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Linkages between the US and European stock markets : a fractional cointegration approach
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2015
fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the … both the S&P 500 Index and the Euro Stoxx 50 Index. Also, fractional cointegration appears to hold at least for the … diverging growth and monetary policy. Establishing whether the degree of cointegration has changed over time is important since …
Persistent link: https://www.econbiz.de/10011343058
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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …
Persistent link: https://www.econbiz.de/10011619595
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Central bank policy rates : are they cointegrated?
Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alaña, … - 2017
the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …
Persistent link: https://www.econbiz.de/10011619627
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The effects of foreign direct investments and economic growth on employment and female employment : a time series analysis with structural breaks for Turkey
Umit, A. Oznur; Alkan, H. Isil - In: International journal of business and economic sciences … 9 (2016) 3, pp. 43-49
Carrion-i Silvestre et. al. (2009) unit root test with multiple structural breaks and the cointegration relationship between … variables is tested with Maki (2012) cointegration test with multiple structural breaks. Dynamic ordinary least squares (DOLS …) method is used for estimating cointegration coefficients. Findings – It is revealed with the study that foreign direct …
Persistent link: https://www.econbiz.de/10011593592
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Fractional cointegration and tests of present value models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations … (EMH) ; Present Value (PV) models ; fractional cointegration …
Persistent link: https://www.econbiz.de/10009582383
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Fractional cointegration and real exchange rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real …. -- fractional integration ; fractional cointegration ; real exchange rates …
Persistent link: https://www.econbiz.de/10009611542
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Normality tests for latent variables
Almuzara, Martín; Amengual, Dante; Sentana, Enrique - In: Quantitative economics : QE ; journal of the … 10 (2019) 3, pp. 981-1017
We exploit the rationale behind the Expectation Maximization algorithm to derive simple to implement and interpret LM normality tests for the innovations of the latent variables in linear state space models against generalized hyperbolic alternatives, including symmetric and asymmetric Student...
Persistent link: https://www.econbiz.de/10012049323
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A comparison of semiparametric tests for fractional cointegration
Leschinski, Christian; Voges, Michelle; Sibbertsen, Philipp - 2019
There are various competing procedures to determine whether fractional cointegration is present in a multivariate time …
Persistent link: https://www.econbiz.de/10011957940
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Foreign Capital in Latin America : A Long-Run Structural Global VAR Perspective
Boschi, Melisso - 2007
I study the determinants of capital flows to Argentina, Brazil, and Mexico, assessing the relative importance of domestic and global factors. I estimate six VECM models, one for each Latin American country plus the Euro Area, Japan, and USA, and then embed them in a multi-country Global VAR. The...
Persistent link: https://www.econbiz.de/10012728441
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Estimating Turkish stock market returns with APT model : cointegration and vector error correction
Alp, Ozge Sezgin; Gökgöz, Fazıl; Küçükkocaoğlu, … - In: Economic review : journal of economics & business 14 (2016) 1, pp. 7-19
cointegration tests and vector error correction model analyses. The results have revealed that significant macroeconomic variables …
Persistent link: https://www.econbiz.de/10012012458