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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, and cross-sectionally cointegrated. The subsampling approach provides approximations to the finite sample distributions of the tests without estimating nuisance parameters. The...

Persistent link: https://www.econbiz.de/10014027534

Impact of COVID-19 pandemic on the Nigeria stock market : a sectoral stock prices analysis

Bello, Yakubu A.; Adekunle, Peter A.; Nwachukwu, … - In: CBN journal of applied statistics 13 (2022) 1, pp. 209-239

This study examines the impact of the COVID-19 pandemic on sectoral stock prices in Nigeria stock market using daily data covering from February 28, 2020 to June 26, 2020. Applying the autoregressive distributed lag (ARDL) bounds test, the study finds that COVID-19 pandemic had adverse impact on...

Persistent link: https://www.econbiz.de/10014282062

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

and relationships with previously proposed specifications are discussed and stationarity conditions are derived. An …

Persistent link: https://www.econbiz.de/10009767120

Stationarity and Invertibility of a Dynamic Correlation Matrix

McAleer, Michael - 2017

the stationarity and invertibility conditions of the DCC model. The derivation of DCC from a vector random coefficient … than the returns shocks. The derivation of the regularity conditions, especially stationarity and invertibility, should … than returns shocks, as well as the associated stationarity and invertibility conditions …

Persistent link: https://www.econbiz.de/10012948028

Modeling intraday information in financial markets with the scatter search metaheuristic

Silva, Carlos Gomes da - In: International journal of financial engineering 2 (2015) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10011333425

The performance of linear versus non-linear models in forecasting returns on the Johannesburg Stock Exchange

Gysen, Michael van; Huang, Chun-sung; Kruger, Ryan - In: International business and economics research journal 12 (2013) 8, pp. 985-994

Persistent link: https://www.econbiz.de/10009792062

Does macroeconomics help in predicting stock markets volatility comovements? : a nonlinear approach

Bucci, Andrea; Palomba, Giulio; Rossi, Eduardo - 2019

Persistent link: https://www.econbiz.de/10012154493

Capital inflows and asset prices: Evidence from emerging Asia

Tillmann, Peter - 2012

The withdrawal of foreign capital from emerging countries at the height of the recent financial crisis and its quick return sparked a debate about the impact of capital flow surges on asset markets. This paper addresses the response of property prices to an inflow of foreign capital. For that...

Persistent link: https://www.econbiz.de/10010294398

Financial Liberalization and Business Cycles: The Experience of Countries in the Baltics and Central Eastern Europe

Vinhas de Souza, Lúcio - 2004

This paper extends the work of Kaminsky and Schmukler (2003) to the Baltic and Central Eastern European future Member States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of ?emerging...

Persistent link: https://www.econbiz.de/10010295650

Asset prices, exchange rates and the current account

Fratzscher, Marcel; Juvenal, Luciana; Sarno, Lucio - 2007

This paper analyses the role of asset prices in comparison to other factors, in particular exchange rates, as a driver of the US trade balance. It employs a Bayesian structural VAR model that requires imposing only a minimum of economically meaningful sign restrictions. We find that equity...

Persistent link: https://www.econbiz.de/10011604836

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