Similar Search Results

Rational bubbles and fractional integration

Kruse, Robinson (contributor) - 2008

hypothesis of a rational bubble. -- Fractional integration ; bubbles ; changing persistence …

Persistent link: https://www.econbiz.de/10003672198

Multiple Changes in Persistence vs. Explosive Behaviour : The Dotcom Bubble

de Medeiros, Otavio Ribeiro - 2012

Based on a method developed by Laybourne, Kim and Taylor (2007) for detecting multiple changes in persistence, we test for changes in persistence in the dividend-price ratio of the Nasdaq stocks. The results confirm the existence of the so-called Dotcom bubble around the last turn of the century...

Persistent link: https://www.econbiz.de/10013108019

Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence

Bollerslev, Tim - 2012

Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...

Persistent link: https://www.econbiz.de/10013115149

Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence

Bollerslev, Tim - 2012

Persistent link: https://www.econbiz.de/10013109053

Are International Equity Market Returns Predictable?

Chun, Sungju - 2009

The slope coefficient estimator in predictive regressions for stock returns is biased by a lagged stochastic regressor. There is also a spurious regression if the underlying expected return is highly persistent. This paper studies how the interactions between the two biases affect inferences...

Persistent link: https://www.econbiz.de/10013155218

Signaling Asset Price Bubbles with Time-Series Methods

Taipalus, Katja - 2012

This paper provides an early warning indicator for bubbles in financial markets. The indicator is based on traditional … consensus bubbles and gives warning signals well ahead of the crash, in most cases as early as 12 months ahead. The indicator … also signals most of the 'negative bubbles' before their turning points …

Persistent link: https://www.econbiz.de/10013111338

Riding the South Sea Bubble

Temin, Peter; Voth, Hans-Joachim - 2012

This paper presents a case study of a well-informed investor in the South Sea bubble. We argue that Hoare's Bank, a fledgling West End London banker, knew that a bubble was in progress and that it invested knowingly in the bubble; it was profitable to ride the bubble. Using a unique dataset on...

Persistent link: https://www.econbiz.de/10014073923

High and low prices and the range in the European stock markets : a long-memory approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019

This paper uses fractional integration techniques to examine the stochastic behaviour of high and low stock prices in Europe and then to test for the possible existence of long-run linkages between them by looking at the range, i.e., the difference between the two logged series. Specifically,...

Persistent link: https://www.econbiz.de/10012022262

Centurial Evidence of Breaks in the Persistence of Unemployment

Ghoshray, Atanu - 2016

A novel procedure is applied to test for switches between hysteresis and the natural rate theory over more than a century of UK and USA unemployment data. For both the countries we see a period conforming to hysteresis starting in the early 1920s for the UK and 1930 for USA

Persistent link: https://www.econbiz.de/10012979965

Asymmetric adjustment and smooth breaks in dividend yields : evidence from international stock markets

Chen, Shyh-Wei; Xie, Zixiong - In: International review of economics & finance : IREF 48 (2017), pp. 339-354

Persistent link: https://www.econbiz.de/10011747311

1
2
3
4
5
6
7
8
9
10
Next
Last