How is it possible to successfully time the stock market using publicly available information if the market prices … evolve according to a random walk in a rational market? Our paper answers this question by providing nine strategies to time …

time portfolio approach to investigate the long-run anomalies, each of the methods is a subject to criticisms. In this … paper, we show that a recently introduced calendar time methodology, known as Standardized Calendar Time Approach (SCTA …), controls well for heteroscedasticity problem which occurs in calendar time methodology due to varying portfolio compositions …

Statistics of the People's Republic of China. Unit root, cointegration tests, vector error correction estimates, block exogeneity …

:Q4). Long Run Granger Causality Test, Johansen's Cointegration Test (both Bivariate & Multivariate) and Vector Error … for all the macroeconomic variables. Johansen's Cointegration results suggest presence of long run equilibrium … difference in cointegration results in pre and post crisis periods except for Inflation and Interest rate, implying that global …

Istanbul Stock Exchanges. While static cointegration test present no evidence of long term cointegration, introduction of a … cointegration tests and DCC-GARCH analysis also reveal that Bovespa and ISE reacted strongly not only to systemic-wide crisis as …

. -- price impact ; limit order ; impulse response function ; cointegration …

. -- Price Impact ; Limit Order ; Impulse Response Function ; Cointegration …