Similar Search Results

Stock market dispersion, sectoral shocks, and the German business cycle

Döpke, Jörg; Pierdzioch, Christian - In: Swiss journal of economics and statistics 136 (2000) 4, pp. 531-555

Persistent link: https://www.econbiz.de/10001554649

Stock market dispersion, sectoral shocks, and the German business cycle

Döpke, Jörg - 2000

Persistent link: https://www.econbiz.de/10013261073

Covariate unit root tests under structural change and asymmetric STAR dynamics

Tsong, Ching-chuan; Wu, Chien-wei; Chiu, Hsien-hung; … - In: Economic modelling 33 (2013), pp. 101-112

Persistent link: https://www.econbiz.de/10010192034

Stock market dispersion, sectoral shocks, and the German business cycle

Döpke, Jörg; Pierdzioch, Christian - 2000

. The empirical evidence is obtained by calculating cross-correlation coefficients of sectoral stock market returns with …

Persistent link: https://www.econbiz.de/10011476130

Per capita output convergence across Asian countries : evidence from covariate unit root test with an endogenous structural break

Matsuki, Takashi - In: Economic modelling 82 (2019), pp. 99-118

Persistent link: https://www.econbiz.de/10012202377

Forecasting Structural Changes in Short and Long-Run Correlations : A Mixed Regime DCC-MIDAS Model

marchese, malvina; Kyriakou, Ioannis; Tamvakis, Michael; … - 2022

breaks of different type in the conditional and unconditional correlation components by capturing abrupt regime switches in … the forecasting accuracy of the correlation component models by explicitly accounting for parameter instability over time …

Persistent link: https://www.econbiz.de/10013291422

The role of investor sentiment in the long-term correlation between U.S. stock and bond markets

Fang, Libing; Yu, Honghai; Huang, Yingbo - In: International review of economics & finance : IREF 58 (2018), pp. 127-139

Persistent link: https://www.econbiz.de/10012034198

Bayesian analysis of asymmetric stochastic conditional duration model

Men, Zhongxian; Kolkiewicz, Adam W.; Wirjanto, Tony S. - In: Journal of forecasting 34 (2015) 1, pp. 36-56

Persistent link: https://www.econbiz.de/10011305352

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking … from the ACF and LB-Q statistics indicate evidence of serial correlation in majority of the sectors’ returns. Furthermore …

Persistent link: https://www.econbiz.de/10011862130

Zero-coupon interest rates : evaluating three alternative datasets

Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - 2018

The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such...

Persistent link: https://www.econbiz.de/10011901875