This working paper was written by Yin-wong Cheung (University of California, Santa Cruz).We construct an empirical model for daily highs and daily lows of US stock indexes based on the intuition that highs and lows do not drift apart over time. Our empirical results show that daily highs and...

The study is intended to investigate the symmetrical relationship between macroeconomic variability and KSE-100 indexes by employing the ARDL model with bound testing procedure and error correction model. Authors have also examined whether the linkages between macroeconomic variability and...

In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...

In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...