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Long memory and fractional integration in high frequency financial time series
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010
Persistent link: https://www.econbiz.de/10003979849
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10003949493
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The trade effects of endogenous preferential trade agreements
Egger, Peter; Larch, Mario; Staub, Kevin E.; … - 2010
the structural, non-(log-)linear impact of trade barriers on trade in new trade theory models. Structural new trade theory … empirical model which takes into account both that preferential trade agreement membership is endogenous and that the world …
Persistent link: https://www.econbiz.de/10008702278
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The trade effects of endogenous preferential trade agreements
Egger, Peter; Larch, Mario; Staub, Kevin E.; … - 2010
the structural, non-(log-)linear impact of trade barriers on trade in new trade theory models. Structural new trade theory … empirical model which takes into account both that preferential trade agreement membership is endogenous and that the world …
Persistent link: https://www.econbiz.de/10008732241
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Quantifying the impact of financial development on economic development
Greenwood, Jeremy; Sanchez, Juan M.; Wang, Cheng - 2010
output by 140 to 180% if it could adopt the world's best practice in the financial sector. Still, this amounts to only 34 to …
Persistent link: https://www.econbiz.de/10003566504
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Quantifying the impact of financial development on economic development
Greenwood, Jeremy; Sanchez, Juan M.; Wang, Cheng - 2010
Persistent link: https://www.econbiz.de/10008651035
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Quantifying the impact of financial development on economic development
Greenwood, Jeremy; Sanchez, Juan M.; Wang, Cheng - 2010
Persistent link: https://www.econbiz.de/10003960453
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Time-Varying spot and futures oil prices dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
Persistent link: https://www.econbiz.de/10003963295
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10003965099
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Systemic risk diagnostics : coincident indicators and early warning signals
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2011
components for a large data set comprising the U.S., the EU-27 area, and the respective rest of the world. Credit risk conditions …
Persistent link: https://www.econbiz.de/10009006653