Showing 1 - 10 of 2,043
We consider volume weighted average price (VWAP) as the 1st market-based statistical moment and derive the dependence of higher statistical moments of price on statistical moments and correlations of the values and volumes of market trades. If all trade volumes are constant during the averaging...
Persistent link: https://www.econbiz.de/10015214615
The popularity of cryptocurrency exchanges has surged in recent years, accompanied by the proliferation of new digital platforms and tokens. However, the issue of credit risk and the reliability of crypto exchanges remain critical, highlighting the need for indicators to assess the safety of...
Persistent link: https://www.econbiz.de/10015214856
This is a summary of the paper entitled : “The Mean Squared Prediction Error Paradox”. In that 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...
Persistent link: https://www.econbiz.de/10015229363
-value theory for exchange rate determination and on the strong co-movement displayed by some commodity prices. The Chilean economy …
Persistent link: https://www.econbiz.de/10015229382
Recent studies show that carry trade returns are predictable and this predictability reflects changes in expected returns. Changes in expected returns may be related to time variation in betas and risk prices. We investigate this issue in carry trades and find clear evidence of time-varying risk...
Persistent link: https://www.econbiz.de/10015257149
This paper investigates the importance of commodity prices to the returns of currency carry trade portfolios. We adopt a recently developed empirical factor model to capture commodity commonalities and heterogeneity. Agricultural material and metal price risk factors are found to have...
Persistent link: https://www.econbiz.de/10015257150
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
We explore the relationship between investor, consumer, and business sentiment and the direction of excess stock market returns in the US. Our findings indicate that measures of investor sentiment are useful predictors, even after controlling for the predictive ability of commonly used...
Persistent link: https://www.econbiz.de/10015257738
Cet article vise à identifier un processus non linéaire par la méthode du noyau. Cette identification nécessite une sélection rigoureuse des coefficients de Markov et le choix de la fenêtre qui détermine le degré de lissage de l’estimateur. This paper aims to identify a nonlinear...
Persistent link: https://www.econbiz.de/10015257894
يهدف هذا البحث إلى نمذجة أسعار أسهم الإغلاق اليومية لشركة اتحاد اتصالات السعودية المدرجة ضمن قطاع الاتصالات في سوق المال السعودي خلال الفترة الممتدة من 01 جانفي...
Persistent link: https://www.econbiz.de/10015259142