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Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks

Zhou, Su - 1998

This paper examines the long-run validity of purchasing power parity (PPP) for four high-inflation countries. The method of Zivot and Andrews (1992) is employed to detect the time-series behavior of the exchange rates and consumer price indices of these countries. We find that these variables...

Persistent link: https://www.econbiz.de/10014071881

Is the Chinese currency substantially misaligned to warrant further appreciation?

Qin, Duo; He, Xinhua - 2010

estimation is based on a commonly used economic approach, but with a wider and more up-to-date coverage of data and a more …

Persistent link: https://www.econbiz.de/10003933130

Is the Chinese currency substantially misaligned to warrant further appreciation?

Qin, Duo; He, Xinhua - 2010

estimation is based on a commonly used economic approach, but with a wider and more up-to-date coverage of data and a more …

Persistent link: https://www.econbiz.de/10003933930

Is the Chinese Currency Substantially Misaligned to Warrant Further Appreciation?

Qin, Duo; He, Xinhua - 2011

estimation is based on a commonly used economic approach, but with a wider and more up-to-date coverage of data and a more …

Persistent link: https://www.econbiz.de/10014048983

The euro introduction and non-euro currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2005

Persistent link: https://www.econbiz.de/10002851741

The euro introduction and noneuro currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - In: Applied financial economics 21 (2011) 1/3, pp. 95-116

Persistent link: https://www.econbiz.de/10009124660

Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - 2004

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

Persistent link: https://www.econbiz.de/10011335205

Forecasting Random Walks under Drift Instability

Pesaran, M. Hashem - 2011

estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …This paper considers forecast averaging when the same model is used but estimation is carried out over different … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10012714199

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

Persistent link: https://www.econbiz.de/10012756639

Is market fear persistent? : a long-memory analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017

This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the sample period 2004-2016, as well as some...

Persistent link: https://www.econbiz.de/10011664417