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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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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 the characteristics of the portfolio. The results show that neither momentum characteristics nor the valuation of stocks can explain differences in fund performance. However,...
Persistent link: https://www.econbiz.de/10001946185
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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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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 … Conditional Heteroskedasticity (GARCH), the Exponential GARCH and the Autoregressive Stochastic Volatility model. The focus is on …-autocorrelation combinations that can be reproduced with these models and compare them with ones that have been estimated from financial time …
Persistent link: https://www.econbiz.de/10002199620
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Success factors in asset management
Engström, Stefan - 2001
Persistent link: https://www.econbiz.de/10001628153
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A latent factor model of European exchange rate risk premia
Alexius, Annika; Sellin, Peter - 1997
Persistent link: https://www.econbiz.de/10000958083
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Nonlinearities and regime shifts in financial time series
Åsbrink, Stefan E. - 1997
Persistent link: https://www.econbiz.de/10000958387
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A new non-linear GARCH model
Hagerud, Gustaf E. - 1997
Persistent link: https://www.econbiz.de/10000958392
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Essays on exchange rates, prices and interest rates
Alexius, Annika - 1997
Persistent link: https://www.econbiz.de/10000961609
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Finite dimensional Markovian realizations for stochastic volatility forward rate models
Björk, Tomas (contributor); Landén, Camilla (contributor);  … - 2002 - [Elektronische Ressource], This version: May 6, 2002
the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward … volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent …
Persistent link: https://www.econbiz.de/10001664233