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The Warsaw Stock Exchange index WIG : modelling and forecasting

Wdowiński, Piotr; Zglinska-Pietrzak, Aneta - 2005

In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...

Persistent link: https://www.econbiz.de/10010277059

The Japanese economy in crises: A time series segmentation study

Cheong, Siew Ann; Fornia, Robert Paulo; Lee, Gladys Hui Ting - 2011

We performed a comprehensive time series segmentation study on the 36 Nikkei Japanese industry indices from 1 January 1996 to 11 June 2010. From the temporal distributions of the clustered segments, we found that the Japanese economy never fully recovered from the extended 1997-2003 crisis, and...

Persistent link: https://www.econbiz.de/10010305849

Assessing the diversification risk of a single equity market: Evidence from the largest European stock indexes

Nuhiu, Artor; Aliu, Florin; Peci, Bedri - In: International Journal of Management and Economics 58 (2022) 1, pp. 3-16

Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk-reward tradeoffs linked to the stock indexes of Germany, Spain,...

Persistent link: https://www.econbiz.de/10015192062

Country Size and Exposure to International Economic Shocks: New Evidence from the Financial Crisis

Brunhart, Andreas - 2022

grösseren Schockwirkung der Finanzkrise nahe. Länder mit einer Bevölkerung von unter 10 Millionen wiesen eine höhere Exposition …

Persistent link: https://www.econbiz.de/10013350025

"This Time is Different"?

Schäfer, Dorothea - In: Vierteljahrshefte zur Wirtschaftsforschung 90 (2021) 2, pp. 9-30

Jahrhunderts, Dotcom-Krise, Finanzkrise und Coronakrise, reagiert hat. Grundlage dazu ist ein Paneldatensatz mit den Bankengruppen … Bankengruppen in Coronakrise und Finanzkrise. Unsere Befunde zeigen, dass der Spruch "This time is different" für das deutsche … Finanzkrise die Kreditquote zwar signifikant abgesenkt, diese aber in der Coronakrise signifikant erhöht haben. Der Vergleich der …

Persistent link: https://www.econbiz.de/10014001300