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1. |
Record Nr. |
UNINA990006364140403321 |
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Autore |
Dollfus, Jean |
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Titolo |
Wirtschaftsatlas von Westeuropa / Jean Dollfus ; geleitwort von Paul-Henri Spaak |
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Pubbl/distr/stampa |
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Descrizione fisica |
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Disciplina |
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Locazione |
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Collocazione |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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2. |
Record Nr. |
UNINA9910961253303321 |
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Autore |
Rose Andrew |
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Titolo |
Financial Integration : : A New Methodology and An Illustration / / Andrew Rose, Robert Flood |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2004 |
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ISBN |
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9786613798572 |
9781462343874 |
1462343872 |
9781452720975 |
1452720975 |
9781282051126 |
1282051121 |
9781451898903 |
1451898908 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (20 p.) |
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Collana |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Stocks - Rate of return - Econometric models |
Stocks - Prices - Econometric models |
Asset prices |
Classification Methods |
Cluster Analysis |
Deflation |
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Diffusion Processes |
Dynamic Quantile Regressions |
Dynamic Treatment Effect Models |
Econometric analysis |
Econometric models |
Econometrics & economic statistics |
Econometrics |
Event Studies |
Factor Models |
Factor models |
Finance |
Finance: General |
Financial institutions |
Financial Instruments |
Financial markets |
General Financial Markets: General (includes Measurement and Data) |
Inflation |
Information and Market Efficiency |
Institutional Investors |
Investment & securities |
Investments: Stocks |
Macroeconomics |
Non-bank Financial Institutions |
Pension Funds |
Price Level |
Prices |
Principal Components |
State Space Models |
Stock exchanges |
Stock markets |
Stocks |
Time series analysis |
Time-Series Models |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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""Contents""; ""I. DEFINING THE PROBLEM""; ""II. METHODOLOGY""; ""III. RELATIONSHIP TO THE LITERATURE""; ""IV. EMPIRICAL IMPLEMENTATION""; ""V. RESULTS""; ""VI. SENSITIVITY ANALYSIS""; ""VII. SUMMARY AND CONCLUSIONS""; ""References"" |
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Sommario/riassunto |
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This paper develops a simple methodology to test for asset integration, and applies it within and between American stock markets. Our technique relies on estimating and comparing expected risk-free rates across assets. Expected risk-free rates are allowed to vary freely over |
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time, constrained only by the fact that they must be equal across (risk-adjusted) assets in well integrated markets. Assets are allowed to have standard risk characteristics, and are constrained by a factor model of covariances over short time periods. We find that implied expected risk-free rates vary dramatically over time, unlike short interest rates. Further, internal integration in the S&P 500 market is never rejected and is generally not rejected in the NASDAQ. Integration between the NASDAQ and the S&P, however, is always rejected dramatically. |
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