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Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...
Persistent link: https://www.econbiz.de/10012626690
The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to...
Persistent link: https://www.econbiz.de/10011555888
corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample …
Persistent link: https://www.econbiz.de/10011854876
investment strategies and a variety of hold-out periods and backtests. We commence by using four two-year estimation periods and …
Persistent link: https://www.econbiz.de/10011543960
In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
Persistent link: https://www.econbiz.de/10011553303
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily return series and a similar...
Persistent link: https://www.econbiz.de/10011555743
Persistent link: https://www.econbiz.de/10011553413
associated models, as well as conduct simulation to examine whether the estimators in their theories on estimation and hypothesis … testing have good size and high power. Thereafter, academics and practitioners could apply theory to analyse some interesting …
Persistent link: https://www.econbiz.de/10011855163
literature, improved covariance matrix estimation for portfolio risk measurement, stock investment and excess returns, with a …
Persistent link: https://www.econbiz.de/10012321338
in accordance with the Sercu and Wu (2000) and Leistikow et al. (2019) "hc" theory. It does so, both within and across … across currency denominations. The findings are consistent with the theory. Within and across c regimes, hT is inefficient …
Persistent link: https://www.econbiz.de/10012022116