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Year of publication
Subject
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Random walk 997 Random Walk 909 random walk 319 Theorie 277 Theory 268 Efficient market hypothesis 221 Effizienzmarkthypothese 218 Börsenkurs 199 Share price 194 Schätzung 185 Estimation 175 Zeitreihenanalyse 170 Time series analysis 166 Wechselkurs 165 Aktienmarkt 163 Stock market 163 Exchange rate 161 Prognoseverfahren 155 Forecasting model 148 equation 80 USA 79 Kapitaleinkommen 77 statistics 77 Capital income 76 United States 75 correlation 75 equations 71 Einheitswurzeltest 66 Unit root test 65 time series 65 forecasting 64 Volatility 62 Prognose 59 Volatilität 59 Forecast 57 Statistischer Test 56 covariance 56 India 55 Indien 53 econometrics 53
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Online availability
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Free 536 Undetermined 292
Type of publication
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Article 767 Book / Working Paper 574
Type of publication (narrower categories)
All
Article in journal 517 Aufsatz in Zeitschrift 517 Working Paper 203 Arbeitspapier 169 Graue Literatur 166 Non-commercial literature 166 Aufsatz im Buch 26 Book section 26 Article 17 Hochschulschrift 15 Thesis 9 Bibliografie enthalten 4 Bibliography included 4 Forschungsbericht 4 Collection of articles written by one author 3 Conference paper 3 Dissertation u.a. Prüfungsschriften 3 Konferenzbeitrag 3 Sammlung 3 Case study 2 Fallstudie 2 Handbook 2 Handbuch 2 Lehrbuch 2 Systematic review 2 Textbook 2 Übersichtsarbeit 2 Collection of articles of several authors 1 Elektronischer Datenträger 1 Reprint 1 Sammelwerk 1
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Language
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English 996 Undetermined 303 German 21 Spanish 12 Czech 2 Polish 2 Portuguese 2 Croatian 1 Russian 1 Slovak 1
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Author
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West, Kenneth D. 20 Moosa, Imad A. 15 Engel, Charles 14 Burns, Kelly 13 Gupta, Rangan 13 Maheswaran, S. 12 Schlicht, Ekkehart 12 Sarno, Lucio 11 Smyth, Russell 11 Kano, Takashi 10 Balcilar, Mehmet 9 Malkiel, Burton G. 9 Bacchetta, Philippe 8 Della Corte, Pasquale 8 Kamaiah, Bandi 8 Narayan, Paresh Kumar 8 Scalas, Enrico 8 Baghestani, Hamid 7 Guidolin, Massimo 7 Hiremath, Gourishankar S 7 Hiremath, Gourishankar S. 7 Katzke, Nico 7 Krämer, Walter 7 Opong, Kwaku K. 7 Smith, Graham 7 Tabak, Benjamin Miranda 7 Thornton, Daniel L. 7 Alquist, Ron 6 Belaire-Franch, Jorge 6 Harvey, Andrew C. 6 Sattarhoff, Cristina 6 Schindler, Felix 6 Van Wincoop, Eric 6 Alvarez, Fernando 5 Atkeson, Andrew 5 Bayoumi, Tamim 5 Benjamin, Daniel J. 5 Chancharat, Surachai 5 Chinn, Menzie David 5 Davies, Laurie 5
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Institution
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International Monetary Fund (IMF) 87 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 23 National Bureau of Economic Research 10 Cowles Foundation for Research in Economics, Yale University 8 EconWPA 7 Department of Econometrics and Business Statistics, Monash Business School 4 International Monetary Fund 4 C.E.P.R. Discussion Papers 3 Department of Economics, Faculty of Economic and Management Sciences 3 European Central Bank 3 Banco Central do Brasil 2 Duke University, Department of Economics 2 Econometric Society 2 Economic Research Service, Department of Agriculture 2 Federal Reserve Bank of St. Louis 2 Graduate School of Economics, Hitotsubashi University 2 Instituto Valenciano de Investigaciones Económicas (IVIE) 2 Aarhus Universitet / Afdeling for Nationaløkonomi 1 Agency for Economic Analysis and Forecasting, Ministry of Finance 1 BANCO DE LA REPÚBLICA 1 Banco Central de Reserva del Perú 1 Banco de la Republica de Colombia 1 Center for Nonlinear Dynamics in Economics and Finance (CeNDEF), Faculteit Economie en Bedrijfskunde 1 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Centre Emile Bernheim, Solvay Brussels School of Economics and Management 1 Centre for International Economic Studies 1 Centro de Estudios Macroeconómicos de Argentina / Universidad 1 Crawford School of Public Policy, Australian National University 1 Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance 1 Departamento de Análisis Económico: Teoría Económica e Historia Económica, Facultad de Ciencias Económicas y Empresariales 1 Department of Economics and Finance, College of Business and Economics 1 Department of Economics, European University Institute 1 Department of Economics, Fakulteit Ekonomiese en Bestuurswetenskappe 1 Department of Economics, National University of Singapore 1 Department of Economics, University of California-San Diego (UCSD) 1 Deutsche Bank Research 1 Economic Research Southern Africa (ERSA) 1 Economics Department, University of Wisconsin-Whitewater 1 Erasmus University Rotterdam, Econometric Institute 1 Estructura de Recerca Interdisciplinar Comportament Econòmic i Social (ERI-CES), Universidad de València 1
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Published in...
