Similar Search Results

Spurious relationships for nearly non-stationary series

Cheng, Yushan; Hui, Yongchang; McAleer, Michael; Wong, … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-24

Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...

Persistent link: https://www.econbiz.de/10012626690

A cointegration of the exchange rate and macroeconomic fundamentals : the case of the Indonesian Rupiah vis-á-vis currencies of primary trade partners

Salim, Agus; Shi, Kai - In: Journal of risk and financial management : JRFM 12 (2019) 2/87, pp. 1-17

determinants in some countries. To revisit this puzzle in an emerging market currency, we analyzed the cointegration of the …

Persistent link: https://www.econbiz.de/10012022085

Effects of global oil price on exchange rate, trade balance, and reserves in Nigeria : a frequency domain causality approach

Olayungbo, D. O. - In: Journal of risk and financial management : JRFM 12 (2019) 1/43, pp. 1-14

series. Given the non-stationarity of our variables, we found cointegration to exist only between oil price and foreign … reserve. The presence of cointegration implied the existence of long run relationship between the variables. The Granger …

Persistent link: https://www.econbiz.de/10012022300

Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors

Fu, Man; Bidarkota, Prasad V. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 97-132

output gap shows evidence of cointegration in the DJIA and S&P 500 index data. Nonetheless, a sup augmented Dickey …

Persistent link: https://www.econbiz.de/10011555939

Expectations for statistical arbitrage in energy futures markets

Nakajima, Tadahiro - In: Journal of risk and financial management : JRFM 12 (2019) 1/14, pp. 1-12

York Mercantile Exchange. On the assumption that power prices and natural gas prices have a cointegration relationship, as …

Persistent link: https://www.econbiz.de/10011961529

Exports and imports-led growth : evidence from a small developing economy

Panta, Humnath; Devkota, Mitra Lal; Banjade, Dhruba - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-14

cointegration and the vector error correction model. …

Persistent link: https://www.econbiz.de/10012813301

ICT adoption and stock market development in Africa : an application of the panel ARDL bounds testing procedure

Igwilo, Jerry Ikechukwu; Sibindi, Athenia Bongani - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-15

cointegration and examine the causal relationship between ICT adoption and stock market development. The dependent variable employed …

Persistent link: https://www.econbiz.de/10012799415

A note on the empirical relation between oil prices and the value of the dollar

Marquez, Jaime R.; Merler, Silvia - In: Journal of risk and financial management : JRFM 13 (2020) 8/164, pp. 1-16

This paper offers an empirical characterization of the relation between the international price of oil and exchange rates that is both useful and reliable. Our characterization is useful because it rests on information of asset prices that are determined in functioning asset markets. Our...

Persistent link: https://www.econbiz.de/10012322360

Financial time series: methods and models

Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3

The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

Persistent link: https://www.econbiz.de/10012304649

The mediating effects of implied volatility and exchange rate on the U.S. tourism-growth nexus

Obi, Pat; Ogbeide, Godwin-Charles - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-16

the recently developed nonlinear autoregressive distributed lag cointegration technique. Tourism development is proxied by …

Persistent link: https://www.econbiz.de/10013161866