Similar Search Results

Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs

Mayordomo, Sergio; Peña, Juan Ignacio; Romo, Juan - Departamento de Economía de la Empresa, Universidad … - 2009

to 2009, long-run (cointegration) and statistical arbitrage analysis are performed. Before the subprime crisis, we find …

Persistent link: https://www.econbiz.de/10008486969

Equity Price Bubbles in the Middle Eastern and North African Financial Markets

Jahan-Parvar, Mohammad; Waters, George - Volkswirtschaftliche Fakultät, … - 2009

cointegration relationship between real equity prices and real dividends and also between real market capitalizations and real …

Persistent link: https://www.econbiz.de/10008518088

Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan

Humpe, Andreas; Macmillan, Peter - Centre for Dynamic Macroeconomic Analysis, University … - 2007

influence stock prices in the US and Japan. A cointegration analysis is applied in order to model the long term relationship …

Persistent link: https://www.econbiz.de/10005696955

Modelos de corrección de error no lineal entre mercados accionarios latinoamericanos y el mercado accionario de Estados Unidos

Valdés, Arturo Lorenzo - In: Revista de Analisis Economico – Economic Analysis Review 21 (2006) 1, pp. 117-129

a cointegration relation exists between the principals prices stock indexes but allowing that the movements towards the … find that the specification is better in nonlinear than linear models and the cointegration relation only appears in four …

Persistent link: https://www.econbiz.de/10005698245

The Random Walk Hypothesis and Correlation in the Visegrad Countries Emerging Stock Markets

Dritsaki, Chaido - In: Romanian Economic Journal 14 (2011) 40, pp. 25-56

weak form. By employing cointegration and causality tests, we investigate the long-run and short-run relationships among …

Persistent link: https://www.econbiz.de/10009189905

Common trends and common cycles among interest rates of the G7-countries

Lindenberg, Nannette; Westermann, Frank - In: Journal of Macroeconomics 34 (2012) 4, pp. 1125-1140

short-run comovements in the G7-countries by conducting tests for cointegration, common serial correlation and codependence …

Persistent link: https://www.econbiz.de/10010595242

The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability

Nitschka, Thomas - Institut für Wirtschafts- und Sozialstatistik, … - 2006

A simple manipulation of the cointegrated framework proposed by Lettau and Ludvigson (2001, 2004) allows to demonstrate that temporary fluctuations of the U.S. consumption-wealth ratio predict excess returns on international stock markets. This finding is the reflection of an important common,...

Persistent link: https://www.econbiz.de/10009216943

Valuation of Latin-American stock prices with alternative versions of the Ohlson model: An investigation of cointegration relationships with time-series and panel-data

Duran-Vazquez, Rocio; Lorenzo-Valdes, Arturo; … - Volkswirtschaftliche Fakultät, … - 2011

-data cointegration methodologies to assess the long-run relationships among the variables postulated by both models. We use quarterly …

Persistent link: https://www.econbiz.de/10009246897

Valuation of Mexican stocks with the Olhson and Ohlson-Beta models for firms with short-term and long-term cycles: A cointegration analysis

Duran-Vazquez, Rocio; Lorenzo-Valdes, Arturo; … - Volkswirtschaftliche Fakultät, … - 2011

additional explanatory variable. We use time-series and panel-data cointegration methodologies to assess the existence of …

Persistent link: https://www.econbiz.de/10009283789

Are ASEAN stock market efficient? Evidence from univariate and multivariate variance ratio tests

Guidi, Francesco; Gupta, Rakesh - Department of Accounting, Finance and Economics, … - 2011

Persistent link: https://www.econbiz.de/10009351476