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IMF Working Papers 84 Physica A: Statistical Mechanics and its Applications 65 MPRA Paper 20 Applied financial economics 15 Applied economics 14 Working paper / National Bureau of Economic Research, Inc. 12 Applied economics letters 11 International review of economics & finance : IREF 10 Working paper 10 NBER working paper series 9 Cowles Foundation Discussion Papers 8 Econometric theory 8 Economics letters 8 International journal of theoretical and applied finance 8 Journal of econometrics 8 Stochastic Processes and their Applications 8 Economic modelling 7 International journal of economics and finance 7 Statistics & Probability Letters 7 Finance India : the quarterly journal of Indian Institute of Finance 6 International review of financial analysis 6 Journal of banking & finance 6 Mathematics and Computers in Simulation (MATCOM) 6 Research in international business and finance 6 Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 6 The empirical economics letters : a monthly international journal of economics 6 Cambridge working papers in economics 5 Discussion paper / Centre for Economic Policy Research 5 ECB Working Paper 5 Economics Bulletin 5 Finance 5 Journal of forecasting 5 Mathematics of operations research 5 Working Paper 5 Working paper series / European Central Bank 5 Annals of the Institute of Statistical Mathematics 4 Discussion papers in economics, finance and international competitiveness 4 Economics Letters 4 European journal of operational research : EJOR 4 Finance research letters 4
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Source
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ECONIS (ZBW) 874 RePEc 404 EconStor 51 USB Cologne (EcoSocSci) 8 BASE 2 ArchiDok 1 Other ZBW resources 1
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Showing 1 - 50 of 1,341
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Estimating time-varying coefficients with Gretl using the VC method
Schlicht, Ekkehart - 2022
This paper documents the function and use of the Gretl function package VCwrapper.pdf that implements the VC method for estimating time-varying coefficients in linear models as described in Schlicht (2021). It builds on the VCC program by Schlicht (2021a), is easy to use and highly configurable....
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Are African stock markets efficient? : a comparative analysis between six African markets, the UK, Japan and the USA in the period of the pandemic
Dias, Rui; Pereira, João M.; Carvalho, Luísa Cagica - In: Naše gospodarstvo : NG 68 (2022) 1, pp. 35-51
The aim of this study is to test and compare the efficient market hypothesis, in its weak form, on the stock markets of Botswana, Egypt, Kenya, Morocco, Nigeria, South Africa, Japan, the UK and the USA from 2 September 2019 to 2 September 2020. This study is based on the following research...
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Market participants or the random walk : who forecasts better? : evidence from micro-level survey data
Kiss, Tamás; Kladivko, Kamil; Silfverberg, Oliwer; … - 2023
We analyse micro-level data concerning four financial variables in Sveriges Riksbank's Prospera Survey to evaluate the accuracy of forecasts provided by professionals active in the Swedish fixed-income market. Our results indicate that for the SEK/EUR and SEK/USD exchange rates, and the...
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A study on market efficiency using data from Shanghai stock exchange and Shenzhen stock exchange
Duan, Guoxi; Tanizaki, Hisashi - 2021
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A study on the level of market efficiency based on CSI 300 and 300 constituent stocks
Duan, Guoxi; Tanizaki, Hisashi - 2021
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A study on the level of market efficiency in five markets
Duan, Guoxi; Tanizaki, Hisashi - 2021
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Application of Taylor rule fundamentals in forecasting exchange rates
Agyapong, Joseph - In: Economies : open access journal 9 (2021) 2, pp. 1-27
This paper examines the effectiveness of the Taylor rule in contemporary times by investigating the exchange rate forecastability of selected four Organisation for Economic Co-operation and Development (OECD) member countries vis-à-vis the U.S. It employs various Taylor rule models with a...
