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Revisiting serial dependence in the stock markets of the G7 countries, Portugal, Spain and Greece
Ferreira, Paulo; Dionísio, Andreia - In: Applied financial economics 24 (2014) 4/6, pp. 319-331
Persistent link: https://www.econbiz.de/10010399410
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Efficiency tests in the Iberian stock markets
Dias, José Carlos; Lopes, Luís; Martins, Vitor; … - EconWPA - 2004
This paper investigates the efficiency of the two major stock indexes of the Iberian Peninsula, the Portuguese Stock Index (PSI-20) and the Spanish Stock Index (IBEX-35). We used daily data from January 1993 to September 2001 for the Portuguese stock index and daily data from October 1990 to...
Persistent link: https://www.econbiz.de/10005134722
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Procesy s dlouhou pamětí a jejich vývoj ve výnosech indexu PX v letech 1999 – 2009
Kristoufek, Ladislav - Volkswirtschaftliche Fakultät, … - 2009
Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictability in the underlying process. However, most of the literature interprets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of...
Persistent link: https://www.econbiz.de/10005087515
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Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
Krištoufek, Ladislav - In: Czech Economic Review 4 (2010) 3, pp. 315-329
We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation—rescaled range analysis (R/S) and detrended fluctuation analysis (DFA). Even though both methods have been widely applied on different types of financial assets, only several papers have dealt with...
Persistent link: https://www.econbiz.de/10008727382
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Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
types of the nonlinearities. We discuss the venture capital firms with the different organizational structures: the … the various types of the nonlinearities, which may have a considerable impact on the venture capital investments in the … diffusion-type financial system. These nonlinearities have to be taken to an account during the venture capital optimal …
Persistent link: https://www.econbiz.de/10011107583
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Generalized hyperbolic distribution and portfolio efficiency in energy and stock markets of BRIC countries
Núñez-Mora, José Antonio; Sánchez-Ruenes, Eduardo - In: International Journal of Financial Studies 8 (2020) 4, pp. 1-14
Oil, also called black gold, is considered as the commodity which has the greatest impact on the world's economy, and it has been studied in terms of its relationship and effects on macroeconomic variables such as Gross Domestic Product (GDP), inflation, trade balance, exchange rate and some...
Persistent link: https://www.econbiz.de/10013200313
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Generalized hyperbolic distribution and portfolio efficiency in energy and stock markets of BRIC countries
Núñez-Mora, José Antonio; Sánchez-Ruenes, Eduardo - In: International Journal of Financial Studies : open … 8 (2020) 4/66, pp. 1-14
Oil, also called black gold, is considered as the commodity which has the greatest impact on the world's economy, and it has been studied in terms of its relationship and effects on macroeconomic variables such as Gross Domestic Product (GDP), inflation, trade balance, exchange rate and some...
Persistent link: https://www.econbiz.de/10012321133
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The structure of international stock market returns
Bastos, Joao A.; Caiado, Jorge - Centro de Matemática Aplicada à Previsão e Decisão … - 2010
The behavior of international stock market returns in terms of their distributional properties, serial dependence, long-memory and conditional volatility is examined. A factor analysis is employed to identify the underlying dimensions of the returns. The analysis reveals the existence of...
Persistent link: https://www.econbiz.de/10008460818
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An international analysis of earnings, stock prices and bond yields
Durré, Alain; Giot, Pierre - 2005
This paper assesses the possible contemporaneous relationship between stock index prices, earnings and long-term government bond yields for a large number of countries and over a time period that spans several decades. In a cointegration framework, our analysis looks at three hypotheses. First,...
Persistent link: https://www.econbiz.de/10011604561
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The impact of foreign stock exchanges on the main stock exchange indexes in Poland
Augustyński, Iwo - In: e-Finanse: Financial Internet Quarterly 7 (2011) 1, pp. 1-12
In this paper the author compared 13stock exchange indexes of American, British and German markets and determined their impact on Polish Wig and WIG20 indexes. The analysis proved that the British FTSE100 and FTSE250 as well as the German DAX had the biggest influence on the Warsaw indexes. The...
Persistent link: https://www.econbiz.de/10010289544