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Stock exchange index returns in different inflation rate regimes


Radman Peša, Anita; Kavkler, Alenka; Festić, Mejra
Stock exchange index returns in different inflation rate regimes, Saarbruecken: Lap Lambert, 2012 (monografija)


Naslov
Stock exchange index returns in different inflation rate regimes

Autori
Radman Peša, Anita ; Kavkler, Alenka ; Festić, Mejra

Vrsta, podvrsta i kategorija knjige
Autorske knjige, monografija, znanstvena

Izdavač
Lap Lambert

Grad
Saarbruecken

Godina
2012

Stranica
47

ISBN
978-3-8484-8315-0

Ključne riječi
model-based recursive partitioning; regression trees; financial markets; stock returns

Sažetak
In this paper, we apply a tree – based approach to examine the stock exchange index returns for the panel of 12 New EU Member States in the last ten years. As explanatory variables we employ GDP, interest rates and other financial and macroeconomic variables. To obtain the tree structure of the model, the model-based recursive partitioning (MOB) algorithm uses the generalized M-fluctuation test to check for parameter instability. In our case, the algorithm yields three terminal nodes pointing to rate of inflation as the splitting variable. The results are discussed and interpreted in light of the current economic situation.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija



POVEZANOST RADA


Ustanove
Sveučilište u Zadru

Profili:

Avatar Url Anita Peša (autor)

Citiraj ovu publikaciju

Radman Peša, Anita; Kavkler, Alenka; Festić, Mejra
Stock exchange index returns in different inflation rate regimes, Saarbruecken: Lap Lambert, 2012 (monografija)
Radman Peša, A., Kavkler, A. & Festić, M. (2012) Stock exchange index returns in different inflation rate regimes. Saarbruecken, Lap Lambert.
@book{book, year = {2012}, pages = {47}, keywords = {model-based recursive partitioning, regression trees, financial markets, stock returns}, isbn = {978-3-8484-8315-0}, title = {Stock exchange index returns in different inflation rate regimes}, keyword = {model-based recursive partitioning, regression trees, financial markets, stock returns}, publisher = {Lap Lambert}, publisherplace = {Saarbruecken} }