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Do short selling and margin trading affect price randomness?
Enkhzul, Mendee; Jun, Sang-Gyung - In: Global business and finance review 26 (2021) 3, pp. 1-13
Purpose: Both short sellers and margin traders believe in active investment. However, they have the opposite opinions about the prediction of future share price direction: while short sellers are those who predict future price declines, investors buying on margin are those who predict future...
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Do extreme market value ratios mean that the market is informationally inefficient? : a study of the Warsaw Stock Exchange
Karasiński, Jacek; Zduńczak, Patryk - In: Journal of economics & management 43 (2021) 1, pp. 206-224
Aim/purpose - The aim of this paper is to verify whether extremely high values of market value ratios are the symptoms of informational inefficiency of the market in a weak form. The authors intend to examine whether these phenomena co-occur with each other. Design/methodology/approach -...
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Long-memory models in testing the efficiency market hypothesis of the algerian exchange market
Benzai, Yassine; Djellouli, Nassima - In: Management dynamics in the knowledge economy 10 (2022) 4/38, pp. 376-390
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Social distancing, gathering, search games : mobile agents on simple networks
Alpern, Steve; Zeng, Li - In: Dynamic games and applications : DGA 12 (2022) 1, pp. 288-311
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Analysts versus the random walk in financial forecasting : evidence from the Czech National Bank's Financial Market Inflation Expectations Survey
Kladívko, Kamil; Österholm, Pär - 2022
In this paper, we analyse how financial market analysts' expectations in the Czech National Bank's Financial Market Inflation Expectations survey perform relative to the random-walk forecast when it comes to predicting five financial variables. Using data from 2001 to 2022, our results indicate...
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Predicting the Unpredictable : New Experimental Evidence on Forecasting Random Walks
Bao, Te; Corgnet, Brice; Hanaki, Nobuyuki; Riyanto, … - 2022
We investigate how individuals use measures of apparent predictability from price charts to predict future market prices. Subjects in our experiment predict both random walk times series, as in the seminal work by Bloomfied and Hales (2002) (BH), and stock price time series. We successfully...
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Predicting the unpredictable : new experimental evidence on forecasting random walks
Te, Bao; Corgnet, Brice; Hanaki, Nobuyuki; Riyanto, … - 2022
We investigate how individuals use measures of apparent predictability from price charts to predict future market prices. Subjects in our experiment predict both random walk times series, as in the seminal work by Bloomfield & Hales (2002) (BH), and stock price time series. We successfully...
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Disclosing a Random Walk
Kremer, Ilan; Schreiber, Amnon; Skrzypacz, Andrzej - 2022
We examine a dynamic disclosure model in which the value of a firm follows a random walk. Every period, with some probability, the manager learns the value and decides whether to disclose it. The manager maximizes the market perception of the firm's value, which is based on disclosed...
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Testing of Market Efficiency in India a Study of Random Walk Hypothesis of Indian Stock Market (BSE)
kumar, Satish; Kumar, Lalit - 2022
As long as financial markets are concerned, for many years’ economists, statisticians and financial analyst have been interested in developing and testing models of stock price behavior and their forecast. This study examines whether the Indian stock market is efficient if the stock returns...
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Are Stock Prices a Random Walk? An Empirical Evidence of Asian Stock Markets
Rehman, Seema; Chhapra, Imran Umer; Kashif, Muhammad; … - 2022
Investigating if the market is efficient is an old issue as market efficiency is imperative for channeling investments to best-valued projects and its importance endures. There is contradictory evidence in the literature provided by empirical researches. The primary purpose of this research has...
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Nonlinear Random Walks Optimize the Trade-Off between Cost and Prevention in Epidemics Lockdown Measures : The Esir Model
Siebert, Bram A.; Gleeson, James P.; Asllani, Malbor - 2022
Contagious diseases can spread quickly in human populations, either through airborne transmission or if some other spreading vectors are abundantly accessible. They can be particularly devastating if the impact on individuals’ health has severe consequences on the number of hospitalizations or...
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Forecasting exchange rates of major currencies with long maturity forward rates
Darvas, Zsolt M.; Schepp, Zoltán - 2020
This paper presents unprecedented exchange rate forecasting results, based upon a new model that approximates the gap between the fundamental equilibrium exchange rate and the actual exchange rate with the long-maturity forward exchange rate. The theoretical derivation of our forecasting...
