Results 271 to 280 of about 572,132 (309)

Segmentation Based Testing of Co-Movement Significance

2018 25th International Conference on Systems, Signals and Image Processing (IWSSIP), 2018
The paper deals with the significance testing of the time-frequency co-movement measure on the segmentation bases. When investigating the test of the power wavelet cross-spectrum we have consider standard assumptions, i.e. two independent Gaussian white noise inputs.
Eva Klejmova, Tobias Malach, Jitka Pomenková   +2 more
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Provincial co-movement in Chinese stock returns

Applied Financial Economics Letters, 2007
Stock returns in China exhibit significant co-movement with provincial return indices after controlling for the industry effect, consistent with local co-movement findings in the United States. The magnitude of such co-movement increases with participation in trading by local investors.
Udomsak Wongchoti, Fei Wu
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Mining Multiple Time Series Co-movements

2008
In this paper, we propose a new model, called co-movement model, for constructing financial portfolios by analyzing and mining the co-movement patterns among multiple time series. Unlike the existing approaches where the portfolios' expected risks are computed based on the co-variances among the assets in the portfolios, we model their risks by ...
Di Wu 0008, Gabriel Pui Cheong Fung, Jeffrey Xu Yu, Zheng Liu 0001   +3 more
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International Co-Movements in Recessions

SSRN Electronic Journal, 2018
Business cycle correlations are state-dependent and higher in recessions than in expansions. In this paper, I suggest a mechanism to explain why this is the case. For this purpose, I build an international real business cycle model with occasionally binding constraints on capacity utilization which can account for state-dependent cross-country ...
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Co-movements of index options and futures quotes

Journal of Empirical Finance, 2008
Abstract We report evidence that the co-movements of index options and index futures quotes differ sharply from perfect correlation in periods with option trades. In half-hour intervals with (without) option trades 25% (12%) of call option quote changes have either the opposite sign or are larger in magnitude than the corresponding index futures ...
Rüdiger Fahlenbrach, Patrik Vilhelm Sandas   +1 more
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CAN HERDING EXPLAIN CYCLIC CO-MOVEMENT?

International Game Theory Review, 2002
Recently, co-movement and the synchronised pattern of business cycles on various scales (sectoral, national, etc.) attract growing attention among macroeconomists. This paper integrates qualitative implications of a simple endogenously-timed herding model's logic into an investment cycle model.
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Co-movement in Inflation [PDF]

, 2012
Inflation rates across countries tend to exhibit a degree of co-movement. In this paper we use a panel vector autoregression (panel VAR) model to investigate possible explanations of this co-movement for the G7 economies. Shocks to commodity prices are found to be more important than common movements in real activity as a driver of 'global inflation ...
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Co-movements of OECD growth cycles

Applied Economics, 1997
The study is of short-run and long-run co-movements and convergence across 21 OECD real per capita outputs on a sample period spanning 1960 to 1992 using dynamic principal components analysis and coherence analysis. We reject the hypothesis of convergence, but find evidence for long-run growth cycles closely related across countries. In particular, the
D'Amato M., PISTORESI, Barbara
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Co-Movement between Equity and Bond Markets

SSRN Electronic Journal, 2017
Abstract This study explores the co-movement between equity and bond markets and decomposes it into the equity-bond, equity, and bond co-movements. Moreover, the estimation method captures the heterogeneity between developed and emerging equity markets.
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CO‐MOVEMENTS IN INTERNATIONAL EQUITY MARKETS

Journal of Financial Research, 1997
AbstractWe examine the co‐movements of equity returns in four major international markets by characterizing the time‐varying cross‐country covariances and correlations. Using a generalized positive definite multivariate GARCH model, we find that the Japanese and U.S.
Salim M. Darbar, Partha Deb
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