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Cheung, Yin-Wong; Westermann, Frank - 2001

, the adjusted data offer a weaker evidence on the cointegration relationship between a) the sectoral output indexes, b …

Persistent link: https://www.econbiz.de/10011398919

Persistence and seasonality in the US industrial production index

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2023

This paper uses a seasonal long-memory model to capture the behaviour of the US Industrial Production Index (IPI) over the period 1919Q1-2022Q4. This series is found to display a large value of the periodogram at the zero, long-run frequency, and to exhibit an order of integration around 1. When...

Persistent link: https://www.econbiz.de/10014427486

Common trends and common cycles among interest rates of the G7-countries

Lindenberg, Nannette; Westermann, Frank - 2009

operandi to analyze the time series characteristics of interest rates and to test for common features. We conduct cointegration … ; comovement ; cointegration ; serial correlation common feature ; codependence …

Persistent link: https://www.econbiz.de/10003807777

Testing the Fisher hypothesis in the G-7 Countries using i(d) techniques

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017

This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more …

Persistent link: https://www.econbiz.de/10011654734

Calendar anomalies in the Ukrainian stock market

Caporale, Guglielmo Maria; Plastun, Alex - 2016

This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...

Persistent link: https://www.econbiz.de/10011458018

Oil prices and stock markets : what drives what in the gulf corporation council countries?

Arouri, Mohamed; Rault, Christophe - 2010

In the empirical literature, only few studies have focused on the relationship between oil prices and stock markets in net oil-importing countries. In net oil-exporting countries this relationship has not been widely researched. This paper implements the panel-data approach of Kónya (2006),...

Persistent link: https://www.econbiz.de/10003937088

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 - 2013

rates ; causality-in-variance ; cointegration …

Persistent link: https://www.econbiz.de/10009727058

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

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

On the influence of oil prices on stock markets : evidence from panel analysis in GCC countries

Arouri, Mohamed; Rault, Christophe - 2009

This paper implements recent bootstrap panel cointegration techniques and Seemingly Unrelated regression (SUR) methods … October 2008, and from January 1996 to December 2007, our investigation shows that there is evidence for cointegration of oil … stock prices, except in Saudi Arabia. -- GCC stock markets ; oil prices ; panel cointegration analysis …

Persistent link: https://www.econbiz.de/10003854428