Similar Search Results

Nonlinear error correction based cointegration test in panel data

Omay, Tolga; Emirmahmutoglu, Furkan; Denaux, Zulal S. - In: Economics letters 157 (2017), pp. 1-4

Persistent link: https://www.econbiz.de/10011847276

Bootstrap inference in cointegrating regressions : traditional and self-normalized test statistics

Reichold, Karsten; Jentsch, Carsten - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 970-983

Persistent link: https://www.econbiz.de/10015053513

The long-term linkages between direct and indirect property in Australia

Yong, Jaime; Khoi Pham, Anh - In: Journal of Property Investment & Finance 33 (2015) 4, pp. 374-392

(ARFIMA) process to de-smooth a valuation-based direct property index. The authors establish directional lead …, and influences returns. The authors demonstrate that an ARFIMA process accounting for a smoothing bias up to lags of four …-REITs are substitutible in a multi-asset portfolio in the long and short term. Originality/value – The authors apply an ARFIMA …

Persistent link: https://www.econbiz.de/10014898673

The long-term linkages between direct and indirect property in Australia

Yong, Jaime; Pham, Anh Khoi - In: Journal of property investment & finance 33 (2015) 4, pp. 374-392

Persistent link: https://www.econbiz.de/10011406010

Modeling fractional cointegration between high and low stock prices in Asian countries

Afzal, Alia; Sibbertsen, Philipp - In: Empirical economics : a quarterly journal of the … 60 (2021) 2, pp. 661-682

Persistent link: https://www.econbiz.de/10012490321

The market impact of a limit order

Hautsch, Nikolaus; Huang, Ruihong - 2009

Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...

Persistent link: https://www.econbiz.de/10010303710

Monetary Conditions and Stock Returns: A South African Case Study

Coetzee, Clive - EconWPA - 2002

Extensive research on the linkages between monetary conditions and stock returns has been conducted in developed countries. This is in sharp contrast to the situation in developing countries. This paper therefore aims to study the long believed asymmetrical relationship between changes in...

Persistent link: https://www.econbiz.de/10005413129

Common stochastic trends and the dynamic linkages driving european stock markets: evidence from pre- and post-october 1987 crash eras

Masih, Rumi; Mansur, A.; Masih, M. - In: The European Journal of Finance 10 (2004) 1, pp. 81-104

Given the impact of the October 1987 crash pre-empting fears of a deep-seated financial collapse, there is now much scope for assessing its importance quantitatively. In this paper, time series techniques are used to analyse the dynamic linkages and propagation of shocks among five European...

Persistent link: https://www.econbiz.de/10005471956

Dynamic Interactions Between Private and Public Real Estate Markets: Some International Evidence

Yunus, Nafeesa; Hansz, J.; Kennedy, Paul - In: The Journal of Real Estate Finance and Economics 45 (2012) 4, pp. 1021-1040

This study evaluates long-run relationships and short-run linkages between the private (unsecuritized) and the public (securitized) real estate markets of Australia, Netherlands, United Kingdom and the United States. Results indicate the existence of long-run relationships between the public and...

Persistent link: https://www.econbiz.de/10010866936

The market impact of a limit order

Hautsch, Nikolaus; Huang, Ruihong - Center for Financial Studies - 2009

Persistent link: https://www.econbiz.de/10010958747