Titlebook: Econometric Analysis of Financial Markets; Jürgen Kaehler,Peter Kugler Conference proceedings 1994 Springer-Verlag Berlin Heidelberg 1994

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廚房里面

https://doi.org/10.1007/978-3-031-41490-9ary model of the exchange rate. The partial system gives some evidence in favour of the purchasing power parity hypothesis, which is especially supported by Lagrange multiplier tests for weak exogeneity. It is shown that cointegration vectors may be sensitive with respect to parametric restrictions.

CODE

, Trilogy—Art for the Occupy Era,ia are considered which contain interest rates as one component: These variables are nonstationary but cointegration is satisfied in a trivial manner. However estimates of the empirical CAPM are greatly influenced by these nonstationary variables. Empirical results are given for the German stock market.

JOT

Some Pitfalls in Using Empirical Autocorrelations to Test for Zero Correlation among Common Stock Ris null distribution is not robust to .-effects and to non-existing variances, both of which are typical for common stock returns. These results are then applied to several stocks traded on the Frankfurt stock exchange, with the result that the ”significance” of empirical autocorrelations is in general reduced.

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GLIDE

Control-Group

Does Cointegration Matter in the Empirical Analysis of the CAPM?,ia are considered which contain interest rates as one component: These variables are nonstationary but cointegration is satisfied in a trivial manner. However estimates of the empirical CAPM are greatly influenced by these nonstationary variables. Empirical results are given for the German stock market.

憂傷

Temporal Aggregation of Time-Series, are wide stationary ARMA and weak GARCH. We use two simple lemmas to obtain these results in a more direct way. The lemmas allow for generalizations in several directions. Discussed are fractionally differenced time-series, heavy tailed stable type processes, and GARCH-M.

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原諒

An Investigation of the Effect of Funding on the Slope of the Yield Curve,determination of the yield curve using a new, high frequency, data set and modern econometric techniques. It is argued here that evidence can be found for direct effects from the authorities funding policy on the slope of the yield curve and that this effect conforms well with practitioners views on what happens.