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Non-Linearities and Fractional Integration in the US Unemployment Rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2004

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach, based on the tests of Robinson (1994), introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a...

Persistent link: https://www.econbiz.de/10009442364

Non-Linearities And Fractional Integration In The Us Unemployment Rate

Caporale, GM; Gil-Alana, LA - 2004

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework (unlike earlier studies employing a sequential procedure), using a Lagrange...

Persistent link: https://www.econbiz.de/10009481459

Non-Linearities And Fractional Integration In The Us Unemployment Rate

Caporale, GM; Gil-Alana, LA - 2005

This paper proposes a model of the US unemployment rate which accounts for both its asymmetry and its long memory. Our approach introduces fractional integration and nonlinearities simultaneously into the same framework, using a Lagrange Multiplier procedure with a standard null limit...

Persistent link: https://www.econbiz.de/10009481461

Long Run And Cyclical Dynamics In The Us Stock Market

Caporale, GM; Gil-Alana, LA - 2005

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques. We implement a version of the tests of Robinson (1994a), which enables one to consider unit roots with possibly fractional orders of integration both at the zero...

Persistent link: https://www.econbiz.de/10009481462

The Regulation of Stock Trading and its Enforcement in China

Shen, Tingting - 2004

The first public share issue in the PRC took place in 1994. By the early 21st century, in the space of less than two decades, the Chinese stock market has become the largest one in Asia, with the exception of Japan. Along with this rapid enlargement of the market, the Chinese stock trading...

Persistent link: https://www.econbiz.de/10009471788

Testing Of Nonstationarities In The Unit Circle,Long Memory Processes And Day Of The Week Effects In Financial Data

Caporale, GM; Gil-Alana, LA; Nazarski, M - 2004

This paper examines a version of the tests of Robinson (1994) that enables one to test models of the form (1-Lk)dxt = ut, where k is an integer value, d may be any real number, and ut is I(0). The most common cases are those with k = 1 (unit or fractional roots) and k = 4 and 12 (seasonal unit...

Persistent link: https://www.econbiz.de/10009481456

News Aware Volatility Forecasting: Is the Content of News Important?

Robertson, Calum S.; Geva, Shlomo; Wolff, Rodney C. - 2007

valuation of the asset at any given time. However, most models for forecasting the return or volatility of assets completely … Australian markets which show that this model improves high frequency volatility forecasts. This is most evident for news which …

Persistent link: https://www.econbiz.de/10009437639

What Types of Events Provide the Strongest Evidence that the Stock Market is Affected by Company Specific News?

Robertson, Calum S.; Geva, Shlomo; Wolff, Rodney C. - 2006

The efficient market hypothesis states that an efficient market immediately incorporates all available information into the price of the traded entity. It is well established that the stock market is not an efficient market as it consists of numerous traders with differing strategies and...

Persistent link: https://www.econbiz.de/10009437733

The Impact of Stock Market Liberalization on Emerging Equity Market Volatility

Dhir, Pawan - 2007

This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging … time-varying nature of conditional volatility following initial market opening. Second, we analyze the effect of … liberalization on stock market volatility while controlling for the fundamental sources of emerging equity market volatility. Finally …

Persistent link: https://www.econbiz.de/10009429052

Trading Systems, Volatility, and the Regulation of Stock Markets: An Investigation of the Microstructure of the Warsaw Stock Exchange

Henke, Harald - 2004

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

Persistent link: https://www.econbiz.de/10009460735

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