Search Results - subject:"causality in variance"

Exchange Rate Uncertainty and International Portfolio Flows

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...

Persistent link: https://www.econbiz.de/10011128874

Factor double autoregressive models with application to simultaneous causality testing

Guo, Shaojun; Ling, Shiqing; Zhu, Ke - Volkswirtschaftliche Fakultät, … - 2013

Testing causality-in-mean and causality-in-variance has been largely studied. However, none of the tests can detect … causality-in-mean and causality-in-variance simultaneously. In this article, we introduce a factor double autoregressive (FDAR …) model. Based on this model, a score test is proposed to detect causality-in-mean and causality-in-variance simultaneously …

Persistent link: https://www.econbiz.de/10011113423

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Radalj, K. - Faculteit der Economische Wetenschappen, Erasmus … - 2013

causality-in-variance is used to analyse if volatility among small traders spills over into spot markets, it is found that …

Persistent link: https://www.econbiz.de/10010731573

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - Facultad de Ciencias Económicas y Empresariales, … - 2013

causality-in-variance is used to analyse if volatility among small traders spills over into spot markets, it is found that …

Persistent link: https://www.econbiz.de/10010778715

Do Speculators in Futures Markets Make Cash Markets More Volatile?

Li, Yingzi; Fortenbery, T. Randall - Agricultural and Applied Economics Association - AAEA - 2013

Persistent link: https://www.econbiz.de/10010916128

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - Institute of Economic Research, Kyoto University - 2013

causality-in-variance is used to analyse if volatility among small traders spills over into spot markets, it is found that …

Persistent link: https://www.econbiz.de/10010674392

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - In: Journal of Reviews on Global Economics 2 (2013), pp. 307-329

causality-in-variance is used to analyse if volatility among small traders spills over into spot markets, it is found that …

Persistent link: https://www.econbiz.de/10010684121

On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010

Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013

Switzerland. Furthermore, causality-in-variance from stock returns to exchange rates changes is found in Japan and in the opposite …

Persistent link: https://www.econbiz.de/10010635677

On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010

Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - CESifo - 2013

Switzerland. Furthermore, causality-in-variance from stock returns to exchange rates changes is found in Japan and in the opposite …

Persistent link: https://www.econbiz.de/10010636593

Exchange Rate Uncertainty and International Portfolio Flows

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - CESifo - 2013

Persistent link: https://www.econbiz.de/10010659181