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Capital mobility in Latin American and Caribbean countries : new evidence from dynamic common correlated effects panel data modeling
Murthy, Vasudeva N. R.; Ketenci, Natalya Shevchik - In: Financial innovation : FIN 6 (2020) 48, pp. 1-17
This study investigates the degree of capital mobility in a panel of 16 Latin American and 4 Caribbean countries during 1960 to 2017 against the backdrop of the Feldstein-Horioka hypothesis by applying recent panel data techniques. This is the first study on capital mobility in Latin American...
Persistent link: https://www.econbiz.de/10012418410
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Correcting Microstructure Comovement Biases for Integrated Covariance
Yeh, Jin-Huei - 2010
Finding a precise variance-covariance matrix is the building block of empirical finance. While microstructure-noise-robust methods for realized volatility are in the mainstream of financial econometrics, little if any attention has been devoted to estimating a noise-free realized covariance for...
Persistent link: https://www.econbiz.de/10013138934
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Generalized Correlations and Kernel Causality Using R Package GeneralCorr
Vinod, Hrishikesh D. - 2016
Karl Pearson developed the correlation coefficient r(X,Y) in 1890's. Vinod (2014) develops new generalized correlation …
Persistent link: https://www.econbiz.de/10012991829
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Long-Run Wavelet-Based Correlation for Financial Time Series
Conlon, Thomas - 2018
The asset allocation decision often relies upon correlation estimates arising from short-run data. Short …-run correlation estimates may, however, be distorted by frictions. In this paper, we introduce a long-run wavelet-based correlation … heterogeneity in correlation. The implication is that short-run correlation may be downward biased by frictions, the latter …
Persistent link: https://www.econbiz.de/10012917953
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A New Semiparametric Estimation Approach of Large Dynamic Covariance Matrices with Multiple Conditioning Variables
Chen, Jia - 2018
This paper studies the estimation of dynamic covariance matrices with multiple conditioning variables, where the matrix size can be ultra large (divergent at an exponential rate of the sample size). We introduce an easy-to-implement semiparametric method to estimate each entry of the covariance...
Persistent link: https://www.econbiz.de/10012915138
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A Decomposition Of The Pearson's Correlation Coefficient Into One- And Two-Group Measures
Papadopoulos, Savas - 2022
We reformulate and decompose the Pearson and Spearman correlation coefficients into two components. We recommend the …-parallel line correlation, hidden, mixed, influenced, or weaker but significant relationships not recognized by standard …
Persistent link: https://www.econbiz.de/10014235900
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Comovement of Exchange Rates : A Wavelet Analysis
Andries, Alin Marius - 2015
In this paper we employ the wavelet multiple correlation and the wavelet multiple cross-correlation to investigate the … are encountered when conventional pair wise wavelet correlation and cross correlation are used to assess the comovement in …
Persistent link: https://www.econbiz.de/10013035510
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A Test for Iid Residuals Based on Integrating Over the Correlation Integral
Kočenda, Evžen - 2010
by integration over the correlation integral. The Monte Carlo simulation is used to tabulate critical values of the new …
Persistent link: https://www.econbiz.de/10013148472
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Advancing the Iid Test Based on Integration Across the Correlation Integral : Ranges, Competition, and Power
Kočenda, Evžen; Briatka, Lubos - 2005
(over which the correlation integral is calculated) are specified. For these ε-ranges new critical values for various …
Persistent link: https://www.econbiz.de/10014061479
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Co-movements of Latin American equity markets before and after September 11, 2001
Meriç, İlhan; Ratner, Mitchell; Nygren, Lan Ma; … - In: Latin American business review : journal of the … 8 (2007) 3, pp. 54-74
Persistent link: https://www.econbiz.de/10003756566