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Engström, Stefan (contributor); … - 2004 - [Elektronische Ressource]

This paper examines how investor and capital flows into mutual funds in the Swedish pension system are related to fund characteristics. Similarly to U.S. studies, we show that individuals chase past returns and have a strong preference for lower-fee funds. However, our results suggest that past...

Persistent link: https://www.econbiz.de/10001979838

Does active portfolio management create value? : an evaluation of fund managers' decisions

Engström, Stefan (contributor) - 2004 - [Elektronische Ressource]

value created and trading activity. -- Mutual Funds ; Portfolio Evaluation ; Performance Attribution ; Trading …

Persistent link: https://www.econbiz.de/10001946175

Investment strategies, fund performance and portfolio characteristics

Engström, Stefan (contributor) - 2004 - [Elektronische Ressource]

This paper studies the relation between fund performance and the fund manager's investment strategy, which is based on … can explain differences in fund performance. However, the paper finds a negative firm-size effect that partly explains … previous findings of a negative fund-size effect. Moreover, the results show a positive relation between performance and the …

Persistent link: https://www.econbiz.de/10001946185

Reversed default behaviour in a new defined contribution pension system

Engström, Stefan (contributor); … - 2003 - [Elektronische Ressource], Rev. August 12, 2003

This paper provides a detailed examination of individuals' active participation in a new public and mandatory defined contribution pension system. The new pension system was launched in the fall of 2000 and entitles Sweden's workforce of 4.4 million individuals to invest part of their individual...

Persistent link: https://www.econbiz.de/10001753272

Error correction in DHSY

Eliasson, Ann-Charlotte (contributor); … - 2002 - [Elektronische Ressource]

In this note, we consider the contradiction between the fact that the best fit for the UK consumption data in Davidson et al. (1978) is obtained using an equation with an intercept but without an error correction term, whereas the equation with error correction and without the intercept has...

Persistent link: https://www.econbiz.de/10001714625

Stylized facts of financial time series and three popular models of volatility

Malmsten, Hans (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. September 3, 2004

Properties of three well-known and frequently applied first-order models for modelling and forecasting volatility in financial series such as stock and exchange rate returns are considered. These are the standard Generalized Autoregressive Conditional Heteroskedasticity (GARCH), the Exponential...

Persistent link: https://www.econbiz.de/10002199620

Evaluating exponential GARCH models

Malmsten, Hans (contributor) - 2004 - [Elektronische Ressource], Rev. September 3, 2004

In this paper, a unified framework for testing the adequancy of an estimated EGARCH model is presented. The tests are Lagrange multiplier or Lagrange multiplier type tests and include testing an EGARCH model against a higher-order one and testing parameter constancy. Furthermore, various...

Persistent link: https://www.econbiz.de/10002199638

Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination

Teräsvirta, Timo (contributor); Dijk, Dick van (contributor) - 2004 - [Elektronische Ressource], Rev. November 9, 2004

In this paper we examine the forecast accuracy of linear autoregressive, smooth transition autoregressive (STAR), and neural network (NN) time series models for 47 monthly macroeconomic variables of the G7 economies. Unlike previous studies that typically consider multiple but fixed model...

Persistent link: https://www.econbiz.de/10002127012

Determing the number of regimes in a threshold autoregressive model using smooth transition autoregressions

Strikholm, Birgit (contributor); … - 2005 - [Elektronische Ressource], Rev. February 11, 2005

In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one, no asymptotic properties are claimed for the...

Persistent link: https://www.econbiz.de/10002535492

Testing parameter constancy in unit root autoregressive models against continuous change

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 8, 2005

In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new...

Persistent link: https://www.econbiz.de/10002570513

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