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Forecasting Accuracy of Crude Oil Futures Prices
Kumar, Manmohan S. - International Monetary Fund (IMF) - 1991
This paper undertakes an investigation into the efficiency of the crude oil futures market and the forecasting accuracy of futures prices. Efficiency of the market is analysed in terms of the expected excess returns to speculation in the futures market. Accuracy of futures prices is compared...
Persistent link: https://www.econbiz.de/10005599690
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Analysis of the co-movement between Chinese and international crude oil price
Jiao, Jian-Lin; Fan, Ying; Wei, Yi-Ming; Han, Zhi-Yong; … - In: International Journal of Global Energy Issues 27 (2007) 1, pp. 61-76
the trends of Chinese and international crude oil prices and their fluctuations by testing the Granger causality and the … term, there is bilateral Granger causality between Chinese and international crude oil prices. However, the impact of …
Persistent link: https://www.econbiz.de/10005751691
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Analysis of the co-movement between Chinese and international crude oil price
Jiao, Jian-Lin; Fan, Ying; Wei, Yi-Ming; Han, Zhi-Yong; … - In: International Journal of Global Energy Issues 27 (2007) 1, pp. 61-76
the trends of Chinese and international crude oil prices and their fluctuations by testing the Granger causality and the … term, there is bilateral Granger causality between Chinese and international crude oil prices. However, the impact of …
Persistent link: https://www.econbiz.de/10008539091
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The new science of technical analysis
DeMark, Thomas R. <Senior> - 1994
Persistent link: https://www.econbiz.de/10004568545
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Estimation of regression functions with certain monotonicity and concavity, convexity restrictions
Dahlbom, Ulla - 1994
Persistent link: https://www.econbiz.de/10004221775
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Estimation of standard errors and treatment effects in empirical economics : methods and applications
Hübler, Olaf - In: Journal for Labour Market Research 47 (2014) 1-2, pp. 43-62
"This paper discusses methodological problems of standard errors and treatment effects. First, heteroskedasticity- and cluster-robust estimates are considered as well as problems with Bernoulli distributed regressors, outliers and partially identified parameters. Second, procedures to determine...
Persistent link: https://www.econbiz.de/10010752326
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Linkages between the stock prices and the exchange rates during the global crisis: the case of Romania
Stefanescu, Razvan; Dumitriu, Ramona - Volkswirtschaftliche Fakultät, … - 2011
Since the Asian flu several empirical studies revealed that in the crisis circumstances the relationship between the stock prices and the exchange rates could suffer significant changes. Such findings were confirmed during the global crisis that started in 2008. In the case of Romania the global...
Persistent link: https://www.econbiz.de/10011258314
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Financial market integration and financial crises: the case of big emerging market (BEM) economies
Negi, Pushpa; Sankpal, Shilpa; Mathur, Garima - In: International Journal of Economics and Business Research 4 (2012) 6, pp. 622-638
linkages between 11 big emerging stock markets (China, Brazil, Egypt, India, and Indonesia etc.). To figure out the … used, followed by a VAR Pairwise Granger causality/block exogeneity Wald. The analysis results are further discussed. …
Persistent link: https://www.econbiz.de/10010669630
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Linkages between Thai stock and foreign exchange markets under the floating regime
Jiranyakul, Komain - In: Journal of Financial Economic Policy 4 (2012) 4, pp. 305-319
exchange rate return is the percentage change of the nominal bilateral exchange rate. Three estimation methods are used to … capture the interaction between stock and foreign exchange markets: bounds testing for cointegration, non-causality test, and … the two-step approach with a bivariate GARCH model and Granger causality test. Findings – The results of the present study …
Persistent link: https://www.econbiz.de/10010814925
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Untangling the non-linear causal nexus between exchange rates and stock prices: New evidence from the OECD countries
Chen, Shyh-Wei; Chen, Tzu-Chun - In: Journal of Economic Studies 39 (2012) May, pp. 231-259
by using the vector error correction model, the bounds testing methodology and linear and non-linear Granger causality … and stock prices exists in only seven out of twelve countries. The results of the linear causality tests indicate that …-linear Granger causality suggest that unidirectional and bidirectional non-linear causal relationships exist between stock prices and …
Persistent link: https://www.econbiz.de/10010610857