinhart, Carmen M.; Trebesch, Christoph - 2019
This paper studies external sovereign bonds as an asset class. We compile a new database of 220,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering 91 countries. Our main insight is that, as in equity...
Persistent link: https://www.econbiz.de/10011973856
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The rate of return on everything, 1870-2015
Jordà, Òscar; Knoll, Katharina; Kuvshinov, Dmitry; … - 2018
This paper answers fundamental questions that have preoccupied modern economic thought since the 18th century. What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the...
Persistent link: https://www.econbiz.de/10011794864