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Nominálny výmenný kurz a swapy úverového zlyhania na vládne dlhopisy : kointegrácia a Grangerova kauzalita
Boda, Martin; Pinter, L'ubomir; Zimková, Emilia - In: Ekonomický časopis : časopis pre ekonomickú … 62 (2014) 1, pp. 46-70
Persistent link: https://www.econbiz.de/10010371901
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On the Relationship Between Asian Credit Default Swap and Equity Markets
Chan, Kam C.; Fung, Hung‐Gay; Zhang, Gaiyan - In: Journal of Asia Business Studies 4 (2009) 1, pp. 3-12
When extended to sovereign issuers, the Merton‐type structural model suggests a negative relationship between sovereign credit default swap (CDS) spreads and stock prices. In practice, capital structure arbitrage that exploits such relationships should foster the integration of CDS and the...
Persistent link: https://www.econbiz.de/10014838272
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Are digital assets backstops for GCC stock markets in COVID-19-led financial crisis?
Loukil, Sahar; Aloui, Mouna; Jeribi, Ahmed; Jarboui, Anis - In: International journal of electronic finance : IJEF 10 (2021) 4, pp. 232-259
Persistent link: https://www.econbiz.de/10012798960
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Information-Theoretic Analysis of Serial Dependence and Cointegration
Aparicio, F. M.; Escribano, A. - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 3
This paper is devoted to presenting wider characterizations of memory and cointegration in time series, in terms of …
Persistent link: https://www.econbiz.de/10014620815
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A small, macroeconometric model of the Australian economy : with an emphasis on modelling wages and prices
McHugh, Zoe D. - 2004
Traditional macroeconometric models of the Australian economy estimate the behaviour of wage and price inflation separately, thereby ignoring the possibility that there is a contemporaneous relationship between these two variables. This thesis follows a recent trend emerging in other small open...
Persistent link: https://www.econbiz.de/10009438087
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Integrated modified OLS estimation and fixed-b inference for cointegrating multivariate polynomial regressions
Vogelsang, Timothy J.; Wagner, Martin - 2024
This paper shows that the integrated modified OLS (IM-OLS) estimator developed for cointegrating linear regressions in Vogelsang and Wagner (2014a) can be straightforwardly extended to cointegrating multivariate polynomial regressions. These are regression models that include as explanatory...
Persistent link: https://www.econbiz.de/10014523361
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies 8 (2020) 1, pp. 1-51
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...
Persistent link: https://www.econbiz.de/10013199649
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Nonlinear Cointegration, Misspecification and Bimodality
Medeiros, Marcelo C.; Mendes, Eduardo; Oxley, Les - 2010
We show that the asymptotic distribution of the ordinary least squares estimator in a cointegration regression may be …
Persistent link: https://www.econbiz.de/10011807401
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Studies in time series analysis of consumption, asset prices and forecasting
Takala, Kari - 2001
of the Finnish consumer barometer after ten years 119 Kari Takala - Pekka Pere Testing the cointegration of house and … stock prices in Finland 151 Bharat Barot - Kari Takala House prices and inflation: A cointegration analysis for Finland and ….The papers apply techniques related to the analysis of unit roots and cointegration methods.The first paper deals with …
Persistent link: https://www.econbiz.de/10012148886
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Nonlinearity and time-variation in the monetary model of exchange rates
Junttila, Juha; Korhonen, Marko - In: Journal of macroeconomics 33 (2011) 2, pp. 288-302
Persistent link: https://www.econbiz.de/10009248399