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Mutual influence of the exchange assets: practical aspects

Kozmenko, Serhiy; Plastun, Oleksiy - Volkswirtschaftliche Fakultät, … - 2012

. The concrete recommendations to build a trading strategy based on the theory of market focuses are proposed. The main idea …

Persistent link: https://www.econbiz.de/10011258360

Mutual influence of exchange assets: analysis and estimation

Kozmenko, Serhiy; Plastun, Oleksiy - Volkswirtschaftliche Fakultät, … - 2011

This paper examines the dynamic of prices for different exchange assets in relation to the dynamics of other exchange instruments. The analysis shows that in certain periods there exists a strong connection between the exchange assets(direct or indirect) but it is rather unstable. The...

Persistent link: https://www.econbiz.de/10011260013

Liquidity-Induced Dynamics in Futures Markets

Fagan, Stephen; Gencay, Ramazan - Volkswirtschaftliche Fakultät, … - 2008

Futures contracts on the New York Mercantile Exchange are the most liquid instruments for trading crude oil, which is …

Persistent link: https://www.econbiz.de/10005786918

Information flow between volatilities across time scales

Gencay, Ramazan; Selcuk, Faruk; Whitcher, Brandon - Volkswirtschaftliche Fakultät, … - 2004

Conventional time series analysis, focusing exclusively on a time series at a given scale, lacks the ability to explain the nature of the data generating process. A process equation that successfully explains daily price changes, for example, is unable to characterize the nature of hourly price...

Persistent link: https://www.econbiz.de/10005787044

Banking competition and financial fragility: Evidence from panel-data

Ruiz-Porras, Antonio - Volkswirtschaftliche Fakultät, … - 2007

We study how banking competition may affect the stability of banking systems. We develop our study by expanding the failure-determinant methodology to include panel-data techniques and by controlling the effects of financial structure and development. We use indicators for 47 countries between...

Persistent link: https://www.econbiz.de/10005787149

Evidencia De Comportamiento Caótico En Indices Bursátiles Americanos

Espinosa Méndez, Christian - Volkswirtschaftliche Fakultät, … - 2005

This article validates the chaotic behavior in the Argentinean, Brazilian, Canadian, Chilean, American, Peruvian and Mexican Stock Markets using the MERVAL, BOVESPA, S&P TSX COMPOSITE, IPSA, IGPA, S&P 500, DOW JONES INDUSTRIALS, NASDAQ, IGBVL and IPC Stock Indexes respectively. The results of...

Persistent link: https://www.econbiz.de/10005789297

Stock Returns Volatility in an Emerging Market: The Pakistani Evidence

Husain, Fazal; UPPAL, Jamshed - Volkswirtschaftliche Fakultät, … - 1999

This paper examines stock returns volatility in the Pakistani equity market. Using daily stock prices of 36 companies, 8 sector indices, and the general market index, the AutoRegressive Conditional Heteroscedasticity (ARCH) class of models was applied. The analyses suggest that one of the...

Persistent link: https://www.econbiz.de/10005789430

The North American natural gas liquids markets are chaotic

Serletis, Apostolos; Gogas, Periklis - Volkswirtschaftliche Fakultät, … - 1999

In this paper we test for deterministic chaos (i.e., nonlinear deterministic processes which look random) in seven Mont Belview, Texas hydrocarbon markets, using monthly data from 1985:1 to 1996:12--the markets are those of ethane, propane, normal butane, iso-butane, naptha, crude oil, and...

Persistent link: https://www.econbiz.de/10005789499

The Efficiency of Trading Halts; Evidence from Bursa Malaysia

Bacha, Obiyathulla I.; Mohamed, Eskandar R.; Ramlee, Roslily - Volkswirtschaftliche Fakultät, … - 2008

This paper undertakes a comprehensive evaluation of the efficacy of firm-specific trading halts in the Malaysian … context. The paper examines a total of 291 trading halts that occurred over the five year period 2000 to 2004. In addition to … examining the three variables commonly impacted by trading halts, stock price reaction, volatility of returns and trading volume …

Persistent link: https://www.econbiz.de/10005789512

Application of Hidden Markov Models and Hidden Semi-Markov Models to Financial Time Series

Bulla, Jan - Volkswirtschaftliche Fakultät, … - 2006

their forecast performances to three models, namely a bivariate t-GARCH(1,1) model, two Kalman filter based approaches and a …

Persistent link: https://www.econbiz.de/10005789548