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Short patches of outliers, ARCH and volatility modeling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...

Persistent link: https://www.econbiz.de/10011284080

Conditional pricing of currency risk in Africa's equity markets

Kodongo, Odongo; Ojah, Kalu - In: Emerging Markets Review 21 (2014) C, pp. 133-155

In this paper, we sought to establish whether Africa's volatile currencies drive equity risk premia. We use the SDF framework to estimate various conditional specifications of the International Capital Asset Pricing Model through generalized method of moments technique. Our results show strong...

Persistent link: https://www.econbiz.de/10011117801

Argentinean real exchange rate 1900 - 2006: Testing purchasing power parity theory

dal Bianco, Marcos José - In: Estudios de Economía 35 (2008) 1, pp. 33-64

cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend …

Persistent link: https://www.econbiz.de/10010289485

Argentinean real exchange rate 1900 - 2006 : testing purchasing power parity theory

Dal Bianco, Marcos - In: Estudios de economía 35 (2008) 1, pp. 33-64

cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend … ; cointegration ; structural breaks. …

Persistent link: https://www.econbiz.de/10003746940

A New Poolability Test for Cointegrated Panels

Westerlund, Joakim - 2013

This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in...

Persistent link: https://www.econbiz.de/10013075469

A note on testing for purchasing power parity

Heinen, Florian - 2011

We examine the asymptotic behavior of unit root tests against nonlinear alternatives of the exponential smooth transition type if the data is erroneously nonlinearly transformed. We show analytically and by a Monte Carlo study that the probability of rejecting the correct null of a random walk...

Persistent link: https://www.econbiz.de/10009012716

Cointegration Tests of PPP : Do They Also Exhibit Erratic Behaviour?

Caporale, Guglielmo Maria; Hanck, Christoph - 2021

(possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage …

Persistent link: https://www.econbiz.de/10013317393

Exchange Rate Dynamics : Where is the Saddle Path?

Cheung, Yin-Wong; Gardeazabal, Javier; Vázquez, Jesús - 2021

related overshooting behavior. Using a bivariate system, the paper illustrates the relationship of the cointegration, saddle … saddle-path behavior from cointegration dynamics. Using monthly data from five major industrial countries, we find that … exchange rates and prices are cointegrated. The cointegration result casts doubt on the use of saddle-path dynamics and the …

Persistent link: https://www.econbiz.de/10013319467

On the Causality between Stock Prices and Exchange Rates : Evidence from Turkish Financial Market

Köse, Yaşar - 2016

The aim of this paper is to investigate the existence and direction of relationship between stock prices and exchange rates for Turkish financial market. Granger (1969) causality testing methodology was employed to reveal the nature of relationship between the two variables. This work...

Persistent link: https://www.econbiz.de/10012997833

Purchasing Power Parity : Evidence from a New Testing Procedure in the Nonlinear Modified ESTAR Framework

Dieu-Hang, To; Kompas, Tom - 2018

The presence of transaction costs in trading implies a non-linear adjustment process of real exchange rates towards Purchasing Power Parity (PPP). This may make the traditional tests for PPP using a linear framework, which generally tend to refute the PPP hypothesis, unreliable. This study...

Persistent link: https://www.econbiz.de/10014190608