| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4417 |
| DP4417 Does Regulatory Harmonization Increase Bilateral Asset Holdings? | |
| Jonas Vlachos | |
| 发表日期 | 2004-06-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | This Paper proposes a vector equilibrium correction model of stock returns that exploits the information in the futures market, while allowing for both regime-switching behaviour and international spillovers across stock market indices. Using data for three major stock market indices since 1989, we find that: (i) in sample, our model outperforms several alternative models on the basis of standard statistical criteria; (ii) in out-of-sample forecasting, our model does not produce significant gains in terms of point forecasts relative to more parsimonious alternative specifications, but it does so both in terms of market timing ability and in density forecasting performance. The economic value of the density forecasts is illustrated with an application to a simple risk management exercise. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Asset prices International spillovers Forecasting Non-linearity |
| URL | https://cepr.org/publications/dp4417 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533370 |
| 推荐引用方式 GB/T 7714 | Jonas Vlachos. DP4417 Does Regulatory Harmonization Increase Bilateral Asset Holdings?. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Jonas Vlachos]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Jonas Vlachos]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Jonas Vlachos]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
