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The threshold effect of central bank's intervention on the nexus of trade balance and macroeconomic determinants

Wu, Po-Chin; Lee, Chung-Chih - In: The empirical economics letters : a monthly … 13 (2014) 7, pp. 763-772

Persistent link: https://www.econbiz.de/10010520430

Exploring relationship between the stock price of Taiwan and the exchange rate : an autoregressive distributed lag model with a quantile regression

Hsu, Tzu-Kuang - In: International journal of economics and finance 8 (2016) 1, pp. 72-78

Persistent link: https://www.econbiz.de/10011427778

Local constant kernel estimation of a partially linear varying coeefficient cointegration model

Wang, Luya; Liang, Zhongwen; Lin, Juan; Li, Qi - In: Annals of economics and finance 16 (2015) 2, pp. 353-369

Persistent link: https://www.econbiz.de/10011428164

Revisiting the long memory dynamics of implied-realized volatility relation : a new evidence from wavelet band spectrum regression

Barunik, Jozef; Barunikova, Michaela - 2015

This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of future volatility. It is argued that the concept...

Persistent link: https://www.econbiz.de/10011280711

Nonlinear attractors and asymmetries between non-life insurance premiums and financial markets

Sephton, Peter S.; Mann, Janelle - In: Empirical economics : a journal of the Institute for … 49 (2015) 3, pp. 783-799

Persistent link: https://www.econbiz.de/10011377296

Distribution approximations for cointegration tests with stationary exogenous regressors

Boswijk, Herman Peter; Doornik, Jurgen A. - 1999

functional represents the limiting distribution for cointegration tests with stationary exogenous regressors, but also for … cointegration tests based on a non-Gaussian likelihood. The approximation is accurate, fast, and easy to use in comparison to both …

Persistent link: https://www.econbiz.de/10011300548