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Fractional integration and cointegration in US financial time series data
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …. -- fractional integration ; long-range dependence ; fractional cointegration ; financial data …
Persistent link: https://www.econbiz.de/10009011784
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Cointegration of matched home purchases and rental price indexes : evidence from Sinpagore
Baltagi, Badi H.; Li, Jing - 2015
This paper exploits the homogeneity feature of the Singapore private residential condominium market and constructs matched home purchase price and rental price series using the repeated sales method. These matched series allow us to conduct time series analysis to examine the long-term present...
Persistent link: https://www.econbiz.de/10011350189
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Price formation on the EuroMTS platform
Caporale, Guglielmo Maria; Girardi, Alessandro - 2010
This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...
Persistent link: https://www.econbiz.de/10003937257
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How to measure financial market efficiency? : a multifractality-based quantitative approach with an application to the European carbon market
Sattarhoff, Cristina; Gronwald, Marc - 2018
-established inference apparatus based on the generalised method of moments estimation technique. In an empirical application using data from …
Persistent link: https://www.econbiz.de/10011864306
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Market efficiency in the age of big data
Martin, Ian; Nagel, Stefan - 2019
Modern investors face a high-dimensional prediction problem: thousands of observable variables are potentially relevant for forecasting. We reassess the conventional wisdom on market efficiency in light of this fact. In our model economy, which resembles a typical machine learning setting, N...
Persistent link: https://www.econbiz.de/10012156724
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A re-examination of the link between real exchange rates and real interest rate differentials
Hoffmann, Mathias; MacDonald, Ronald - 2003
first clarify the logic of applying cointegration methods to the RERI and propose an alternative way of testing the …
Persistent link: https://www.econbiz.de/10011506475
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Exchange rate dynamics : where is the saddle path?
Cheung, Yin-Wong; Gardeazabal, Javier; Vázquez, Jesús - 2004
Persistent link: https://www.econbiz.de/10011402689
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Effects of US inflation on Hong Kong and Singapore
Cheung, Yin-Wong; Yuen, Jude - 2002
Standard economic models predict that the choice of an exchange rate regime has important implications for the interdependency of national monetary policies, which is sometimes measured by the degree of inflation transmission across borders. In this paper, we examine how inflation rates in two...
Persistent link: https://www.econbiz.de/10011409761
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Fiscal sustainability of the German Laender : time series evidence
Burret, Heiko T.; Feld, Lars P.; Köhler, Ekkehard A. - 2014
-run relation between expenditures and revenues in a cointegration analysis within each Land. The results provide evidence against …
Persistent link: https://www.econbiz.de/10010388609
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Hysteresis in West German unemployment reconsidered
Reutter, Michael - 2000
is argued that in a cointegration framework it is reasonable to define hysteresis as the absence of weak exogeneity of …
Persistent link: https://www.econbiz.de/10009781510