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Three essays on unit roots and nonlinear co-integrated processes
Gaul, Jürgen - 2008
Persistent link: https://www.econbiz.de/10003773152
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The empirical relationship between oil prices and stock market prices in Turkey : evidence from sectoral analysis
Kıran, Burcu - In: International journal of ecological economics & statistics (2011) 20, pp. 95-108
Persistent link: https://www.econbiz.de/10009009616
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Cointegration test with stationary covariates and the CDS-bond basis during the financial crisis
Wu, Jason J.; Game, Aaron L. - 2011
Persistent link: https://www.econbiz.de/10009405709
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A simple method of testing for cointegration subject to multiple regime changes
Gabriel, Vasco J.; Psaradakis, Zacharias G.; Sola, Martin - In: Economics letters 76 (2002) 2, pp. 213-221
Persistent link: https://www.econbiz.de/10001690295
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Cointegration Test with Stationary Covariates and the CDS-Bond Basis During the Financial Crisis
Wu, Jason - 2011
This paper proposes a residual based cointegration test with improved power. Based on the idea of Hansen (1995) and … Johansen tests, and that the power depends on the long-run correlation between the covariates and the cointegration candidates …. The new test is used to test for cointegration between Credit Default Swap (CDS) and corporate bond spreads for a panel of …
Persistent link: https://www.econbiz.de/10013127087
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A specification test for speculative bubbles
West, Kenneth D. - 1986
Persistent link: https://www.econbiz.de/10000709324
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Tests of stochastic dominance for time series data : theory and empirical application
Kläver, Hendrik - 2006
Die vorliegende Arbeit untersucht Tests auf stochastische Dominanz, welche ein grundlegendes Konzept der Entscheidungstheorie ist. Hierbei konzentrieren wir uns auf stochastische Dominanz erster und zweiter Ordnung. Diese sind die beiden wichtigsten Entscheidungsregeln und finden Anwendung in...
Persistent link: https://www.econbiz.de/10003315772
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The cross-Section of German stock returns : new data and new evidence
Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - 2010
This paper serves two purposes. First, we introduce a new data set on the German stock market which is publicly available to all researchers. It comprises factor returns (a market factor, a size factor, a book-to-market factor, and a momentum factor) as well as returns of portfolios which are...
Persistent link: https://www.econbiz.de/10008666515
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Time-varying persistence in the German stock market
Kunze, Karl-Kuno; Strohe, Hans Gerhard - 2010
This paper studies the persistence of daily returns of 21 German stocks from 1960 to 2008. We apply a widely used test based upon the modified R/S-Method by Lo [1991]. As an extension to Lux [1996] and Carbone et al. [2004] and in analogy to moving average or moving volatility, the statistics is...
Persistent link: https://www.econbiz.de/10003970105
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Rational bubbles and fractional integration
Kruse, Robinson (contributor) - 2008
In this article we provide evidence for a rational bubble in S\&P 500 stock prices by applying a test for changing persistence under fractional integration proposed by Sibbertsen and Kruse (2007). We find strong evidence for stationary long memory before the estimated change point in 1955 and a...
Persistent link: https://www.econbiz.de/10003672198