The aim of the article is to try to explain the long-term price volatility of KGHM shares. Therefore the paper presents the relationship between KGHM stock prices and High Grade copper prices. The empirical part of the paper uses econometric cointegration analysis. Based on the estimated models,...

The aim of the article is to try to explain the long-term price volatility of KGHM shares. Therefore the paper presents the relationship between KGHM stock prices and High Grade copper prices. The empirical part of the paper uses econometric cointegration analysis. Based on the estimated models,...

Vektorfehlerkorrekturmodelle (VECM) erlauben es, Abhängigkeiten zwischen den Veränderungen mehrerer potenziell endogener Variablen simultan zu modellieren. Die Idee, ein langfristiges Gleichgewicht gleichzeitig mit kurzfristigen Veränderungen zu modellieren, lässt sich vom...

The Great Moderation and Stock Valuation Using quarterly data since 1953, we estimate a fundamental-based empirical model for the US real stock prices and earning-price ratio. Applying the VECM methodology instead of traditional VAR to explain low frequency movements of stock valuation, we...

The paper describes a procedure for decomposing the deterministic terms in cointegrated VAR models into growth rate parameters and cointegration mean parameters. These parameters express long-run properties of the model. For example, the growth rate parameters tell us how much to expect...

The objective of this study was to test the market efficiency hypothesis of Colombian coffee. This is of extreme importance to Colombia because the exports of coffee from this country provides for valuable foreign exchange and provides employment for her people. Historically this country has...

The objective of this study was to test the market efficiency hypothesis of Colombian coffee. This is of extreme importance to Colombia because the exports of coffee from this country provides for valuable foreign exchange and provides employment for her people. Historically this country has...

The paper describes a procedure for decomposing the deterministic terms in cointegrated VAR models into growth rate parameters and cointegration mean parameters. These parameters express long-run properties of the model. For example, the growth rate parameters tell us how much to expect...