Similar Search Results

Detecting periodically collapsing bubbles : a Markov-switching unit root test

Hall, Stephen G.; Psaradakis, Zacharias G.; Sola, Martin - In: Journal of applied econometrics 14 (1999) 2, pp. 143-154

Persistent link: https://www.econbiz.de/10001387376

On regression-based tests for persistence in logarithmic volatility models

Psaradakis, Zacharias G.; Tzavalis, Elias - In: Econometric reviews 18 (1999) 4, pp. 441-448

Persistent link: https://www.econbiz.de/10001413477

Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables

Spagnolo, Fabio; Psaradakis, Zacharias G.; Sola, Martin - In: Journal of applied econometrics 20 (2005) 3, pp. 423-437

Persistent link: https://www.econbiz.de/10002807278

Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables

Spagnolo, Fabio; Psaradakis, Zacharias G.; Sola, Martin - 2004

This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue of testing the unbiased forward exchange rate (UFER) hypothesis. Using US/UK data, it is shown that the UFER...

Persistent link: https://www.econbiz.de/10014068295

Feedbacks between stock prices and exchange rates in the East Asian markets

Caporale, Guglielmo Maria; Pittis, Nikitas; Spagnolo, Nicola - 2000

Persistent link: https://www.econbiz.de/10001615079

Testing for causality-in-variance : an application to the East Asian markets

Caporale, Guglielmo Maria; Pittis, Nikitas; Spagnolo, Nicola - In: International journal of finance & economics : IJFE 7 (2002) 3, pp. 235-245

Persistent link: https://www.econbiz.de/10001694049

Modelling East Asian exchange rates : a Markov-switching approach

Caporale, Guglielmo Maria; Spagnolo, Nicola - In: Applied financial economics 14 (2004) 4, pp. 233-242

Persistent link: https://www.econbiz.de/10001939262

Exchange Rate Uncertainty and International Portfolio Flows

Caporale, Guglielmo Maria - 2013

This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...

Persistent link: https://www.econbiz.de/10013081704

Exchange Rate Uncertainty and International Portfolio Flows

Caporale, Guglielmo Maria - 2014

Persistent link: https://www.econbiz.de/10013063941

Exchange rate uncertainty and international portfolio flows

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2013

Persistent link: https://www.econbiz.de/10009767876