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Econometric analysis of present value models when the discount factor is near one
West, Kenneth D. - In: Journal of Econometrics 171 (2012) 1, pp. 86-97
This paper develops asymptotic econometric theory to help understand data generated by a present value model with a … discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that … theory is quantitatively congruent with the modest departures from random walk behavior that are typically found and with …
Persistent link: https://www.econbiz.de/10010594955
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Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India
Hiremath, Gourishankar S; Kumari, Jyoti - Volkswirtschaftliche Fakultät, … - 2014
This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear...
Persistent link: https://www.econbiz.de/10011113081
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Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010
This paper re-examines the issue of mean-reversion in Indian equity market. Unlike earlier studies, the present paper carries out multiple structural breaks test and uses new and disaggregated data set. The study found significant structural breaks in the returns series of all selected indices...
Persistent link: https://www.econbiz.de/10011113266
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On the random walk characteristics of stock returns in India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2009
An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...
Persistent link: https://www.econbiz.de/10011113811
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Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model
Banerjee, Anurag N.; Chevillon, Guillaume; Kratz, Marie - ESSEC Business School - 2013
the fundamental asset value and the recurrent presence of autonomous deviations or bubbles. Such a process can be … theory to analyze ordinary least-squares (OLS) estimation. One important theoretical observation is that the estimator … common procedure in the presence of localizing parameters. This methodology allows to detect the presence of bubbles and …
Persistent link: https://www.econbiz.de/10010699644
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An ARCH model without intercept
Hafner, Christian M.; Preminger, Arie - In: Economics Letters 129 (2015) C, pp. 13-17
While theory of autoregressive conditional heteroskedasticity (ARCH) models is well understood for strictly stationary … without intercept, the paper derives asymptotic theory of the maximum likelihood estimator and proposes a test of the …
Persistent link: https://www.econbiz.de/10011263447
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Financial bubbles and recent behaviour of the Latin American stock markets
Uribe, Jorge; Fernández, Julián - In: Lecturas de Economía (2014) 81, pp. 57-90
Financial bubbles and recent behaviour of the Latin American stock markets …
Persistent link: https://www.econbiz.de/10010797415
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Consumption-based asset pricing with rare disaster risk
Grammig, Joachim; Sönksen, Jantje - Center for Financial Studies - 2014
in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption …
Persistent link: https://www.econbiz.de/10010986365
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A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis
Audigé, Henri - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2013
The objective of this paper is to gauge how and to which extent the surge in Greek sovereign bond rates in 2010 and 2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth Transition Conditional Correlation GARCH models...
Persistent link: https://www.econbiz.de/10010992421
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Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - School of Economics and Management, University of Aarhus - 2014
We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...
Persistent link: https://www.econbiz.de/10010851206