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Smooth robust multi‐horizon forecasts
Martinez, Andrew B.; Castle, Jennifer; Hendry, David F. - In: Essays in honor of M. Hashem Pesaran : prediction and …, (pp. 143-165). 2022
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Exchange rate predictability with nine alternative models for BRICS countries
Salisu, Afees A.; Gupta, Rangan; Kim, Won Joong - In: Journal of macroeconomics 71 (2022), pp. 1-20
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Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities
Sattarhoff, Cristina; Lux, Thomas - 2021
We adapt the multifractal random walk model by Bacry et al. (2001) to realized volatilities (denoted RV-MRW) and take stock of recent theoretical insights on this model in Duchon et al. (2012) to derive forecasts of financial volatility. Moreover, we propose a new extension of the binomial...
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Large deviations for a class of multivariate heavy-tailed risk processes used in insurance and finance
Hägele, Miriam; Lehtomaa, Jaakko - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-18
Modern risk modelling approaches deal with vectors of multiple components. The components could be, for example, returns of financial instruments or losses within an insurance portfolio concerning different lines of business. One of the main problems is to decide if there is any type of...
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Testing for efficiency in the Saudi stock market : does corporate governance change matter?
Al-Faryan, Mamdouh Abdulaziz Saleh; Dockery, Everton - In: Review of quantitative finance and accounting 57 (2021) 1, pp. 61-90
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Testing the random walk hypothesis for leading cryptocurrencies
Palamalai, Srinivasan; Kumar, K. Krishna; Maity, Bipasha - In: Borsa Istanbul Review 21 (2021) 3, pp. 256-268
Despite the rise in markets for cryptocurrencies at an outstanding pace, with consistently high trading volume and market capitalization, the increasing volatility of the virtual currencies raise various concerns. One of the major concerns is regarding (in)efficiency, viz. whether there exist...
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The Strategic Bombing of German Cities During World War Ii and its Impact on City Growth
Brakman, Steven; Garretsen, Harry; Schramm, Marc - 2021
We construct a unique data set to analyze whether or not a large temporary shock had an impact on German city growth and city size distribution. Following recent work by Davis and Weinstein (2001) on Japan, we take the strategic bombing of German cities during WWII as our example of such a...
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Why is it so Difficult to Beat the Random Walk Rorecast of Exchange Rates?
Kilian, Lutz; Taylor, Mark P. - 2021
We propose a nonlinear econometric model that can explain both the observed volatility and the persistence of real and nominal exchange rates. The model implies that near equilibrium, the nominal exchange rate will be well approximated by a random walk process. Large departures from...
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Stock Price Behavior : A Survey of Literature (With Special Emphasis on the Random Walk Theory)
Sree Rama Murthy, Y. - 2021
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Traded Goods Consumption Smoothing and the Random Walk Behavior of the Real Exchange Rate
Rogoff, Kenneth - 2021
Conventional explanations of the near random walk behavior of real exchange rates rely on near random walk behavior in the underlying fundamentals (e.g.. tastes and technology). The present paper offers an alternative rationale, based on a fixed-factor neoclassical model with traded and...
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The Random Walk Model in Finance : A New Taxonomy
Walter, Christian Pierre - 2021
The backbone of financial risk modeling in finance over a long time period of more than a century, the random walk hypothesis has shown substantial variations in its structure throughout its history. In this article, I revisit the history of the random walk model in finance by introducing a new...
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Backtesting the evaluation of Value-at-Risk methods for exchange rates
Mrkvička, Tomáš; Krásnická, Martina; Friebel, Ludvík - In: Studies in economics and finance 40 (2023) 1, pp. 175-191
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Market efficiency and news dynamics : evidence from international equity markets
Chiang, Thomas C. - In: Economies : open access journal 7 (2019) 1/7, pp. 1-17
This paper examines the efficient market hypothesis by applying monthly data for 15 international equity markets. With the exceptions of Canada and the U.S., the null for the absence of autocorrelations of stock returns is rejected for 13 out of 15 markets. The evidence also rejects the...
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Random walks and market efficiency tests : evidence on US, Chinese and European capital markets within the context of the global Covid-19 pandemic
Dias, Rui; Teixeira, Nuno Miguel; Machova, Veronika; … - In: Oeconomia Copernicana 11 (2020) 4, pp. 585-608
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Is It Possible to Beat the Random Walk Model in Exchange Rate Forecasting? More Evidence for Brazilian Case
Marçal, Emerson Fernandes - 2020
The seminal study of Meese and Rogoff (1983) on exchange rate forecastability had a great impact on the international finance literature. The authors showed that exchange rate forecasts based on structural models are worse than a naive random walk. This result is known as the Meese-Rogoff (MR)...
