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Empirical testing of a risk-adjusted Hotelling model

Young, Denise; Ryan, David L. - 1995

Persistent link: https://www.econbiz.de/10000979027

Empirical testing of a risk-adjusted Hotelling model

Young, Denise - In: Resource and energy economics 18 (1996) 3, pp. 265-289

Persistent link: https://www.econbiz.de/10001210558

Stock Markets, Banks and Economic Growth : Some Evidence on the Role of Stock Price Informativeness

Cheng, Fang Chin - 2011

This paper extends the economic growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 59 countries, this study finds that stock price informativeness as measured by firm-specific return...

Persistent link: https://www.econbiz.de/10013121128

US dollar exchange rate elasticity of gold returns at different federal fund rate zones

Herley, Michael D.; Orłowski, Lucjan T.; Ritter, Mark A. - In: Economies : open access journal 12 (2024) 9, pp. 1-10

We examine the relationship between gold prices and the U.S. dollar exchange rate, arguing that their interactions are … SETAR(2,p) tests. Subsequently, we perform conditional least square estimations of log changes in gold prices as a function … consistently inverse, suggesting that gold and the U.S. dollar are risk-hedging substitutes for normal market periods. This also …

Persistent link: https://www.econbiz.de/10015073524

An empirical study on the nexus among the prices of commodities : an ARDL and bound test approach

Shanmugaraja, V.; Murugesan, R.; Khartad, Ishita - In: International journal of enterprise network management … 15 (2024) 4, pp. 377-397

Persistent link: https://www.econbiz.de/10015326128

Return distributions and volatility forecasting in metal futures markets : evidence from gold, silver, and copper

Khalifa, Ahmed A. A.; Miao, Hong; Ramchander, Sanjay - In: The journal of futures markets 31 (2011) 1, pp. 55-80

Persistent link: https://www.econbiz.de/10008908411

COVID19 outbreak impact on international stock markets colatility contagion

Sosa Castro, Magnolia Miriam; Ortiz, Edgar; … - In: Revista de métodos cuantitativos para la economía y … 35 (2023), pp. 175-200

We analyze volatility contagion between the U.S. and Chinese stock markets and international capital markets. The volatility is modeled using: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH and GAS models under Gaussian, GED and t-Student distributions. 21,000 intraday observations of...

Persistent link: https://www.econbiz.de/10015338449

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

Caporale, Guglielmo Maria; Gil-Alaña, 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 … sample starting in January 2020, the evidence in favour of gold and silver as possible safe havens is pretty conclusive since …

Persistent link: https://www.econbiz.de/10014241989

Gold and silver as safe havens : a fractional integration and cointegration analysis

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

Persistent link: https://www.econbiz.de/10013445596

Comovement or Safe Haven? The Effect of Corruption on the Market Risk of Sovereign Bonds of Emerging Economies During Financial Crises

Paserman, Michal - 2016

In this study I explore the role of corruption in the cross-market time-varying linkage between sovereign bonds of emerging markets and the US stock market. It shows that corruption plays a prominent role in the behaviour of comovement under different market conditions. The sensitivity of...

Persistent link: https://www.econbiz.de/10012999118