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Exploring the nexus between oil prices and sectoral stock prices : nonlinear evidence from Kuwait stock exchange

Kisswani, Khalid M.; Elian, Mohammad I. - In: Cogent economics & finance 5 (2017) 1, pp. 1-17

This paper investigates the relationship between oil prices (Brent and West Texas Intermediate (WTI)) and Kuwait Stock Exchange (KSE) prices at the sector level. In a nonlinear autoregressive distributed lag (NARDL) model, ten major sectors in Kuwait are studied using daily data from 3 January...

Persistent link: https://www.econbiz.de/10011598070

Long-Run PPP May Not Hold after All

Engel, Charles - 1999

long-run PPP have serious size biases. In the baseline case, unit root and cointegration tests with a nominal size of five …

Persistent link: https://www.econbiz.de/10014203430

The Long Swings in the Spot Exchange Rates and the Complex Unit Roots Hypothesis

Al-Zoubi, Haitham - 2017

This paper addresses whether the spot exchange rates display long swings and whether these swings are persistent. The null from the naïve random walk theory is that they do not: if they would be unit roots with positive drifts they would converge to infinity. However, if they would be driftless...

Persistent link: https://www.econbiz.de/10012973058

Are there bubbles in the Sterling-dollar Exchange Rate? : new evidence from Sequential ADF Tests

Bettendorf, Timo; Chen, Wenjuan - 2012

unit root and cointegration tests are criticized for their low power to detect rational bubbles that periodically collapse …

Persistent link: https://www.econbiz.de/10009704893

Are there bubbles in the Sterling-dollar exchange rate? : new evidence from sequential ADF tests

Bettendorf, Timo; Chen, Wenjuan - 2013

There has been mixed evidence regarding the existence of rational bubbles in the foreign exchange markets. This paper introduces recently developed sequential unit root tests into the analysis of exchange rates bubbles. We find strong evidence of explosive behavior in the nominal Sterling-dollar...

Persistent link: https://www.econbiz.de/10009710618

Are there bubbles in the sterling-dollar exchange rate? : new evidence from sequential ADF tests ; conference paper

Bettendorf, Timo; Chen, Wenjuan - 2013

Persistent link: https://www.econbiz.de/10010338391

Getting PPP Right : Identifying Mean-Reverting Real Exchange Rates in Panels

Chortareas, Georgios E.; Kapetanios, George - 2005

Recent advances in testing for the validity of Purchasing Power Parity (PPP) focus on the time series properties of real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as to which cross-section units are stationary. As a...

Persistent link: https://www.econbiz.de/10014070521

Empirical testing of purchasing power parity validity in selected European Union countries

Plošinjak, Jelko; Festić, Mejra - In: Naše gospodarstvo : NG 67 (2021) 4, pp. 13-32

exchange rate in a logarithm, while in the second phase, the cointegration of nominal exchange rate, domestic and foreign price … authors' knowledge, and taking into account Liu (1992), who states that it is more important to check the presence of co-integration … results suggest that all the real exchange rate time series are stationary, additionally, cointegration exists among all the …

Persistent link: https://www.econbiz.de/10012887177

Chapter 11 Forecasting with Trending Data

Elliott, Graham - 2006

models as well as examine the effects of erroneously assuming cointegration. It is shown that inconclusive theoretical … imposing cointegration can be more or less useful for different horizons. The problem of forecasting variables with trending …

Persistent link: https://www.econbiz.de/10014023695

Are bitcoin prices isolated or co-integrated?

Vyas, Vishal; Mehta, Kiran; Sharma, Renuka - In: International journal of business and globalisation : IJBG 35 (2023) 1/2, pp. 5-19

Persistent link: https://www.econbiz.de/10014388694