Similar Search Results

Spurious relationships for nearly non-stationary series

Cheng, Yushan; Hui, Yongchang; McAleer, Michael; Wong, … - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-24

Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...

Persistent link: https://www.econbiz.de/10013201050

China’s Stock Market Integration with a Leading Power and a Close Neighbor

Yi, Zheng; Heng, Chen; Wong, Wing-Keung - In: Journal of Risk and Financial Management 2 (2009) 1, pp. 38-74

memory feature of cointegration residual series, which can in turn exert bias on the resulting inferences. To overcome its … limitations, we employ a fractionally integrated VECM (FIVECM) in this paper to investigate the long-term cointegration relations …

Persistent link: https://www.econbiz.de/10010699152

Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors

Fu, Man; Bidarkota, Prasad V. - In: Journal of Risk and Financial Management 4 (2011) 1, pp. 97-132

output gap shows evidence of cointegration in the DJIA and S&P 500 index data. Nonetheless, a sup augmented Dickey …

Persistent link: https://www.econbiz.de/10010699162

ICT adoption and stock market development in Africa: An application of the panel ARDL bounds testing procedure

Igwilo, Jerry Ikechukwu; Sibindi, Athenia Bongani - In: Journal of Risk and Financial Management 14 (2021) 12, pp. 1-15

cointegration and examine the causal relationship between ICT adoption and stock market development. The dependent variable employed …

Persistent link: https://www.econbiz.de/10013201284

Exports and imports-led growth: Evidence from a small developing economy

Panta, Humnath; Devkota, Mitra Lal; Banjade, Dhruba - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-14

cointegration and the vector error correction model. …

Persistent link: https://www.econbiz.de/10013201315

What problem is post-crisis QE trying to solve?

Atkinson, Paul E.; Blundell-Wignall, Adrian - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-17

forced on them by post-crisis re-regulation and extremely low interest rates. These ideas were tested with cointegration and …

Persistent link: https://www.econbiz.de/10013201344

The mediating effects of implied volatility and exchange rate on the U.S. tourism-growth nexus

Obi, Pat; Ogbeide, Godwin-Charles - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-16

the recently developed nonlinear autoregressive distributed lag cointegration technique. Tourism development is proxied by …

Persistent link: https://www.econbiz.de/10013201415

Expectations for statistical arbitrage in energy futures markets

Nakajima, Tadahiro - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-12

York Mercantile Exchange. On the assumption that power prices and natural gas prices have a cointegration relationship, as …

Persistent link: https://www.econbiz.de/10012611080

A cointegration of the exchange rate and macroeconomic fundamentals: The case of the Indonesian Rupiah vis-á-vis currencies of primary trade partners

Salim, Agus; Shi, Kai - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-17

determinants in some countries. To revisit this puzzle in an emerging market currency, we analyzed the cointegration of the …

Persistent link: https://www.econbiz.de/10012611111

Effects of global oil price on exchange rate, trade balance, and reserves in Nigeria: A frequency domain causality approach

Olayungbo, D. O. - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-14

series. Given the non-stationarity of our variables, we found cointegration to exist only between oil price and foreign … reserve. The presence of cointegration implied the existence of long run relationship between the variables. The Granger …

Persistent link: https://www.econbiz.de/10012611155