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Use of unit root methods in early warning of financial crises

Virtanen, Timo; Tölö, Eero; Virén, Matti E. E.; … - 2017

In several recent studies unit root methods have been used in detection of financial bubbles in asset prices. The basic idea is that fundamental changes in the autocorrelation structure of relevant time series imply the presence of a rational price bubble. We provide cross-country evidence for...

Persistent link: https://www.econbiz.de/10011976947

Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability

Vogl, Markus; Roetzel, Peter Gordon - 2021

In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...

Persistent link: https://www.econbiz.de/10013229642

Modeling and predictability of exchange rate changes by the extended relative Nelson-Siegel class of models

Ishii, Hokuto - In: International Journal of Financial Studies : open … 6 (2018) 3, pp. 1-15

This paper investigates the predictability of exchange rate changes by extracting the factors from the three-, four-, and five-factor model of the relative Nelson-Siegel class. Our empirical analysis shows that the relative spread factors are important for predicting future exchange rate...

Persistent link: https://www.econbiz.de/10011884108

Efficient Markets and the Law : A Predictable Past and an Uncertain Future

Hu, Henry T. C. - 2012

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced — or has failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH...

Persistent link: https://www.econbiz.de/10013100915

Google Internet Search Activity and Volatility Prediction in the Market for Foreign Currency

Smith, Geoffrey Peter - 2016

I study whether evolution in the number of Google Internet searches for particular keywords can predict volatility in the market for foreign currency. I find that data on Google searches for the keywords "economic crisis and financial crisis" and "recession" has incremental predictive power...

Persistent link: https://www.econbiz.de/10013008190

Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets

Ledenyov, Dimitri - 2015

exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …

Persistent link: https://www.econbiz.de/10013013057

Information Spillovers and Predictable Currency Returns : An Analysis via Machine Learning

Jia, Yuecheng - 2020

This paper employs the post — Least Absolute Shrinkage and Selection Operator (post — LASSO) to make rolling 1-month--ahead currency excess return forecasts using all other currencies' lagged forward discounts as candidate predictors. The trading strategy of buying (selling) quintile...

Persistent link: https://www.econbiz.de/10012850361

Forecast in Capital Markets

Ledenyov, Dimitri - 2016

Persistent link: https://www.econbiz.de/10012987861

Macrofinancial risk analysis

Gray, Dale F.; Malone, Samuel W. - 2008

Persistent link: https://www.econbiz.de/10003528075

European Monetary Union, emerging markets and econometric issues in international finance

Cornelius, Peter (ed.) - 2000

Persistent link: https://www.econbiz.de/10001506444

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