Are Different National Stock Markets Driven by the Same Stochastic Hidden Variable? [PDF]
The following contribution analyzes linkages between preselected national stock markets by a multivariate application of Markov-Switching models. This study shows evidence that the US-stock market and the German and Swedish stock markets are driven by ...
Klaus Grobys
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Market Consumption and Hidden Consumption: A Test for Substitutability [PDF]
In this paper we perform an empirical analysis on the relationship between private consumption and underground economy for the Italian case. We find that private market consumption and underground (or hidden) consumption may be defined as ”complementary ...
Bruno Chiarini, Elisabetta Marzano
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Embedding pairs trading in market networks: a network science approach to portfolio construction
Humanities & Social Sciences CommunicationsDiversification is the cornerstone of risk-adjusted portfolio construction. Yet, despite being a well-established principle in finance, diversification has been overlooked in pairs trading strategies, which often focus solely on selecting the most ...
Mar Grande, Javier Borondo
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Neural network based approximations to posterior densities: a class of flexible sampling methods with applications to reduced rank models [PDF]
Likelihoods and posteriors of econometric models with strong endogeneity and weakinstruments may exhibit rather non-elliptical contours in the parameter space.This feature also holds for cointegration models when near non-stationarity occursand ...
Dijk, H.K. van +2 more
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Ekoist: Journal of Econometrics and StatisticsThis study reveals the relationship between stock markets and interest rates. In this study, the Borsa Istanbul-100 Index (BIST-100) is used to represent the stock market, and the Turkish Lira Overnight Reference Rate (TLREF) is used to represent the interest rate. To investigate the relationship between the series, daily data between 28.12.2018- 20.10.
Şeyranlıoğlu, Onur +2 more
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Can we Rely upon Fiscal Policy Estimates in Countries with Unreported Production of 15 Per Cent (or more) of GDP? [PDF]
This paper analyzes the effects of fiscal policy in Italy by employing a database containing two statistical novelties: quarterly fiscal variables on accrual basis and a time series estimate of tax evasion for the period 1981:1-2006:4.
Bruno Chiarini +2 more
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Price Transmission in the Swedish Pork Chain: Asymmetric non linear ARDL [PDF]
Agribusiness, Livestock Production/Industries,
Karantininis, Kostas +2 more
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Market efficiency and the Euro: the case of the Athens Stock Exchange [PDF]
, 2003 The efficient market hypothesis (EMH) is tested in the case of the Athens Stock Exchange (ASE) after the introduction of the euro. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the ...
Panagiotidis, T
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, 2018 This paper contributes to the sparse literature on inequality convergence by empirically testing convergence across states in the U.S. This sample period encompasses a series of different periods that the existing literature discusses -- the Great ...
Apergis, Nicholas +3 more
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MARKET COMSUMPTION AND HIDDEN CONSUMPTION. A TEST FOR SUBSTITUTABILITY [PDF]
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Bruno Chiarini, Elisabetta Marzano
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