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Volatility transmission and asymmetric linkages between the stock and foreign exchange markets: A sectoral analysis
Fu, Tian Yong; Holmes, Mark J.; Choi, Daniel F.S. - In: Studies in Economics and Finance 28 (2011) March, pp. 36-50
Purpose – The purpose of this paper is to analyze volatility transmission between the Japanese stock and foreign … study period 1994-2007, it was found that news shocks in the Japanese currency market account for volatility transmission in … industries. Research limitations/implications – While the BEKK-GARCH model enables analysis of volatility transmission between …
Persistent link: https://www.econbiz.de/10009392948
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On the relationship between weather and stock market returns
Floros, Christos - In: Studies in Economics and Finance 28 (2011) March, pp. 5-13
Purpose – The aim of this paper is to examine the relationship between weather (temperature) and stock market returns using daily data from Portugal; also, to examine whether the temperature is driven by calendar-related anomalies such as the January and trading month effects....
Persistent link: https://www.econbiz.de/10009392958
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Preisvolatilität auf landwirtschaftlichen Märkten
von Ledebur, Ernst-Oliver; Schmitz, Jochen - Bundesforschungsinstitut für Lädliche Räume, Wald … - 2011
In this paper, the development of price volatility on German agricultural markets is analyzed. The goal is to quantify … the degree of price volatility for selected German agricultural markets and determine how it evolutes over time. Where …, questions are: Was there an increase in price volatility? Did it came from the world markets? What is the impact of price …
Persistent link: https://www.econbiz.de/10009003989
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Econometric Models for Oil Price Forecasting: A Critical Survey
Frey, Giliola; Manera, Matteo; Markandya, Anil; Scarpa, … - In: CESifo Forum 10 (2009) 1, pp. 29-44
Persistent link: https://www.econbiz.de/10005013101
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Efficacy of Nakagami-m Distribution Function for Deriving Unit Hydrograph
Rai, R.; Sarkar, S.; Upadhyay, Alka; Singh, V. - In: Water Resources Management 24 (2010) 3, pp. 563-575
This paper applies the Nakagami-m distribution for the derivation of unit hydrograph (UH). The applicability of this distribution was verified using the data from 13 watersheds and results were compared with other distributions, viz., Gamma (GM), Beta, normal (NL), log-normal (LN), Weibull (WB),...
Persistent link: https://www.econbiz.de/10010997460
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The circulation of money and holding time distribution
Wang, Yougui; Ding, Ning; Zhang, Li - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 3, pp. 665-677
We have studied the statistical mechanics of money circulation in a closed economic system. An explicit statistical formulation of the circulation velocity of money is presented for the first time by introducing the concept of holding time of money. The result indicates that the velocity is...
Persistent link: https://www.econbiz.de/10010873842
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Analysis on the status of land use for forestry appointment
Botsula, O.; Kostyuk, U. - In: Balanced Nature Using 6 (2015) 1, pp. 77-82
This paper deals with a current status of the forestry appointment land in the Poltava region. It has been found, that the improvement of the economic indicators of the land use is only possible through intensification under condition of maintaining the balanced development.
Persistent link: https://www.econbiz.de/10011253037
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Statistical distribution and time correlation of stock returns runs
Li, Honggang; Gao, Yan - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 1, pp. 193-198
long persistence up to several months, which implies existence of volatility clustering. We expect the above properties may …
Persistent link: https://www.econbiz.de/10010871704
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Nonlinear Exchange Rate Models; A Selective Overview
Sarno, Lucio - International Monetary Fund (IMF) - 2003
This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange...
Persistent link: https://www.econbiz.de/10005825647
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Crude Oil Prices; Trends and Forecast
Krichene, Noureddine - International Monetary Fund (IMF) - 2008
Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward consistently rising prices. Short-term forecasting would imply persistence of...
Persistent link: https://www.econbiz.de/10005825666