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Uncertainty and Portfolio Dollarization. The Argentine Case in the Last Half Century
Burdisso, Tamara; Corso, Eduardo Ariel - In: Ensayos Económicos 1 (2011) 63, pp. 41-95
The aim of this document is to quantify the effects of uncertainty over financial assets dollarization of the Argentine … was a turning point in dollarization of the portfolio of the non financial private sector; (ii) during the Convertibility … in incentives to dollarize around 50% of the portfolio; (iii) during 2003-2009, the degree of dollarization should have …
Persistent link: https://www.econbiz.de/10010849661
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GDP growth and the interdependency of volatility spillovers
Karunanayake, Indika; Valadkhani, Abbas; O'Brien, Martin - In: Australasian accounting business and finance journal : AABF 6 (2012) 1, pp. 83-96
Persistent link: https://www.econbiz.de/10010244294
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Dynamic volatility spillovers across the Extended Greater China Region stock markets
Diaz, John Francis - In: Global economy journal : GEJ 21 (2021) 1, pp. 2150003-1-2150003-22
Persistent link: https://www.econbiz.de/10012805962
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Hedging the Brazilian stock index in the era of low interest rates : what has changed?
Aiube, Fernando Antônio Lucena; Faquieri, Winicius Botelho - In: Revista Brasileira de Finanças : RBFin 18 (2020) 3, pp. 5-26
Persistent link: https://www.econbiz.de/10012306229
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GDP Growth and the Interdependency of Volatility Spillovers
Karunanayake, Indika; Valadkhani, Abbas; O’Brien, Martin - Volkswirtschaftliche Fakultät, … - 2012
This paper examines the dynamics of cross-country GDP volatility transmission and their conditional correlations. We use quarterly data (1961-2008) for Australia, Canada, the UK and the US to construct and estimate a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH)...
Persistent link: https://www.econbiz.de/10011260048
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FORECASTING THE CONDITIONAL COVARIANCE MATRIX OF A PORTFOLIO UNDER LONG-RUN TEMPORAL DEPENDENCE
Serrano, Antonio Rubia; Ñíguez, Trino-Manuel - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2003
Long-range persistence in volatility is widely modelled and forecasted in terms of the so-called fractional integrated models. These models are mostly applied in the univariate framework, since the extension to the multivariate context of assets portfolios, while relevant, is not...
Persistent link: https://www.econbiz.de/10005731402
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Multivariate Gram-Charlier Densities
Brio, Esther B. Del; Ñíguez, Trino-Manuel; Perote, Javier - Volkswirtschaftliche Fakultät, … - 2008
This paper introduces a new family of multivariate distributions based on Gram-Charlier and Edgeworth expansions. This family encompasses many of the univariate seminonparametric densities proposed in the financial econometrics as marginal distributions of the different formulations. Within this...
Persistent link: https://www.econbiz.de/10008866125
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Optimal retirement choice under age-dependent force of mortality
Ferrari, Giorgio; Zhu, Shihao - 2023
This paper examines the retirement decision, optimal investment, and consumption strategies under an age-dependent force of mortality. We formulate the optimization problem as a combined stochastic control and optimal stopping problem with a random time horizon, featuring three state variables:...
Persistent link: https://www.econbiz.de/10014476277
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Consumption decision, portfolio choice and healthcare irreversible investment
Ferrari, Giorgio; Zhu, Shihao - 2022
We propose a tractable dynamic framework for the joint determination of optimal consumption, portfolio choice, and healthcare irreversible investment. Our model is based on a Merton's portfolio and consumption problem, where, in addition, the agent can choose the time at which undertaking a...
Persistent link: https://www.econbiz.de/10014374359
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Hedge or rebalance : optimal risk management with transaction costs
Gallien, Florent; Kassibrakis, Serge; Malamud, Semyon - 2018 - This version: July 4, 2018
We solve the problem of optimal risk management for an investor holding an illiquid, alpha generating fund and hedging his position with a liquid futures contract. When the investor is subject to a drawdown constraint, he is forced to reduce the total risk of his portfolio after a drawdown. In...
Persistent link: https://www.econbiz.de/10011900340