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Determinants of the CNY/USD exchange rate : a simultaneous-equation model
Hsing, Yu - In: International journal of monetary economics and finance 8 (2015) 3, pp. 274-281
Persistent link: https://www.econbiz.de/10011502648
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Do market participants' forecasts of financial variables outperform the random-walk benchmark?
Kladívko, Kamil; Österholm, Pär - In: Finance research letters 40 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012819546
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Predictability of aggregated time series
Ellwanger, Reinhard; Snudden, Stephen - 2021
Persistent link: https://www.econbiz.de/10012617693
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Market participants or the random walk : who forecasts better? : evidence from micro-level survey data
Kiss, Tamás; Kladívko, Kamil; Silfverberg, Oliwer; … - In: Finance research letters 54 (2023), pp. 1-12
Persistent link: https://www.econbiz.de/10014472721
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Analysts versus the random walk in financial forecasting : evidence from the Czech National Bank's Financial Market Inflation Expectations survey
Kladívko, Kamil; Österholm, Pär - In: Applied economics 56 (2024) 17, pp. 2077-2088
Persistent link: https://www.econbiz.de/10014475262
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Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries
Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...
Persistent link: https://www.econbiz.de/10011437764
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The Long Memory of Equity Volatility and the Macroeconomy : International Evidence
Dräger, Lena - 2020
This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …
Persistent link: https://www.econbiz.de/10012853413
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Modeling exchange rate volatility in selected WAMZ countries : evidence from symmetric and asymmetric GARCH models
Eregha, Perekunah B.; Egwaikhide, Festus O.; Osuji, Emeka - In: Spoudai : journal of economics and business 70 (2020) 1/2, pp. 58-80
volatility clustering among selected WAMZ countries for the period 1980-2016. The univariate symmetric and asymmetric ARCH …/GARCH modeling approach is employed with the Maximum Likelihood Estimation Technique and the results show exchange rate volatility …
Persistent link: https://www.econbiz.de/10012295359
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Detrended correlation coefficients between exchange rate (in dollars) and stock markets in the world's largest economies
Ferreira, Paulo; Silva, Marcus Fernandes da; Santana, … - In: Economies : open access journal 7 (2019) 1/9, pp. 1-11
The purpose of this paper is to verify the long-range correlation between the stock markets of the largest economies in the world and the respective exchange rate with the USD. According to theory, a negative correlation is expected, meaning that an increase in the return of one of the assets...
Persistent link: https://www.econbiz.de/10012020652
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The long memory of equity volatility : international evidence
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, … - 2017
This paper examines long memory volatility in international stock markets. We show that long memory volatility is … the cross-sectional dimension. We also find that developed countries possess longer memory in volatility than emerging and …
Persistent link: https://www.econbiz.de/10011750751