Similar Search Results

Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power

Kocenda, Evzen; Briatka, Lubos - EconWPA - 2004

This paper builds on Kočenda (2001) and extends it in two ways. First, two new intervals of the proximity parameter ε (over which the correlation integral is calculated) are specified. For these ε- ranges new critical values for various lengths of the data sets are introduced and through...

Persistent link: https://www.econbiz.de/10005407903

An Alternative to the BDS Test: Integration Across The Correlation Integral

Kocenda, Evzen - EconWPA - 2003

This paper extends and generalizes the BDS test presented by Brock, Dechert, Scheinkman, and LeBaron (1996). In doing so it aims to remove the limitation of having to arbitrarily select a proximity parameter by integrating across the correlation integral. The Monte Carlo simulation is used to...

Persistent link: https://www.econbiz.de/10005119218

Modeling real exchange rate persistence in Chile

Salazar, Leonardo - In: Econometrics 5 (2017) 3, pp. 1-21

The long and persistent swings in the real exchange rate have for a long time puzzled economists. Recent models built on imperfect knowledge economics seem to provide a theoretical explanation for this persistence. Empirical results, based on a cointegrated vector autoregressive (CVAR) model,...

Persistent link: https://www.econbiz.de/10011995239

Using a theory-consistent CVAR scenario to test an exchange rate model based on imperfect knowledge

Juselius, Katarina - In: Econometrics 5 (2017) 3, pp. 1-20

A theory-consistent CVAR scenario describes a set of testable regularieties one should expect to see in the data if the basic assumptions of the theoretical model are empirically valid. Using this method, the paper demonstrates that all basic assumptions about the shock structure and...

Persistent link: https://www.econbiz.de/10011995240

Timing foreign exchange markets

Malone, Samuel W.; Gramacy, Robert B.; ter Horst, Enrique - In: Econometrics 4 (2016) 1, pp. 1-23

To improve short-horizon exchange rate forecasts, we employ foreign exchange market risk factors as fundamentals, and Bayesian treed Gaussian process (BTGP) models to handle non-linear, time-varying relationships between these fundamentals and exchange rates. Forecasts from the BTGP model...

Persistent link: https://www.econbiz.de/10011755322

Do Chinese stock markets share common information arrival processes?

Kostov, Philip; Wu, Ziping; McErlean, Seamus - EconWPA - 2004

According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a …) volatility and trading volume changes in different financial markets. An implication is that returns volatility in one stock … market should show positive and contemporaneous correlation with returns volatility in another stock market. This paper tests …

Persistent link: https://www.econbiz.de/10005407887

Forecasting Volatility of Turkish Markets: A Comparison of Thin and Thick Models

Kilic, Ekrem - EconWPA - 2005

Volatility of financial markets is an important topic for academics, policy makers and market participants. In this … these specifications. Then assuming that the squared returns are the benchmark estimate for actual volatility of the day, I … compare all of the models with respect to how much efficient they are to mimic the realized volatility. At the same time I …

Persistent link: https://www.econbiz.de/10005556286

Statistical properties of volatility in fractal dimension and probability distribution among six stock markets - USA, Japan, Taiwan, South Korea, Singapore, and Hong Kong

YU, Hai-Chin; Huang, Ming-Chang - EconWPA - 2003

This study examines the statistical properties of volatility. Fractal dimension, probability distribution and two …-point volatility correlation are used to measure and compare volatility among six different markets for the 12-year period from Jan. 1 … different in their resistance to volatility : Tokyo has a higher ability to dissipate volatility. This phenomenon implies that …

Persistent link: https://www.econbiz.de/10005407911

The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach

SULEIMANN, Ryan - EconWPA - 2003

, using a bivariate SWARCH model to show the dependence of the high and low volatility states of the IT.CAC on the NASDAQ-100 …, with no intermediate simultaneous high-low volatility states. …

Persistent link: https://www.econbiz.de/10005556399

New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach

SULEIMANN, Ryan - EconWPA - 2003

modeling this market’s high volatility to prevent against crises.The strong linkage of the American and European New Technology …

Persistent link: https://www.econbiz.de/10005119158