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The Application of Error Correction Model in Forecasting Market Volatility on Emerging Currency Options Markets
Mielus, Piotr - 2015
The paper presents examples of application of error correction models (ECM) in forecasting daily changes of market volatility recorded on currency options markets in Poland, Hungary and South Africa. The models are based on the observed correlation between daily changes of spot rates and daily...
Persistent link: https://www.econbiz.de/10013020691
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The EMU Integration Structure and the Spillover Dynamics Towards the IAS Harmonization
Karathanassis, G.A.; Sogiakas, V.I. - In: Journal of Economic Integration 26 (2011), pp. 433-462
This paper investigates the relationships among the European Monetary Union capital markets taking into account possible structural changes with respect to the harmonization procedure of the International Accounting Standards (IAS). According to many analysts, IAS could possibly contribute to...
Persistent link: https://www.econbiz.de/10009421177
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Cointegration and Conditional Correlations Among German and Eastern Europe Equity Markets
Guidi, Francesco; Gupta, Rakesh - 2023
markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship … among these markets while the Gregory-Hansen cointegration test rejects the null hypothesis of no cointegration with …
Persistent link: https://www.econbiz.de/10014353334
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Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK
Guidi, Francesco - Volkswirtschaftliche Fakultät, … - 2008
investigated using the cointegration methodology. Cointegration tests show that DAX30, FTSE100, and SMI indexes move together in …
Persistent link: https://www.econbiz.de/10005789530
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Cointegration and conditional correlations among German and Eastern Europe equity markets
Guidi, Francesco; Gupta, Rakesh - Volkswirtschaftliche Fakultät, … - 2010
markets. Application of Johansen as well as Engle-Granger cointegration tests show that there is no long-term relationship … among these markets while the Gregory-Hansen cointegration test rejects the null hypothesis of no cointegration with …
Persistent link: https://www.econbiz.de/10008529235
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Transmission of shocks across global real estate and equity markets : an examination of the 2007-2008 housing crisis
Yunus, Nafeesa - In: Applied economics 50 (2018) 36, pp. 3899-3922
Persistent link: https://www.econbiz.de/10012060163
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Stock market linkage, financial contagion and assets price movements : evidence from Nigerian stock exchange
Abdullahi, Shafiu Ibrahim - In: Journal of advanced studies in finance : JASF 8 (2017) 2/16, pp. 146-159
Persistent link: https://www.econbiz.de/10011883269
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The global financial crisis and its transmission to Asia Pacific
Polimenis, Vassilis; Neokosmidis, Ioannis - In: Journal of management analytics 1 (2014) 4, pp. 266-284
Persistent link: https://www.econbiz.de/10011729838
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Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …
Persistent link: https://www.econbiz.de/10010461231
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Determining the optimal monetary policy instrument for Nigeria
Udom, Solomon I.; Yaaba, Baba N. - In: CBN journal of applied statistics 6 (2015) 1, pp. 29-47
cointegration. The result indicates the superiority of monetary instrument, followed by combined instrument and then interest rate …
Persistent link: https://www.econbiz.de/10011473693