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Capital markets integration and cointegration : testing for the correct specification of stock market indices
Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20
capital integration with cointegration techniques. This approach minimizes the risk of accepting the null of no cointegration … provide partial support in favor of cointegration, and therefore for capital markets integration, among stock market indices … when proper attention is given to issues like the identification and temporal stability of the cointegration vectors as …
Persistent link: https://www.econbiz.de/10012171036
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Real exchange rate and economic growth : the interacting role of financial development in Nigeria
Farouq, Ibrahim Sambo; Sambo, Nuraddeen Umar - In: Iranian economic review : journal of University of Tehran 26 (2022) 4, pp. 905-921
Persistent link: https://www.econbiz.de/10013531089
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Real financial market exchange rates and capital flows
Gelman, Maria; Jochem, Axel; Reitz, Stefan; Taylor, Mark P. - 2014
Foreign exchange rates, asset prices and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. This paper provides new empirical evidence from an index of exchange-rate adjusted cross-country asset price ratios, which...
Persistent link: https://www.econbiz.de/10010384182
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Exchange Rate Determination, Risk Sharing and the Asset Market View
Burnside, A. Craig - 2013
Recent research in international finance has equated changes in real exchange rates with differences between the marginal utility growths of representative agents in different economies. The asset market view of exchange rates, encapsulated in this equation, has been used to gain insights into...
Persistent link: https://www.econbiz.de/10013091372
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Real Financial Market Exchange Rates and Capital Flows
Gelman, Maria - 2016
Foreign exchange rates and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. To account for this fact we construct an index of real effective exchange rates as a weighted average of cross-country asset price...
Persistent link: https://www.econbiz.de/10012988647
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Real financial market exchange rates and capital flows
Gelman, Maria; Jochem, Axel; Reitz, Stefan - 2013
Foreign exchange rates and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. To account for this fact we construct an index of real effective exchange rates as a weighted average of cross-country asset price...
Persistent link: https://www.econbiz.de/10010211958
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Tourism and financial development nexus in Kenya : a multivariate approach
Musakwa, Mercy T.; Odhiambo, Nicholas M. - In: Journal of transnational management : the official … 26 (2021) 1, pp. 58-74
Persistent link: https://www.econbiz.de/10012497323
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A stochastic volatility model with conditional skewness
Feunou, Bruno; Tédongap, Roméo - 2011
We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows current asset returns to be asymmetric conditional on...
Persistent link: https://www.econbiz.de/10009309462
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The Multivariate SupOU Stochastic Volatility Model
Barndorff-Nielsen, Ole E. - 2009
Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence effects. The finiteness of moments and the second...
Persistent link: https://www.econbiz.de/10013156185
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The effects of covid-19 outbreak on financial markets
Çelik, Ismail; Yilmaz, Tayfun; Emir, Süleyman; Sak, … - In: Financial studies 24 (2020) 4, pp. 6-28
structural breaks more precisely by means of the Fourier transformations in time series, the Fourier-SHIN Cointegration Test to … determine long-term relationships between time series, and the Fourier Granger Causality Test to determine causality …
Persistent link: https://www.econbiz.de/10012421804