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Financial market spillovers around the globe
Dimpfl, Thomas; Jung, Robert C. - 2011
follows. We find weak and shortlived return spillovers, in particular from the USA to Japan. Volatility spillovers are more … of forecasting precision when applying our modelling strategy are illustrated by a forecast evaluation. …
Persistent link: https://www.econbiz.de/10010334474
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A partially linear approach to modelling the dynamics of spot and futures prices
Gaul, Jürgen; Theissen, Erik - 2008
In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. We estimate our model using data on the DAX...
Persistent link: https://www.econbiz.de/10010298395
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The Warsaw Stock Exchange index WIG : modelling and forecasting
Wdowiński, Piotr; Zglinska-Pietrzak, Aneta - 2005
In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...
Persistent link: https://www.econbiz.de/10010277059
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Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose
Entorf, Horst; Steiner, Christian - 2006
In der vorliegenden Arbeit wird die Reaktion des DAX auf makroökonomischen Konjunkturmeldungen in Form von Veröffentlichungen des ZEW-Finanzmarkttests untersucht. Zur Messung der Reaktion stehen die 15- Sekunden-Intraday-Realisationen des XDAX zur Verfügung. Die mittels Vergleich von...
Persistent link: https://www.econbiz.de/10010297516
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Short-Term Stock Price Reversals May Be Reversed
Kudryavtsev, Andrey - In: International Journal of Economic Sciences and Applied … 5 (2012) 3, pp. 129-146
In present study, I explore intraday behavior of stock prices. In particular, I try to shed light on the dynamics of stock price reversals and namely, on the short-term character the latter may possess. For each of the stocks currently making up the Dow Jones Industrial Index, I calculate...
Persistent link: https://www.econbiz.de/10011310234
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Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose
Entorf, Horst; Steiner, Christian - 2006
In der vorliegenden Arbeit wird die Reaktion des DAX auf makroökonomischen Konjunkturmeldungen in Form von Veröffentlichungen des ZEWFinanzmarkttests untersucht. Zur Messung der Reaktion stehen die 15-Sekunden-Intraday- Realisationen des XDAX zur Verfügung. Die mittels Vergleich von...
Persistent link: https://www.econbiz.de/10010266868
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Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data
Steiner, Christian; Groß, Anne; Entorf, Horst - 2009
This article contributes to the literature on macroeconomic announcements and their impact on asset prices by investigating how the 15-second Xetra DAX returns reflect the monthly announcements of the two best known business cycle forecasts for Germany, i.e. the ifo Business Climate Index and...
Persistent link: https://www.econbiz.de/10010298727
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Modeling Asset Returns: A Comparison of Theoretical and Empirical Models
Lüders, Erik; Schröder, Michael - 2004
large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH …
Persistent link: https://www.econbiz.de/10010297345
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Modeling Asset Returns: A Comparison of Theoretical and Empirical Models
Schröder, Michael; Lüders, Erik - 2004
large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH …
Persistent link: https://www.econbiz.de/10010298005
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The effects of exchange-rate exposures on equity asset markets
Jumah, Adusei; Kunst, Robert M. - 2001
This paper analyzes the relationship between stock returns and exchange rate changes in international markets and examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are evaluated on several cost functions. Results from such analysis...
Persistent link: https://www.econbiz.de/10010292735