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The Impact of the Real Effective Exchange Rate Volatility on Domestic Labor Demand and Exports : Bangladesh Perspective
Amin, Syed Fahad Al; Ahmed, Monir U. - 2023
The main objective of this study is to assess the impact of real effective exchange rate volatility on domestic labor demand, and the export of Bangladesh. This study is based on the proposition of the relationship between labor demand, exchange rate volatility, and international trade. In this...
Persistent link: https://www.econbiz.de/10014255583
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Multivariate Modelling of Long Memory Processes With Common Components
Morana, Claudio - 2013
A new approach to the modelling of common components in long memory processes is introduced. The approach is based on a two-step procedure relying on Fourier transform methods (first step) and principal components analysis (second step). Differently from other available methods, it allows the...
Persistent link: https://www.econbiz.de/10012754071
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Adaptive Testing for Cointegration with Nonstationary Volatility
Boswijk, H. Peter - 2019
size distortions in conventional cointegration tests, which may be resolved using the wild bootstrap, as shown by Cavaliere …
Persistent link: https://www.econbiz.de/10012868031
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Investigating Linkages between U.S. CDS Spreads and Both Equity Market Price and Equity Market Volatility Channels : A Quantile Cointegrating Regression Approach
Gatfaoui, Hayette - 2017
We investigate the behavior of daily aggregate U.S. CDS spreads during almost six years. Existing linkages between credit and equity markets advocate the use of market price and volatility channels as explanatory factors. In particular, the evolution of CDS spreads is analyzed along with the...
Persistent link: https://www.econbiz.de/10012961085
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Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices
Casoli, Chiara; Lucchetti, Riccardo - 2021
In this article, we propose a cointegration-based Permanent-Transitory decomposition for nonstationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …-term stationary one. A Monte Carlo experiment shows that taking into account the cointegration structure in the DFM leads to a much …
Persistent link: https://www.econbiz.de/10012596987
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A No Arbitrage Fractional Cointegration Analysis of the Range Based Volatility
Rossi, Eduardo - 2010
The no arbitrage relation between futures and spot prices implies an analogous relation between futures and spot volatilities as measured by daily range. Long memory features of the range-based volatility estimators of the two series are analyzed, and their joint dynamics are modeled via a...
Persistent link: https://www.econbiz.de/10013152222
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Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions
Boswijk, Herman Peter - 2013
It is well established that the shocks driving many key macro-economic and financial variables display time-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector...
Persistent link: https://www.econbiz.de/10013072501
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The Weak Tie Between Natural Gas and Oil Prices
Ramberg, David J. - 2010
explore the apparent contradiction between these two views. We find that recognition of the statistical fact of cointegration …
Persistent link: https://www.econbiz.de/10013135933
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Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants
Manera, Matteo; Lanza, Alessandro; Grasso, Margherita; … - 2013
cointegration techniques in modelling the conditional mean, as well as multivariate GARCH models for the conditional variances. We …
Persistent link: https://www.econbiz.de/10014071753
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Inference on Co-Integration Parameters in Heteroskedastic Vector Autoregressions
Boswijk, Herman Peter; Cavaliere, Giuseppe; Rahbek, Anders - 2013
It is well established that the shocks driving many key macroeconomic and financial variables display time-varying volatility. In this paper we consider estimation and hypothesis testing on the coefficients of the co-integrating relations and the adjustment coefficients in vector autoregressions...
Persistent link: https://www.econbiz.de/10014151390