Binnennachfrage. Eine Analyse der Immobilienmärkte in Deutschland und UK kommt zu dem Ergebnis, dass die langfristigen Gleichgewichte …

of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored …

of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored …

measures of volatility for each country. The cointegration results indicate a significant relationship, negative for four …This paper investigates the impact of nominal and real effective exchange rate volatility on exports of six Middle … exchange rate volatility. The short run dynamics, using an error correction model, shows that the Granger, causality effects of …

is a model that will lead to better volatility forecasts. Secondly a long run relation between these markets was … investigated using the cointegration methodology. Cointegration tests show that DAX30, FTSE100, and SMI indexes move together in … although the UK, Switzerland and Germany do not share a common currency, the diversification benefits of investing in these …

This paper analyses returns and volatility on the Namibian and South African stock markets. We use daily closing … January 4, 1999 to March 20, 2003. Our methodology has three main parts: (i) unit root tests, (ii) cointegration analysis and … (iii) volatility modelling. The results show that both markets exhibit very low correlations, while there is no evidence of …