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Transitions in the stock markets of the US, UK, and Germany

Raddant, Matthias; Wagner, Friedrich - 2014

In this paper we analyze transitions in the stock markets of the US, the UK, and Germany. For all this markets we find that while the markets were focused on stocks from the IT and technology sector around the year 2000, this focus has vanished and the markets have mostly moved towards a focus...

Persistent link: https://www.econbiz.de/10010461235

Central Bank Communication and Correlation between Financial Markets : Canada and the United States

Beck, Melanie-Kristin - 2012

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 … the correlation of financial markets within and across the two countries and is particularly important for the correlation …

Persistent link: https://www.econbiz.de/10013112889

Central bank communication and correlation between financial markets : Canada and the United States

Beck, Melanie-Kristin; Hayo, Bernd; Neuenkirch, Matthias - 2012 - This version: 5 January 2012

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 …

Persistent link: https://www.econbiz.de/10009409360

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low … frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

Persistent link: https://www.econbiz.de/10003821063

Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US

Bohl, Martin T.; Siklos, Pierre L. - 2001

Persistent link: https://www.econbiz.de/10001617689

Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US

Bohl, Martin T.; Siklos, Pierre L. - 2001

A large part of the current debate on US stock price behavior concentrates on the question of whether stock prices are driven by fundamentals or by non-fundamental factors. In this paper we put forward the hypothesis that a present value model with time-varying expected returns provides an...

Persistent link: https://www.econbiz.de/10010503717

The Effects of Oil Price Shocks on U.S. Stock Order Flow Imbalances and Stock Returns

Lambertides, Neophytos - 2017

imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are …

Persistent link: https://www.econbiz.de/10012959469

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10009488893

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

Persistent link: https://www.econbiz.de/10009530816

U.S. Stock Returns, the Berry-Esseen Theorem, and Statistical Testing

Crack, Timothy Falcon - 2020

Neither existing theory nor prior empirical work can tell us the impact of non-normality on required sample sizes for …

Persistent link: https://www.econbiz.de/10012829441