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Is there a price bubble in the exchange rates of the developing countries? The case of BRICS and Turkey
Yildirim, Hakan; Akdag, Saffet; Alola, Andrew Adewale - In: Journal of Economics, Finance and Administrative Science 27 (2022) 54, pp. 247-261
examine the exchange rate dynamics of Brazil, Russia, India, China, and South Africa (BRICS) and the Republic of Turkey …. Design/methodology/approach - Given this perceived global dynamics, the current study examined the BRICS countries and the … Republic of Turkey's exchange rate dynamics by using the United States (US) monthly dollar exchange rate data between January …
Persistent link: https://www.econbiz.de/10014516443
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Is there a rational bubble in bist 100 and sector indices?
Kirkpinar, Ayşegül; Erer, Elif; Erer, Deniz - In: Financial studies 23 (2019) 3, pp. 21-33
Global financial crises, which can stem from the bubbles in asset prices and which have been observed especially in the … United States and Europe, have demonstrated once again how important the determination of bubbles is. The bubbles in question … rational bubbles with financial crises, the analysis and detection of them become even more important for investors, portfolio …
Persistent link: https://www.econbiz.de/10012146180
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Conditional Heteroskedasticity in Long Memory Model 'FIMACH' for Return Volatilities in BRICS Equity Markets
Mollah, Sabur - 2015
squared returns for BRICS (Brazil, Russia, India, China, and South Africa) countries. The conditional first- and second … return series for BRICS countries. In its estimation, the FIMACH model outperforms the FIGARCH and ARFIMA models …
Persistent link: https://www.econbiz.de/10013017294
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Multiple Changes in Persistence vs. Explosive Behaviour : The Dotcom Bubble
de Medeiros, Otavio Ribeiro - 2012
Based on a method developed by Laybourne, Kim and Taylor (2007) for detecting multiple changes in persistence, we test for changes in persistence in the dividend-price ratio of the Nasdaq stocks. The results confirm the existence of the so-called Dotcom bubble around the last turn of the century...
Persistent link: https://www.econbiz.de/10013108019
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Cointegrated periodically collapsing bubbles in the exchange rate of 'BRICS' countries
Maldonado, Wilfredo Leiva; Tourinho, Octávio Augusto Fontes - 2014
Persistent link: https://www.econbiz.de/10010349467
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Testing four types of bubbles in BRICS exchange rates
Maldonado, Wilfredo Leiva; Ribeiro, Jussara; Tourinho, … - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 4, pp. 1103-1123
Persistent link: https://www.econbiz.de/10012483307
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Cointegrated periodically collapsing bubbles in the exchange rate of "BRICS"
Maldonado, Wilfredo Leiva; Tourinho, Octávio Augusto Fontes - In: Emerging markets finance & trade : a journal of the … 54 (2018) 1/2/3, pp. 54-70
Persistent link: https://www.econbiz.de/10012122848
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Forecasting Realized Volatility with wavelet decomposition
Souropanis, Ioannis; Vivian, Andrew - 2021
Forecasting Realized Volatility (RV) is of paramount importance for both academics andpractitioners. During recent decades, academic literature has made substantial progressboth in terms of methods and predictors under consideration. Despite the popularity oftechnical indicators, there has been...
Persistent link: https://www.econbiz.de/10013244692
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An analysis to detect exuberance and implosion in regional house prices in Turkey
Ceritoǧlu, Evren; Cilasun, Seyit Mümin; Demiroğlu, Ufuk - In: Central Bank review / Central Bank of the Republic of Turkey 19 (2019) 2, pp. 67-82
The aim of this paper is to find out whether there is exuberance in regional house prices in Turkey. For this purpose … explosiveness and implosion. Our empirical findings indicate that there were exuberance episodes in house prices in Turkey for …
Persistent link: https://www.econbiz.de/10012036945
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Is there a rational bubble in bist 100 and sector indices?
Kirkpinar, Ayşegül; Erer, Elif; Erer, Deniz - In: Financial Studies 23 (2019) 3 (85), pp. 21-33
Global financial crises, which can stem from the bubbles in asset prices and which have been observed especially in the … United States and Europe, have demonstrated once again how important the determination of bubbles is. The bubbles in question … rational bubbles with financial crises, the analysis and detection of them become even more important for investors, portfolio …
Persistent link: https://www.econbiz.de/10012484785