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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
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Information costs and mutual fund flows
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
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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
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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
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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
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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
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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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Dickey-Fuller type of tests against nonlinear dynamic models
He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource]
derive analytical limiting distributions for all tests. Finite sample properties are examined. The performance of the tests …
Persistent link: https://www.econbiz.de/10002577830
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Univariate nonlinear time series models
Teräsvirta, Timo (contributor) - 2005 - [Elektronische Ressource]
In this paper developments in the analysis of univariate nonlinear time series are considered. First a number of commonly used nonlinear models are presented. The next section is devoted to methods of testing linearity, which is an important part of nonlinear model building. Techniques of...
Persistent link: https://www.econbiz.de/10002679532
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A smooth permanent surge process
González, Andrés (contributor) - 2004 - [Elektronische Ressource]
In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...
Persistent link: https://www.econbiz.de/10002465176