Similar Search Results

Evaluating the effect of "Zumwinkel-Affair" and financial crisis on stock prices in Liechtenstein: An unconventional augmented GARCH-approach

Brunhart, Andreas - 2011

Liechtenstein's economy has been heavily affected by the international economic downturn during the financial crisis. Additionally to the deep world recession, Liechtenstein's financial sector was challenged by the Zumwinkel-Affair (data of thousands of tax evaders were sold to several...

Persistent link: https://www.econbiz.de/10010281963

Parameter instability and forecasting performance: A Monte Carlo study

Anyfantakis, Costas; Caporale, Guglielmo M.; Pittis, Nikitas - 2004

This paper uses Monte Carlo techniques to assess the loss in terms of forecast accuracy which is incurred when the true DGP exhibits parameter instability which is either overlooked or incorrectly modelled. We find that the loss is considerable when a FCM is estimated instead of the true TVCM,...

Persistent link: https://www.econbiz.de/10010293752

Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area

Kavonius, Ilja Kristian; Castrén, Olli - 2009

The financial crisis has highlighted the need for models that can identify counterparty risk exposures and shock transmission processes at the systemic level. We use the euro area financial accounts (flow of funds) data to construct a sector-level network of bilateral balance sheet exposures and...

Persistent link: https://www.econbiz.de/10011605170

Relationship between Czech and European developed stock markets: DCC MV GARCH analysis

Princ, Michael - 2010

The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...

Persistent link: https://www.econbiz.de/10010322302

Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses

Kühl, Michael - 2007

The aim of this paper is to investigate the market efficiency on the foreign exchange market since the introduction of the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure of the global foreign exchange market to the extent...

Persistent link: https://www.econbiz.de/10010300150

Gold and Silver as Safe Havens: A Fractional Integration and Cointegration Analysis

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022

This paper investigates whether gold and silver can be considered safe havens by examining their long-run linkages with 22 stock price indices. More specifically, the stochastic properties of the differential between gold/silver prices and 22 stock indices are analysed applying fractional...

Persistent link: https://www.econbiz.de/10013470342

Do survey indicators let us see the business cycle? A frequency decomposition

Dresse, Luc; Van Nieuwenhuyze, Christophe - 2008

This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …

Persistent link: https://www.econbiz.de/10011506652

How does European integration affect the European stock markets?

Erdogan, Burcu - 2009

, industrials, consumer services, health care and financials. The analysis is carried out by using correlation analysis, ß … process of monetary, economic and financial integration in Europe. This study offers evidence for an increasing degree of …

Persistent link: https://www.econbiz.de/10010291779

How does European Integration affect the European Stock Markets?

Erdogan, Burcu - 2009

Persistent link: https://www.econbiz.de/10010300155

Who leads financial markets?

Weber, Enzo - 2007

markets leadership: Generally speaking, the US effects on Europe still dominate, but the special econometric methodology is …

Persistent link: https://www.econbiz.de/10010263681