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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 … recessionary period and the overall sampling time frame by utilizing the panel-based NARDL framework (PNARDL). The study suggests …
Persistent link: https://www.econbiz.de/10013545812
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Subsampling Hypothesis Tests for Nonstationary Panels with Applications to Exchange Rates and Stock Prices
Choi, In; Chue, Timothy K. - 2005
This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated … the tests without estimating nuisance parameters. The tests include panel unit root and cointegration tests as special … shown that subsampling provides asymptotic distributions that are equivalent to the asymptotic distributions of the panel …
Persistent link: https://www.econbiz.de/10014027534
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Dynamic heterogeneous panel analysis of the correlation between stock prices and exchange rates
Lee, Yuan-Ming; Wang, Kuan Min - In: Economic research 28 (2015) 1, pp. 749-772
Persistent link: https://www.econbiz.de/10012220934
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Multiple Tests für die Evaluation von Prognosemodellen : eine Analyse am Beispiel der Prognose von Vermögenspreisen
Fan, Sue Man - 2010 - 1. Aufl.
Persistent link: https://www.econbiz.de/10008856258
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Does mixed-frequency investor sentiment impact stock returns? : based on the empirical study of MIDAS regression model
Yang, Chunpeng; Zhang, Rengui - In: Applied economics 46 (2014) 7/9, pp. 966-972
Persistent link: https://www.econbiz.de/10010399534
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The relation between overreaction in forecasts and uncertainty : a nonlinear approach
Leppin, Julian Sebastian - 2014 - This version: November 2014
account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression …
Persistent link: https://www.econbiz.de/10010438928
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A long-run relationship between stock price index and exchange rate : a structural nonparametric cointegration regression approach
Tsagkanos, Athanasios; Siriopoulos, Costas - In: Journal of international financial markets, … 25 (2013), pp. 106-118
Persistent link: https://www.econbiz.de/10009762800
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Forecasting stock market volatility under parameter and model uncertainty
Li, Zhao-Chen; Chi, Xie; Wang, Gang-Jin; Zhu, You; … - In: Research in international business and finance 66 (2023), pp. 1-29
Persistent link: https://www.econbiz.de/10014463139
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Implementing statistical criteria to select return forecasting models : what do we learn?
Bossaerts, Peter L.; Hillion, Pierre Henri - In: The review of financial studies 12 (1999) 2, pp. 405-428
Persistent link: https://www.econbiz.de/10001421811
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Forecasting Stock Returns with Model Uncertainty and Parameter Instability
Zhang, Hongwei - 2019
We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock returns. When estimated traditionally, our results confirm that the simple combination of individual predictors is superior. However, sophisticated models improve dramatically...
Persistent link: https://www.econbiz.de/10012901029