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Essays on asset prices and macroeconomic fundamentals

Chen, Wenjuan - 2013

Persistent link: https://www.econbiz.de/10010222480

The effects of variance breaks on homogenous panel unit root tests

Herwartz, Helmut; Siedenburg, Florian - 2009

performance of homogenous panel unit root tests in the presence of permanent volatility shifts. It is shown that in this case …

Persistent link: https://www.econbiz.de/10003887238

Foreign exchange volatility and the bubble formation in financial markets : evidence from the COVID-19 pandemic

Özdemir, Onur - In: Mokslo darbai / Vilniaus Universitetas 101 (2022) 1, pp. 142-161

Persistent link: https://www.econbiz.de/10013357240

The dynamics of real exchange rates : a reconsideration

Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...

Persistent link: https://www.econbiz.de/10008908972

Regime-basierte Modellansätze zur Identifikation periodisch platzender Vermögenspreisblasen

Anaswah, Nael al- - 2007

Persistent link: https://www.econbiz.de/10013432024

The recent effects of exchange rate on international trade

Choi, Myoung Shik - In: Prague economic papers : a bimonthly journal of … 26 (2017) 6, pp. 661-689

Persistent link: https://www.econbiz.de/10011780227

The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate

Chang, Kuang-Liang - In: Journal of international money and finance 133 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014304729

Comment on 'Taylor Rule Exchange Rate Forecasting During the Financial Crisis'

McCracken, Michael W. - 2012

In this note we discuss the paper on exchange rate forecasting by Molodtsova and Papell (2012). In particular we discuss issues related to forecast origins and forecast horizons when higher frequency exchange rate movements are predicted using lower frequency quarterly macroaggregates

Persistent link: https://www.econbiz.de/10013100515

Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

Persistent link: https://www.econbiz.de/10012023869

The Economics of Bitcoins -- Market Characteristics and Price Jumps

Gronwald, Marc - 2015

This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...

Persistent link: https://www.econbiz.de/10013030485