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Persistent link: https://www.econbiz.de/10013438255
integration. It emerges that before the 2006-US-housing-bubble and after the 2011/13-EU-sovereign-debt crises, some shocks caused … the EU Sovereign Debt crises, were spread via interdependence. Trade linkages and economic integration improvements … enhanced such interdependence. In addition, when analysing the episodes of market integration, it arises that, in general, the …
Persistent link: https://www.econbiz.de/10013252768
Persistent link: https://www.econbiz.de/10013547886
This paper investigates empirically the interrelationships between the daily stock market returns of the Nikkei 225, DAX and Dow Jones Industrial index. Contrary to former work this paper uses the succession of the markets in time to form different econometric models. In this way it is possible...
Persistent link: https://www.econbiz.de/10010297581
large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH …
Persistent link: https://www.econbiz.de/10010298005
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...
Persistent link: https://www.econbiz.de/10010298059
In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...
Persistent link: https://www.econbiz.de/10010324578
This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...
Persistent link: https://www.econbiz.de/10010332406
follows. We find weak and shortlived return spillovers, in particular from the USA to Japan. Volatility spillovers are more …
Persistent link: https://www.econbiz.de/10010334474
countries, Japan, and the United States to shocks in housing and equity prices. The effects are assessed with a Structural …
Persistent link: https://www.econbiz.de/10010274043