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Testing uncovered interest rate parity using LIBOR
Omer, Muhammad; Haan, Jakob de; Scholtens, Bert - 2012
, Smeekes, and Urbain (2010) and cointegration techniques by Westerlund (2007), we find that UIP holds for short-term maturities … cointegration …
Persistent link: https://www.econbiz.de/10009570031
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Forecasting high-yield bond spreads using the loan market as leading indicator
Simmons-Süer, Banu - 2013
This paper attempts to find an aggregate leading indicator to predict the spreads observed for high-yield (HY) bond indices. Using a vector error correction (VEC) specification for quarterly data, we establish a long-term equilibrium relationship between the HY market spreads and its...
Persistent link: https://www.econbiz.de/10009707628
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Forecasting High-Yield Bond Spreads Using the Loan Market as Leading Indicator
Simmons-Süer, Banu - 2013
This paper attempts to find an aggregate leading indicator to predict the spreads observed for high-yield (HY) bond indices. Using a vector error correction (VEC) specification for quarterly data, we establish a long-term equilibrium relationship between the HY market spreads and its...
Persistent link: https://www.econbiz.de/10013087113
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Oil Price, Gold Price, Exchange Rate and Stock Market in Iraq Pre-During COVID-19 Outbreak : An ARDL Approach
Asaad, Zeravan - 2021
, the study results accepted the null hypothesis of no cointegration exists between the variables respectively for the (Full …
Persistent link: https://www.econbiz.de/10013215302
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What are the benefits of globally invested mutual funds? : evidence from statistical arbitrage models
Grobys, Klaus - In: Journal of applied finance & banking 2 (2012) 1, pp. 1-27
employed in this study to construct globally invested portfolios is based on cointegration analysis. The forecast period covers … 11 years. All constructed portfolios show a strong cointegration relationship with the benchmark in the back … ; cointegration ; portfolio optimization …
Persistent link: https://www.econbiz.de/10009539880
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International Evidence on the Stock Market and Aggregate Economic Activity
Ng, Lilian - 1998
Using the Johansen cointegration technique, we find empirical evidence of long run co-movements between five national … and to changes in the macroeconomic variables. Further, the constraints implied by the cointegration results yield some …
Persistent link: https://www.econbiz.de/10014105892
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Some evidence on the asymmetry between gasoline and crude oil prices in selected countries
Salles, André Assis de - In: International Journal of Energy Economics and Policy : IJEEP 4 (2014) 4, pp. 670-678
Persistent link: https://www.econbiz.de/10011286603
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Modeling the co-movements between crude oil and refined petroleum markets
Tong, Bin; Wu, Chongfeng; Zhou, Chunyang - In: Energy economics 40 (2013), pp. 882-898
Persistent link: https://www.econbiz.de/10010356014
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Nonlinear ARDL approach and PPP : evidence from 82 countries
Arize, Augustine Chuck; Bahmani-Oskooee, Mohsen - In: Global economy journal : GEJ 21 (2021) 1, pp. 2150002-1-2150002-17
Persistent link: https://www.econbiz.de/10012805967
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A new look at the crude oil prices and economic growth nexus : asymmetric evidence from Alaska
Baek, Jungho; Young, Taylor B. - In: Mineral economics : raw materials report 34 (2021) 3, pp. 339-344
Persistent link: https://www.econbiz.de/10012622853