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Identifying Bubbles in Latin American Equity Markets: Phillips-Perron-based Tests and Linkages
Escobari, Diego; Garcia, Sergio; Mellado, Cristhian - 2017
The identification of periods of price exuberance in equity markets is of great interest to policy makers and financial investors. In this paper, we identify financial bubble periods within the major equity markets in Latin America. We use the recently developed recursive Augmented Dickey-Fuller...
Persistent link: https://www.econbiz.de/10015257505
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The Mean Squared Prediction Error Paradox
Pincheira, Pablo; Hardy, Nicolas - 2021
In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...
Persistent link: https://www.econbiz.de/10015241474
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Performance of Bayesian Latent Factor Models in Measuring Pricing Errors
Chadwick, Meltem - 2010
bounds of Arbitrage Pricing Theory with the aim of observing, first if the usage of a dynamic model, second increasing the …
Persistent link: https://www.econbiz.de/10015256044
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Is Gold a Safe Haven? International Evidence revisited
Bulut, Levent; Rizvanoghlu, Islam - 2019
The literature has not settled down on safe haven property of gold in emerging and developing countries. Therefore, in this study, we revisit the international evidence on hedging and safe haven role of gold for 34 emerging and developing countries with a span of daily data covering January 2000...
Persistent link: https://www.econbiz.de/10015262945
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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - 2014
the probability theory and the statistics theory application to accurately characterize the trends in the foreign … macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …
Persistent link: https://www.econbiz.de/10015243201
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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - 2014
the probability theory and the statistics theory application to accurately characterize the trends in the foreign … macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …
Persistent link: https://www.econbiz.de/10015243989
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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - 2014
the probability theory and the statistics theory application to accurately characterize the trends in the foreign … macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …
Persistent link: https://www.econbiz.de/10015244924
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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - 2014
the probability theory and the statistics theory applications to accurately characterize the trends in the foreign … macroeconomic analysis, market microstructure analysis and order flow analysis, to forecast the volatility in the foreign currencies …
Persistent link: https://www.econbiz.de/10015246182
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Financial Spillovers Across Countries: Measuring shock transmissions.
Urbina, Jilber - 2013
We measure volatility spread among countries and summarize it into a volatility spillover index to provide a … variables is involved and non theory in available to impose the restrictions needed by the orthogonal version; this is true … when economic theory does not fit well with variables relationship. An R package for reproducing this chapter estimations …
Persistent link: https://www.econbiz.de/10015254203
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Beyond Conditional Second Moments: Does Nonparametric Density Modelling Matter to Portfolio Allocation?
Li, Chenxing; Maheu, John M - 2023
This paper investigates the economic importance of nonparametrically/semiparametrically modelling the shape and the change in the unknown distribution of returns in portfolio allocation problems from a Bayesian perspective. Besides parametric multivariate GARCH (MGARCH) benchmark models for...
Persistent link: https://www.econbiz.de/10015214743