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particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …
Persistent link: https://www.econbiz.de/10013144331
particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous … ; volatility …
Persistent link: https://www.econbiz.de/10003931070
-memory techniques, being particularly interested in volatility modelling and forecasting. Compared with previous studies using …
Persistent link: https://www.econbiz.de/10013004546
Persistent link: https://www.econbiz.de/10010257552
This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...
Persistent link: https://www.econbiz.de/10012022262
Persistent link: https://www.econbiz.de/10003963286
This paper empirically investigates the short and long-run impact of public debt on economic growth. We use annual data from both central and peripheral countries of the euro area (EA) for the 1961-2013 period and estimate a production function augmented with a debt stock term by applying the...
Persistent link: https://www.econbiz.de/10012947257
The objective of this paper is to examine whether the threshold beyond which public debt may have a detrimental effect on economic growth changes across euro area countries during the 1961-2015 period. In contrast with previous studies, we do not use panel estimation techniques, but implement a...
Persistent link: https://www.econbiz.de/10012959846
at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that …
Persistent link: https://www.econbiz.de/10010300507
In this paper we analyse the effects of all sources of the accumulation of nonfinancial debt (household, corporate as well as government) on economic growth in ten euro-area countries during the 1980-2015 period. To this end, we make use of three models (a baseline, an asymmetric and a threshold...
Persistent link: https://www.econbiz.de/10012951846