Similar Search Results

Développement financier et réduction des inégalités de revenus en Côte d’Ivoire : une approche par la régression quantile

KOUAKOU, Thiédjé Gaudens-Omer; KAMALAN, Angbonon Eugène - 2025

This study assesses the effect of financial development on income inequality in Côte d'Ivoire, using a multidimensional indicator of financial development that incorporates financial inclusion. We use ARDL and quantile regression methods to regress income inequality (measured by the Gini index)...

Persistent link: https://www.econbiz.de/10015214938

Développement financier et réduction des inégalités de revenus en Côte d’Ivoire : une approche par la régression quantile

KOUAKOU, Thiédjé Gaudens-Omer; KAMALAN, Angbonon Eugène - 2025

Persistent link: https://www.econbiz.de/10015214943

On the Efficiency of Foreign Exchange Markets in times of the COVID-19 Pandemic

Aslam, Faheem; Aziz, Saqib; Nguyen, Duc Khuong; Mughal, … - 2020

We employ multifractal detrended fluctuation analysis (MF-DFA) to provide the first look at the efficiency of forex markets during the initial period of ongoing COVID-19 pandemic, which has disrupted the financial markets globally. We use high frequency (5-min interval) data of six major...

Persistent link: https://www.econbiz.de/10015216175

Identifying common dynamic features in stock returns

Caiado, Jorge; Crato, Nuno - 2009

This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the information about both the periodogram of the squared returns and the estimated parameters in the TARCH equation, we compute a distance matrix for the stock returns. Clusters are...

Persistent link: https://www.econbiz.de/10015216873

An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model

Vargas, Gregorio A. - 2006

The Block DCC model for determining dynamic correlations within and between groups of financial asset returns is … extended to account for asymmetric effects. Simulation results show that the Asymmetric Block DCC model is competitive in in …-sample forecasting and performs better than alternative DCC models in out-of-sample forecasting of conditional correlation in the …

Persistent link: https://www.econbiz.de/10015219232

Stochastic optimal hedge ratio: Theory and evidence

Hatemi-J, Abdulnasser; El-Khatib, Youssef - 2010

The minimum variance hedge ratio is widely used by investors to immunize against the price risk. This hedge ratio is usually assumed to be constant across time by practitioners, which might be too restrictive assumption because the optimal hedge ratio might vary across time. In this paper we put...

Persistent link: https://www.econbiz.de/10015223946

Macro Economic Uncertainty of 1990s and Volatility at Karachi Stock Exchange

Mamoon, Dawood - 2007

The paper examines the short to medium term trends and volatility in Karachi Stock Exchange and further explore the nature of relationship between stock market activities and a set of macroeconomic variables in 1990s. The analysis is based on daily and monthly data on general stock price index...

Persistent link: https://www.econbiz.de/10015227741

A Multivariate GARCH-Jump Mixture Model

Li, Chenxing; Maheu, John M - 2020

This paper proposes a new parsimonious multivariate GARCH-jump (MGARCH-jump) mixture model with multivariate jumps that allows both jump sizes and jump arrivals to be correlated among assets. Dependent jumps impact the conditional moments of returns as well as beta dynamics of a stock. Applied...

Persistent link: https://www.econbiz.de/10015228256

The case for higher frequency inflation expectations

Guzman, Giselle C. - 2011

I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...

Persistent link: https://www.econbiz.de/10015230637

Testing long-run neutrality of money: evidence from Malaysian stock market

Puah, Chin-Hong; Habibullah, Muzafar Shah; Lim, Kian-Ping - 2006

This paper presents the empirical evidence on the long-run neutrality (LRN) of money in the stock market in Malaysia using seasonal adjusted monthly data from 1978:1 to 1999:12 based on the bivariate ARIMA framework developed by Fisher and Seater (1993). Besides the main stock index, the...

Persistent link: https://www.econbiz.de/10015231227