Similar Search Results

Linkages between international securitized real estate markets : further evidence from time-varying and stochastic cointegration

Schindler, Felix; Voronkova, Svitlana - 2010

bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and … results from different cointegration methodologies and explicitly control for instability in cointegration relationships and … covering 20 years. In line with previous studies, the empirical results indicate several cointegration relationships between …

Persistent link: https://www.econbiz.de/10008652070

The European Commission and EUA prices : a high-frequency analysis of the EC's decisions on second NAPs

Rotfuß, Waldemar; Conrad, Christian; Rittler, Daniel - 2009

This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of...

Persistent link: https://www.econbiz.de/10003875267

The power law and dividend yields

Lüders, Erik (contributor); Lüders-Amann, Inge (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002137150

Higher-order beliefs among professional stock market forecasters : some first empirical tests

Rangvid, Jesper; Schmeling, Maik; Schrimpf, Andreas - 2009

A sizeable literature reports that financial market analysts and forecasters herd for reputational reasons. Using new data from a large survey of professional forecasters' expectations about stock market movements, we find strong evidence that the expected average of all forecasters' forecasts...

Persistent link: https://www.econbiz.de/10003871361

A mean variance king? : creation and resolution of uncertainty under the employment report's reign

Hautsch, Nikolaus; Hess, Dieter - 2001

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the intraday price process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the...

Persistent link: https://www.econbiz.de/10011446937

Surprises in scheduled releases : why do they move the bond market?

Hess, Dieter - 2000

It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O'Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady...

Persistent link: https://www.econbiz.de/10011445168

The behaviour of noise traders : empirical evidence on purchases of business magazines

Czarnitzki, Dirk; Stadtmann, Georg - 2000

According to the prospect theory financial investors tend to sell winners too early and ride losers too long. Therefore, demand for financial advise should be high in a bull market and low in a bear market. Thus, we test the hypothesis whether the demand for business magazines is somehow related...

Persistent link: https://www.econbiz.de/10011445202

Sequential identification of technological news shocks

Seymen, Atılım - 2013

In an influential recent paper, Beaudry and Portier (2006) propose a sequential approach for identifying technological news shocks. Thereby, the correlation coefficient between news shocks of a short-run identification scheme and technology shocks of a long-run identification scheme in the VAR...

Persistent link: https://www.econbiz.de/10010225546

Comparing two methods for the identification of news shocks

Beaudry, Paul; Portier, Franck; Seymen, Atılım - 2013

Recent empirical literature delivered, based on different structural VAR approaches, controversial results concerning the role of anticipated technology-news-shocks in business cycle fluctuations. We deal with this controversy and investigate (i) the extent to thich two prominent structural VAR...

Persistent link: https://www.econbiz.de/10010225547

The role of structural common and country-specific shocks in the business cycle dynamics of the G7 countries

Seymen, Atılım; Kappler, Marcus - 2009

The study analyses the business cycles of the G7 countries in a structural vector autoregression(SVAR) framework comprising output, nominal interest rate and inflation. Common and country-specific supply, demand and nominal shocks of each G7 country are identified, and the corresponding shock...

Persistent link: https://www.econbiz.de/10003824053