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Subsampling Hypothesis Tests for Nonstationary Panels with Applications to Exchange Rates and Stock Prices

Choi, In; Chue, Timothy K. - 2005

This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated … the tests without estimating nuisance parameters. The tests include panel unit root and cointegration tests as special … shown that subsampling provides asymptotic distributions that are equivalent to the asymptotic distributions of the panel …

Persistent link: https://www.econbiz.de/10014027534

Time-Varying Exchange Rate Exposure Coefficients (Exposure Betas) : Evidence from Country Level Stock Returns

Jayasinghe, Prabhath - 2014

This paper uses time-varying second moments to investigate exchange rate exposure betas. Using a BEKK-GARCH(1,21)-M model, time-varying exchange rate exposure betas are obtained with explicit focus on the non-orthogonality between exchange rate changes and market returns. We look into certain...

Persistent link: https://www.econbiz.de/10013051472

Forecasting returns with machine learning and optimizing global portfolios : evidence from the Korean and U.S. stock markets

Chun, Dohyun; Kang, Jongho; Kim, Jihun - In: Financial innovation : FIN 10 (2024), pp. 1-30

returns. We construct international asset allocation portfolios based on these forecasts and evaluate their performance. Our …

Persistent link: https://www.econbiz.de/10015359391

Les reseaux de neurones artificiels : une application à prévision des prix des actifs financiers

Avouyi-Dovi, Sanvi; Caulet, Renaud - 1995

Persistent link: https://www.econbiz.de/10000923490

Dance with the dollar : exchange rate exposure on the German stock market

Entorf, Horst; Jamin, Gösta - 2002

Persistent link: https://www.econbiz.de/10001844503

German exchange rate exposure at DAX and aggregate level, international trade, and the role of exchange rate adjustment costs

Entorf, Horst; Jamin, Gösta - 2003

Persistent link: https://www.econbiz.de/10001984662

Dance with the dollar : exchange rate exposure on the German stock market

Entorf, Horst; Jamin, Gösta - 2002

panel econometric extension of the exchange-rate exposure model in the tradition of Adler and Dumas (1984) and Jorion (1990 …

Persistent link: https://www.econbiz.de/10011524455

German exchange rate exposure at DAX and aggregate level, international trade, and the role of exchange rate adjustment costs

Entorf, Horst; Jamin, Gösta - 2003

multi-factor modelling instead of augmented CAPM, application of moving window panel regressions, orthogonalization of …

Persistent link: https://www.econbiz.de/10011524749

Asset Prices, Real Exchange Rate and Current Account Fluctuations : Some Structural VAR Evidence for Thailand

Jiranyakul, Komain - 2017

This paper is motivated by the controversial issue in the literature pertaining to the impact of real exchange rate, housing prices and stock prices on current account fluctuations. Thailand's quarterly data are used to examine the impacts of shocks to asset prices and real exchange rate on the...

Persistent link: https://www.econbiz.de/10012967437

Causality between stock prices and exchange rates in Turkey : empirical evidence from the ARDL bounds test and a combined cointegration approach

Türsoy, Turgut - In: International Journal of Financial Studies : open … 5 (2017) 1, pp. 1-10

This paper investigates the interaction between stock prices and real exchange rates by applying monthly data from Turkey for the period between January 2001 and September 2016. This study uses the autoregressive distributed lag (ARDL) model and the Error Correction Model (ECM) in order to...

Persistent link: https://www.econbiz.de/10011649295