Showing 1 - 10 of 13,712
We estimate the short run effects of Brexit border disruption on the UK economy. We estimate a structural VAR for the UK where Brexit effects are identified by the dates of Brexit events, the referendum and the exit from the single market. We find evidence of short run effects of Brexit:...
Persistent link: https://www.econbiz.de/10014480601
Under inflation targeting inflation exhibits negative serial correlation in the United Kingdom, and little or no persistence in Canada, Sweden and New Zealand, and estimates of the indexation parameter in hybrid New Keynesian Phillips curves are either equal to zero, or very low, in all...
Persistent link: https://www.econbiz.de/10011604897
return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …
Persistent link: https://www.econbiz.de/10010276271
We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...
Persistent link: https://www.econbiz.de/10010277079
futures market. When based on daily data, the profitability of 2,580 technical models has steadily declined since 1960, and …
Persistent link: https://www.econbiz.de/10011435253
In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …
Persistent link: https://www.econbiz.de/10010263738
describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …
Persistent link: https://www.econbiz.de/10010270556
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …
Persistent link: https://www.econbiz.de/10010270815
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010294979
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …
Persistent link: https://www.econbiz.de/10010295136