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Spillover effects between US and major European stock markets
Al-Zeaud, Hussein Ali - In: American journal of finance and accounting 3 (2013/14) 2/4, pp. 172-184
Persistent link: https://www.econbiz.de/10010403630
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Testing Unemployment Hysteresis in European Countries : Argument Based on Three-Generation Unit Root Tests
Yaya, OlaOluwa S.; Ogbonna, Ahamuefula Ephraim; … - 2022
This paper employs a comprehensive set of “state-of-the-art” unit root tests, including the autoregressive neural network (ARNN) unit root test (Yaya et al. 2021; Oxford Bulletin of Economics and Statistics), to investigate unemployment hysteresis in five European countries: France, Italy, the...
Persistent link: https://www.econbiz.de/10014080991
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Persistence, non-linearities and structural breaks in European stock market indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019
This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...
Persistent link: https://www.econbiz.de/10012024535
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Persistence, non-linearities and structural breaks in European stock market indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - In: The quarterly review of economics and finance : journal … 77 (2020), pp. 50-61
Persistent link: https://www.econbiz.de/10012430865
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Persistence, non-linearities and structural breaks in European stock market indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019
Persistent link: https://www.econbiz.de/10011996362
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Das Phänomen der Volatilität : die Beurteilung der Informationseffizienz des europäischen Optionsmarktes
Bertsch, Marina - 2008
Persistent link: https://www.econbiz.de/10013432207
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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …
Persistent link: https://www.econbiz.de/10011296114
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On the devolatised returns and dynamic conditional correlations GARCH modelling in selected European indices
Stavroyiannis, Stavros; Zarangas, Leonidas P. - In: Global business & economics review 17 (2015) 3, pp. 256-267
Persistent link: https://www.econbiz.de/10011498510
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Random walk versus multiple trend breaks in stock prices : evidence from 15 European markets
Narayan, Paresh Kumar; Smyth, Russell - In: Applied financial economics letters 2 (2006) 1, pp. 1-7
Persistent link: https://www.econbiz.de/10003301478
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Random Walk Versus Multiple Trend Breaks in Stock Prices : Evidence from 15 European Markets
Narayan, Paresh Kumar - 2012
This letter extends research reported in Narayan and Smyth (2005) by employing multiple trend break unit root tests to examine the random walk hypothesis for 15 European stock market indices. The results provide strong support for the view that stock prices are characterized by a random walk
Persistent link: https://www.econbiz.de/10013105335