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Random Walk Theory and the Weak-Form Efficiency of the US Art Auction Prices
Erdos, Péter - 2020
We perform variance ratio tests based on non-parametric methods to detect the size of the random walk component of the US art auction prices. The past 134 years of the US art prices exhibit large transitory component (72%) and based on this, the random walk hypothesis does not hold. However,...
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A note on spurious regression and random walks with zero, local, or constant drifts
Dennis, Jay - 2020
This note investigates the spurious regression where each of the regressand and the regressor follows a random walk with zero, nonzero local, or nonzero constant drift. In the existing literature of spurious regression, both the regressand and regressor have zero or constant drifts. We consider...
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The existence of random walk in the Philippine stock market : evidence from unit root and variance-ratio tests
Camba, Abraham C. <Jr>; Camba, Aileen L. - In: Journal of Asian finance, economics and business : JAFEB 7 (2020) 10, pp. 523-530
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An exploration of trend-cycle decomposition methodologies in simulated data
Hodrick, Robert J. - 2020
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Identifying the news in analysts' earnings forecasts revisions : an alternative to the random walk expectation
Pfeiffer, Ray J.; Teitel, Karen; Wahab, Susan; Wahab, … - In: Review of Pacific Basin financial markets and policies 24 (2021) 4, pp. 2150032-1-2150032-42
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Testing weak-form market efficiency in the Stock Exchange of Thailand
Nattawut Jenwittayaroje - In: Global business & economics review 24 (2021) 3, pp. 211-224
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The causal effects of leading macroeconomic indicators on stock return : evidence from 13 selected Asia Pacific countries
Lim, Shu-Ern; Gan, Pei-Tha; Fatimah Salwa binti Abd. Hadi; … - In: International journal of business and globalisation : IJBG 28 (2021) 1/2, pp. 77-96
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Modelling exchange rate movements in South Africa : an ARDL application
Muzindutsi, Paul-Francois; Zungu, Zama; Khanyile, Minenhle - In: International journal of monetary economics and finance … 14 (2021) 4, pp. 342-352
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Empirical evaluation of weak-form efficient market hypothesis in Ugandan securities exchange
Emenike, Kalu O.; Joseph, Kirabo K. B. - In: Journal of contemporary economic and business issues 5 (2018) 1, pp. 35-50
An efficient stock market plays an important role in stimulating economic development through providing a channel for mobilising domestic savings and facilitating the allocation of financial resources from dormant to more productive activities. This paper evaluates the Ugandan Securities...
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Expected lifetime range ratio to find mean reversion : evidence from Indian stock market
Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 6 (2018) 1, pp. 1-23
We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...
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Date-stamping US housing market explosivity
Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2018
In this paper the authors set out to date-stamp periods of US housing price explosivity for the period 1830–2013. They make use of several robust techniques that allow them to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and...
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Interpolation and shock persistence of prewar U.S. macroeconomic time series: A reconsideration
Dezhbakhsh, Hashem; Levy, Daniel - In: Economics Letters 213 (2022)
The U.S. prewar output series exhibit smaller shock-persistence than postwar-series. Some studies suggest that this may be due to linear interpolation used to generate missing prewar data. Monte Carlo simulations that support this view generate large standard-errors, making such inference...
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Interpolation and shock persistence of prewar U.S. macroeconomic time series : a reconsideration
Dezhbakhsh, Hashem; Levy, Daniel C. - 2022 - Last revision: February 9, 2022
The U.S. prewar output series exhibit smaller shock-persistence than postwar-series. Some studies suggest this may be due to linear interpolation used to generate missing prewar data. Monte Carlo simulations that support this view generate large standard-errors, making such inference imprecise....
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Interpolation and shock persistence of prewar U.S. macroeconomic time series : a reconsideration
Dezhbakhsh, Hashem; Levy, Daniel C. - 2022 - Last revision: February 9, 2022
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Measuring informational efficiency of the European carbon market : a quantitative evaluation of higher order dependence
Sattarhoff, Cristina; Gronwald, Marc - In: International review of financial analysis 84 (2022), pp. 1-13
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Mortgage rate predictability and consumer home-buying assessments
Baghestani, Hamid - In: Journal of economics and finance : JEF 46 (2022) 3, pp. 593-603
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