Showing 51 - 60 of 674
Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be modelled by a multivariate GARCH process. Formal...
Persistent link: https://www.econbiz.de/10011184636
We study market illiquidity across 11 national markets of the Balkans. In general, the EU member countries are more liquid than the nonmember countries. Turkey, however, has the most liquid market, while Serbia and Bosnia are the least liquid. Global illiquidity sourced from the US has a strong...
Persistent link: https://www.econbiz.de/10010951867
A new model is developed that augments a structural VAR specification with a GARCH covariance matrix. The model is utilised to study time series dependencies between three size-sorted portfolios from the Australian Stock Exchange. Even after accounting for contemporaneous correlations the...
Persistent link: https://www.econbiz.de/10005063659
This paper aims to explain changes in real house prices in Australia from 1970 to 2003. We develop and estimate a long-run equilibrium model that shows the real long-run economic determinants of house prices and a short-run asymmetric error correction model to represent house price changes in...
Persistent link: https://www.econbiz.de/10005679950
We use the cost-of-carry model to investigate the extent of market efficiency in the EU futures market for carbon dioxide allowances over the period of June 2005 to December 2007. We reject the cost-of-carry hypothesis for the entire data sample, but find some evidence of improvement in market...
Persistent link: https://www.econbiz.de/10008498697
We conduct an empirical investigation into the financial contagion hypothesis in the context of 12 US industry portfolios. Using a four-factor asset pricing model we measure contagion as the excess co-movement between idiosyncratic portfolio shocks, and test for an increase in the frequency of...
Persistent link: https://www.econbiz.de/10010618475
We propose a method for estimating the earliest time during the trading day when overnight information is reflected in domestic share prices, and use it to measure the impact of international commodities on four Australian Securities Exchange (ASX) indices. While evidence is found that the ASX...
Persistent link: https://www.econbiz.de/10008837839
We evaluate differential effects of the trading activity of two classes of traders: hedgers and general investors, on the volatility of the NYMEX crude oil futures returns. It appears that the rebalancing activity of oil hedgers has a significant and positive effect on the oil futures...
Persistent link: https://www.econbiz.de/10008693068
I investigate the impact of the Global Financial Crisis (GFC) on the returns and volatilities of eleven major European share markets, and test the proposition that the GFC developed over two stages: a subprime mortgage crisis (pre-Lehman), and a more severe global liquidity shortage phase...
Persistent link: https://www.econbiz.de/10009003240
Persistent link: https://www.econbiz.de/10008424750