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APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES

Guida, Tony; Matringe, Olivier - EconWPA - 2005

This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to confine our analysis on four indices which are the...

Persistent link: https://www.econbiz.de/10005134650

The impact of downside risk on risk-adjusted performance of mutual funds in the Euronext markets

Plantinga, Auke; Sortino, Franks; Meer, Robert van der - EconWPA - 2004

Many performance measures, such as the classic Sharpe ratio have difficulty in evaluating the performance of mutual funds with skewed return distributions. Common causes for skewness are the use of options in the portfolio or superior market timing skills of the portfolio manager. In this...

Persistent link: https://www.econbiz.de/10005413128

Expected utility without utility

Castagnoli, Erio; LiCalzi, Marco - EconWPA - 2005

This paper advances an interpretation of Von Neumann–Morgenstern’s expected utility model for preferences over lotteries which does not require the notion of a cardinal utility over prizes and can be phrased entirely in the language of probability. According to it, the expected utility of a...

Persistent link: https://www.econbiz.de/10005118603

Global Gains from Liberalising Trade in Telecommunications and Financial Services

Verikios, George; Zhang, Xiao-guang - EconWPA - 2001

This paper uses a general equilibrium model to assess the effects of liberalising trade in telecommunications and financial services for 19 regions of the world. Results suggest that economies gain from removing barriers to the establishment of new operations (domestic or foreign), and by...

Persistent link: https://www.econbiz.de/10005556171

Long–term Business Relationships between Consignor and Trucking Carrier in Japan

KASUGA, Norihiro; Torii, Akio - EconWPA - 2005

volatility of demand tend to rely on transportation services procured from spot logistics markets with a shorter contract term …In this paper, we have empirically analyzed the factors that lead to longer business relationships in the logistics … capital, such as skill in workers and know-how, is important to improve efficiency of the whole logistics system. At the same …

Persistent link: https://www.econbiz.de/10005412960

Shattering the Myth of Costless Price Changes: Emerging Perspectives on Dynamic Pricing

Bergen, Mark; Ritson, Mark; Dutta, Shantanu; Levy, Daniel; … - EconWPA - 2005

In this paper we argue that pricing is all about price changes, and that the costs of price changes are often simultaneously subtle and substantial. We discuss a framework to deal with the dynamics of changing prices. This framework incorporates customer interpretations of price changes, an...

Persistent link: https://www.econbiz.de/10005556152

Comparison between minimum purchase, quantity flexibility contracts and spot procurement in a supply chain

Brusset, Xavier - EconWPA - 2005

When, in a supply chain, a supplier and a buyer have the choice of transaction form to do business, the equilibrium transaction form which emerges is much more constrained than previously envisaged in literature. In this paper, two forms of long-term supply contracts and procurement in the spot...

Persistent link: https://www.econbiz.de/10005556373

Management von Mitarbeiterrisiken in Unternehmen Theoretische Grundlagen und Entwicklung eines praxistauglichen Erfassungs- und Auswertungsverfahrens

Dannenberg, Henry - EconWPA - 2005

Die vorliegende Arbeit stellt einen Beitrag zur Bewertung von Mitarbeiterrisiken in Unternehmen dar. Es werden Ursachen determiniert, die einen Mitarbeiterausfall zur Folge haben. Diese werden auf ihre Eintrittswahrscheinlichkeit sowie möglicher Schäden hin untersucht. Darauf aufbauend wird...

Persistent link: https://www.econbiz.de/10005118593

Do Chinese stock markets share common information arrival processes?

Kostov, Philip; Wu, Ziping; McErlean, Seamus - EconWPA - 2004

According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a …) volatility and trading volume changes in different financial markets. An implication is that returns volatility in one stock … market should show positive and contemporaneous correlation with returns volatility in another stock market. This paper tests …

Persistent link: https://www.econbiz.de/10005407887

Is GARCH(1,1) as good a model as the Nobel prize accolades would imply?

Starica, Catalin - EconWPA - 2004

-parametric regression approach to next-day volatility forecasting. A second finding is that the GARCH(1,1) model severely over-estimated the … unconditional variance leads to poor volatility forecasts during the period under discussion with the MSE of GARCH(1,1) 1-year ahead … volatility more than 4 times bigger than the MSE of a forecast based on historical volatility. We test and reject the hypothesis …

Persistent link: https://www.econbiz.de/10005407908