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Long-memory in volatilities of German stock returns
Sibbertsen, Philipp - 2001
We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns …
Persistent link: https://www.econbiz.de/10009776762
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Long-memory in volatilities of German stock returns
Sibbertsen, Philipp - 2001
We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns …
Persistent link: https://www.econbiz.de/10010316498
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Long-memory in volatilities of German stock returns
Sibbertsen, Philipp - Institut für Wirtschafts- und Sozialstatistik, … - 2001
We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns …
Persistent link: https://www.econbiz.de/10010955393
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Tests of Bias in Log-Periodogram Regression
Davidson, James E. H.; Sibbertsen, Philipp - 2005
This paper proposes simple Hausman-type tests to check for bias in the log-periodogram regression of a time series believed to be long memory. The statistics are asymptotically standard normal on the null hypothesis that no bias is present, and the tests are consistent. The use of the tests in...
Persistent link: https://www.econbiz.de/10010262938
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Tests of Bias in Log-Periodogram Regression
Davidson, James; Sibbertsen, Philipp - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2005
This paper proposes simple Hausman-type tests to check for bias in the log-periodogram regression of a time series believed to be long memory. The statistics are asymptotically standard normal on the null hypothesis that no bias is present, and the tests are consistent. The use of the tests in...
Persistent link: https://www.econbiz.de/10005243353
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Specifying the Effective Determinants of House Price Volatilities in Iran
Pour, Murteza Sanjarani; Khani, Parviz Nasir; Zamanian, … - In: Economic Review: Journal of Economics and Business 11 (2013) 2, pp. 15-20
volatilities using the Engel Granger co-integration technique after modeling the price volatilities under the E-Garch model for the … price, GDP proxy, volume of money, inflation rate, and house interest rate have a significant impact on the volatilities. …
Persistent link: https://www.econbiz.de/10011985079
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INVESTIGATING RAPESEED PRICE VOLATILITIES IN THE COURSE OF THE FOOD CRISIS
Busse, Stefan; Bruemmer, Bernhard; Ihle, Rico - 2010
This paper investigates the development of volatilities in agricultural commodity pricesduring and after the food … volatilities and thus, bear the risk ofoverreactions in volatile phases. The increased correlation introduces the potential of … evenmore pronounced volatilities in agricultural commodity prices during the next price boomsince crude oil prices exhibited a …
Persistent link: https://www.econbiz.de/10009442720
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INSURING EGGS IN BASKETS
Hart, Chad E.; Hayes, Dermot J.; Babcock, Bruce A. - 2003
The vast majority of crop and revenue insurance policies sold in the United States are single-crop policies that insure against low yields or low revenues for each crop grown on a particular farm. This practice of insuring one crop at a time runs counter to the traditional risk management...
Persistent link: https://www.econbiz.de/10009443077
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Time-varying autoregressive distributed lag model with changing volatility for stress test
Zhou, Leilei; Zhu, Wei - In: Journal of risk management in financial institutions 14 (2020/2021) 2, pp. 195-208
Persistent link: https://www.econbiz.de/10012613982
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Do COVID-19 epidemic explains the dynamic conditional correlation between china's stock market index and international stock market indices?
Derbali, Abdelkader; Naoui, Kamel; Ben Sassi, Mounir; … - In: The Chinese economy : translations and studies 55 (2022) 3, pp. 227-242
Persistent link: https://www.econbiz.de/10013204855