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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

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

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

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

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

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

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

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

Optimal consumption and portfolio choice with ambiguity

Lin, Qian; Riedel, Frank - Institut für Mathematische Wirtschaftsforschung, … - 2014

We consider optimal consumption and portfolio choice in the presence of Knightian uncertainty in continuous time. We embed the problem into the new framework of stochastic calculus for such settings, dealing in particular with the issue of non-equivalent multiple priors. We solve the problem...

Persistent link: https://www.econbiz.de/10011098615

Underperformance Fees and Manager¡¯s Portfolio Risk Taking

Stabile, Gabriele - In: International Journal of Financial Research 6 (2015) 1, pp. 79-89

This paper investigates how a manager¡¯s compensation contract where good performance are rewarded and poor performance are penalized impacts on the managerial risk taking propensity. The results of the model indicate that the presence of underperformance penalty has a strong impact on the...

Persistent link: https://www.econbiz.de/10011267569