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A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - In: The journal of futures markets 35 (2015) 4, pp. 339-356
Persistent link: https://www.econbiz.de/10011348418
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Quantile autoregressive distributed lag model with an application to house price returns
Galvão Júnior, Antônio Fialho; Montes-Rojas, Gabriel; … - In: Oxford bulletin of economics and statistics 75 (2013) 2, pp. 307-321
Persistent link: https://www.econbiz.de/10009754614
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Long memory in the Ukrainian stock market
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013
Persistent link: https://www.econbiz.de/10009731962
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Nonstationarity and nonlinearity in inflation rate : some further evidence
Arize, Augustine Chuck; Malindretos, John - In: International review of economics & finance : IREF 24 (2012), pp. 224-234
Persistent link: https://www.econbiz.de/10009690184
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A no-arbitrage fractional cointegration model for futures and spot daily ranges
Rossi, Eduardo; Santucci de Magistris, Paolo - In: The journal of futures markets 33 (2013) 1, pp. 77-102
Persistent link: https://www.econbiz.de/10009699456
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Measuring time-varying financial market integration : an unobserved components approach
Berger, Tino; Pozzi, Lorenzo - In: Journal of banking & finance 37 (2013) 2, pp. 463-473
Persistent link: https://www.econbiz.de/10009705640
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Inflation bias and output growth in Nigeria
Atanda, Mustapha Saidi; Akeem Ade, Nureni-Balogun; … - In: Asian African journal of economics and econometrics 13 (2013) 2, pp. 209-225
Persistent link: https://www.econbiz.de/10010353712
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The forward exchange rate unbiasedness hypothesis : a single break unit root and cointegration analysis
Mazur, Michael E.; Ramírez, Miguel D. - In: Modern economy 4 (2013) 9, pp. 605-626
Persistent link: https://www.econbiz.de/10010243180
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Remittances and economic growth in Mexico : an empirical study with structural breaks, 1970 - 2010
Ramírez, Miguel D. - In: Business and Economic Research : BER 4 (2014) 1, pp. 351-373
Persistent link: https://www.econbiz.de/10010380138
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Are there bubbles in stock prices? : testing for fundamental shocks
Velinov, Anton; Chen, Wenjuan - 2014
This paper investigates whether there are bubbles in stock prices. We do this using a previously studied structural vector autoregressive (SVAR) model claiming to distinguish fundamental and non-fundamental shocks to real stock prices. TheSVAR model relies on an identification restriction in...
Persistent link: https://www.econbiz.de/10010349257