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Evaluating the effect of "Zumwinkel-Affair" and financial crisis on stock prices in Liechtenstein: An unconventional augmented GARCH-approach
Brunhart, Andreas - 2011
Liechtenstein's economy has been heavily affected by the international economic downturn during the financial crisis. Additionally to the deep world recession, Liechtenstein's financial sector was challenged by the Zumwinkel-Affair (data of thousands of tax evaders were sold to several...
Persistent link: https://www.econbiz.de/10010281963
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Parameter instability and forecasting performance: A Monte Carlo study
Anyfantakis, Costas; Caporale, Guglielmo M.; Pittis, Nikitas - 2004
This paper uses Monte Carlo techniques to assess the loss in terms of forecast accuracy which is incurred when the true DGP exhibits parameter instability which is either overlooked or incorrectly modelled. We find that the loss is considerable when a FCM is estimated instead of the true TVCM,...
Persistent link: https://www.econbiz.de/10010293752
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Relationship between Czech and European developed stock markets: DCC MV GARCH analysis
Princ, Michael - 2010
The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...
Persistent link: https://www.econbiz.de/10010322302
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Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area
Kavonius, Ilja Kristian; Castrén, Olli - 2009
The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...
Persistent link: https://www.econbiz.de/10011605170
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Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses
Kühl, Michael - 2007
The aim of this paper is to investigate the market efficiency on the foreign exchange market since the introduction of the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure of the global foreign exchange market to the extent...
Persistent link: https://www.econbiz.de/10010300150
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Gold and Silver as Safe Havens: A Fractional Integration and Cointegration Analysis
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022
This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and 22 stock indices are analysed applying fractional...
Persistent link: https://www.econbiz.de/10013470342
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Do survey indicators let us see the business cycle? A frequency decomposition
Dresse, Luc; Van Nieuwenhuyze, Christophe - 2008
This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …
Persistent link: https://www.econbiz.de/10011506652
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How does European integration affect the European stock markets?
Erdogan, Burcu - 2009
, industrials, consumer services, health care and financials. The analysis is carried out by using correlation analysis, ß …
Persistent link: https://www.econbiz.de/10010291779
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How does European Integration affect the European Stock Markets?
Erdogan, Burcu - 2009
, industrials, consumer services, health care and financials. The analysis is carried out by using correlation analysis, ß …
Persistent link: https://www.econbiz.de/10010300155
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Who leads financial markets?
Weber, Enzo - 2007
The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using...
Persistent link: https://www.econbiz.de/10010263681