Similar Search Results

Do financial crises matter for nonlinear exchange rate and stock market cointegration? : a heterogeneous nonlinear panel data model with PMG approach

Tabash, Mosab I.; Sheikh, Umaid A.; Matar, Ali; Ahmed, Adel - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-22

the conventional symmetrical panel ARDL (PARDL) model was not able to formulate long-run cointegration between currency …. However, asymmetrical cointegration was established between the currency values and stock market indexes for the pre …

Persistent link: https://www.econbiz.de/10013545812

A partially linear approach to modeling the dynamics of spot and futures prices

Gaul, Jürgen; Theissen, Erik - In: The journal of futures markets 35 (2015) 4, pp. 371-384

Persistent link: https://www.econbiz.de/10011348414

A partially linear approach to modelling the dynamics of spot and futures prices

Gaul, Jürgen; Theissen, Erik - 2012 - This version: August 2012

This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. The model is estimated using data on the DAX index...

Persistent link: https://www.econbiz.de/10009750074

A partially linear approach to modelling the dynamics of spot and futures prices

Gaulke, Jürgen (contributor); Theissen, Erik (contributor) - 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...