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Value at risk and return in Chinese and the US stock markets : double long memory and fractional cointegration

Tan, Zhengxun; Xiao, Binuo; Huang, Yilong; Zhou, Li - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012821412

Long-run equilibrium exchange rate in Latin America and Asia : a comparison using cointegrated vector

Cuibano, Simone Maciel - In: Revista brasileira de economia de empresas : … 17 (2017) 2, pp. 41-54

Persistent link: https://www.econbiz.de/10011955389

Long-run equilibrium exchange rate in Latin America and Asia : a comparison using cointegrated vector

Cuiabano, Simone Maciel - 2017

Persistent link: https://www.econbiz.de/10012266435

End-of-sample cointegration breakdown tests

Andrews, Donald W. K.; Kim, Chae-yŏng - 2002

Persistent link: https://www.econbiz.de/10001739950

Can cointegration-based forecasting outperform univariate models? : An application to Asian exchange rates

MacCrae, Michael; Lin, Yan-xia; Pavlik, Daniel; Gulati, … - In: Journal of forecasting 21 (2002) 5, pp. 355-380

Persistent link: https://www.econbiz.de/10001688512

What Determines Real Exchange Rates? Evidence from Asia

Rathnayake, Dilesha - 2018

ten countries in Asia. Two panel regression approaches namely fully modified ordinary least squares (FMOLS), dynamic …

Persistent link: https://www.econbiz.de/10012925873

Linear and nonlinear comovement in Southeast Asian local currency bond markets : a stepwise multiple testing approach

Matsuki, Takashi - In: Empirical economics : a journal of the Institute for … 51 (2016) 2, pp. 591-619

Persistent link: https://www.econbiz.de/10011550980

Asian spot prices for LNG and other energy commodities

Alim, Abdullahi; Hartley, Peter Reginald; Lan, Yihui - In: The energy journal 39 (2018) 1, pp. 123-141

Persistent link: https://www.econbiz.de/10011825335

Cointegrating smooth transition regressions with applications to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...

Persistent link: https://www.econbiz.de/10009612025

Constructing divisia monetary aggregates for the Asian Tigers

Barnett, William A.; Lee, JongSoo; Mohiuddin, Naowar - 2024

Persistent link: https://www.econbiz.de/10015076830