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Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data

Avdulaj, Krenar; Barunik, Jozef - 2015

Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional...

Persistent link: https://www.econbiz.de/10010499593

Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data

Avdulaj, Krenar; Barunik, Jozef - Institut für Volkswirtschaftslehre, … - 2015

Persistent link: https://www.econbiz.de/10011213922

Can We Still Benefit from International Diversification? The Case of the Czech and German Stock Markets

AVDULAJ, Krenar; BARUNIK, Jozef - In: Czech Journal of Economics and Finance (Finance a uver) 63 (2013) 5, pp. 425-442

One of the findings of the recent literature is that the 2008 financial crisis caused a reduction in international diversification benefits. To fully understand the potential of diversification, we build an empirical model which combines generalized autoregressive score copula functions with...

Persistent link: https://www.econbiz.de/10010726615

Opportunities for international portfolio diversification across the South Eastern European region

Okičić, Jasmina - In: International review of entrepreneurship : IRE 13 (2015) 3, pp. 215-232

Persistent link: https://www.econbiz.de/10011662931

Equilibrium Real Effective Exchange Rates and Real Exchange Rate Misalignments: Time Series vs. Panel Estimates

Hossfeld, Oliver - 2010

effective exchange rates and currency misalignments for the US and its 16 major trading partners. We apply cointegration and … panel cointegration techniques to derive fully countryspecific measures of misalignment and measures based on panel … cointegration tests by Westerlund (2007), as well as different estimators. While we find strong evidence for the Balassa …

Persistent link: https://www.econbiz.de/10011345474

Las expectativas macroeconómicas de los especialistas: Una evaluación de pronósticos de corto plazo en México

Capistrán, Carlos; López-Moctezuma, Gabriel - 2008

This document analyzes inflation, exchange rate, interest rate, and GDP growth forecasts from the monthly Survey of Specialists in Economics from the Private Sector, maintained by Banco de M'exico. The study concentrates on the mean across forecasters for the period from January 1995 to April...

Persistent link: https://www.econbiz.de/10010322588

The undisclosed renminbi basket: are the markets telling us something about where the renminbi - US dollar exchange rate is going?

Funke, Michael; Gronwald, Marc - 2008

On 21 July 2005 China adopted an undisclosed basket exchange rate regime. We formally assess and envisage the gradual evolution of the renminbi over time. We utilize nonlinear dependencies in the renminbi exchange rate and describe the smooth transition of the renminbi/U.S. dollar (RMB/USD)...

Persistent link: https://www.econbiz.de/10010264340

Three methods of forecasting currency crises: Which made the run in signaling the South African currency crisis of June 2006?

Knedlik, Tobias; Scheufele, Rolf - 2007

In this paper we test the ability of three of the most popular methods to forecast the South African currency crisis of June 2006. In particular we are interested in the out-ofsample performance of these methods. Thus, we choose the latest crisis to conduct an out-of-sample experiment. In sum,...

Persistent link: https://www.econbiz.de/10010269920

Credible Granger-causality inference with modest sample lengths: A cross-sample validation approach

Ashley, Richard A.; Tsang, Kwok Ping - In: Econometrics 2 (2014) 1, pp. 72-91

Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit can be a poor guide to actual forecasting effectiveness. However, post-sample model testing requires an often-consequential a priori partitioning of the data into an "in-sample"...

Persistent link: https://www.econbiz.de/10010421306

The undisclosed renminbi basket: are the markets telling us something about where the renminbi - US dollar exchange rate is going?

Funke, Michael; Gronwald, Marc - 2007

Persistent link: https://www.econbiz.de/10012148542