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An Alternative to the BDS Test: Integration Across The Correlation Integral

Kocenda, Evzen - EconWPA - 2003

This paper extends and generalizes the BDS test presented by Brock, Dechert, Scheinkman, and LeBaron (1996). In doing so it aims to remove the limitation of having to arbitrarily select a proximity parameter by integrating across the correlation integral. The Monte Carlo simulation is used to...

Persistent link: https://www.econbiz.de/10005119218

Testing for nonlinearity of the relationship between stock prices and exchange rate in Romania

Saman, Corina - Institutul de Prognoza Economica, Institutul National … - 2014

The aim of this paper is to test the nonlinearity of the relation between the stock price in Romania and the nominal Romanian Leu against Euro from March 2000 to March 2014. The empirical evidence shows that there is a long-run equilibrium between the two variables during the time period...

Persistent link: https://www.econbiz.de/10011082312

Improving Garch Volatility Forecasts

Klaassen, F.J.G.M. - Tilburg University, Center for Economic Research - 1998

Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH effects are allowed within each regime, so that our...

Persistent link: https://www.econbiz.de/10011090288

Purchasing Power Parity : Evidence from a New Test

Klaassen, F.J.G.M. - Tilburg University, Center for Economic Research - 1999

Most economists intuitively consider purchasing power parity (PPP) to be true. Nevertheless, quite surprisingly, the empirical literature is not very supportive for PPP. In this paper, however, we find evidence in favor of PPP using a new test. The test is embedded in a Markov regime-switching...

Persistent link: https://www.econbiz.de/10011090364

Have Exchange Rates Become More Closely Tied? Evidence from a New Multivariate GARCH Model

Klaassen, F.J.G.M. - Tilburg University, Center for Economic Research - 1999

We analyze the time-dependence of exchange rate correlations using a new multivariate GARCH model. This model consists of two parts. First, we transform the exchange rate changes into their principal components and specify univariate GARCH models for all components. Second, we use the inverse of...

Persistent link: https://www.econbiz.de/10011091552

Long Swings in Exchange Rates : Are They Really in the Data?

Klaassen, F.J.G.M. - Tilburg University, Center for Economic Research - 1999

The random walk is often used to model exchange rates. According to the Lucas critique, however, policy shifts may lead to breaks in the trend of exchange rates and hence to long swings. We use a Markov regime-switching model to allow for such swings and we reject the random walk in favor of the...

Persistent link: https://www.econbiz.de/10011092028

CAN EXCHANGE RATES FORECAST COMMODITY PRICES?

Chen, Yu-chin; Rogoff, Kenneth; Rossi, Barbara - Duke University, Department of Economics - 2008

This paper studies the dynamic relationship between exchange rate fluctuations and world commodity price movements. Taking into account parameter instability, we demonstrate surprisingly robust evidence that exchange rates predict world commodity price movements, both in-sample and...

Persistent link: https://www.econbiz.de/10005787382

Nonparametric retrospection and monitoring of predictability of financial returns

Anatolyev, Stanislav - Center for Economic and Financial Research (CEFIR), New … - 2006

We develop and evaluate sequential testing tools for a class of nonparametric tests for predictability of financial … retrospective context where a researcher wants to track predictability over time in a historical sample, and the monitoring context … critical values. We illustrate our methodology by testing for directional and mean predictability of returns in a dozen of …

Persistent link: https://www.econbiz.de/10005086555

Using sentiment to predict GDP growth and stock returns

Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10009647230

In-sample tests of predictive ability: A new approach

Clark, Todd E.; McCracken, Michael W. - In: Journal of Econometrics 170 (2012) 1, pp. 1-14

This paper presents evidence linking in-sample tests of predictive content and out-of-sample forecast accuracy. Our approach focuses on the negative effect that finite-sample estimation error has on forecast accuracy despite the presence of significant population-level predictive content. We...

Persistent link: https://www.econbiz.de/10010664703