under which (i) investors invest in the fund if the realized return falls within some interval, i.e., is neither too low nor …

(EMH) ; Present Value (PV) models ; fractional cointegration …

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only …" nonlinear model for the relationship between rates of return, beta, size and book-to-market. The model and corresponding … partial correlation with the stock return. In most of the annual regressions the corresponding coefficients have the correct …

exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible … weekday dependence of return data. Allowing for heteroskedastic error distributions the wild bootstrap is used to infer … against time varying means and correlation of return data in parametric models and to obtain confidence bands for …

alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …

This paper analyzes short term portfolio investment opportunities in a capital market where a currency is defined as a … a self-financed optimal investment strategy which minimizes an expected quadratic cost function. In order to implement … the optimal investment strategy to the case of the Thai Bath basket. The basket weights are computed with the adaptive …