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Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios

Pesaran, M. Hashem - 2009

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...

Persistent link: https://www.econbiz.de/10013153425

The Yield Spread Puzzle and the Information Content of SPF Forecasts

Lahiri, Kajal - 2013

While the yield spread has long been recognized as a good predictor of recessions, it seems to have been largely overlooked by professional forecasters. We examine this puzzle, established by Rudebusch and Williams (2009), in a data-rich environment including not just the yield spread but many...

Persistent link: https://www.econbiz.de/10013090002

Carry Funding and Safe Haven Currencies : A Threshold Regression Approach

Hossfeld, Oliver - 2015

the estimation results, two currencies, the Swiss franc and (to a lesser extent) the US dollar qualify as safe haven …

Persistent link: https://www.econbiz.de/10013030487

Stock Market Integration in Asia : Global or Regional? Evidence from Industry Level Panel Convergence Tests

Caporale, Guglielmo Maria - 2017

(industry) level by applying the Phillips-Sul (2007) tests for panel and club convergence. The main findings can be summarised … Telecommunication, both in a turn-around phase, and Gas & Oil and Technology, for which there is no panel convergence. Club convergence … tests reveal the existence of convergence clubs and divergent economies within the full panel, which explains why panel …

Persistent link: https://www.econbiz.de/10012953892

Persistence and Cycles in the US Federal Funds Rate

Caporale, Guglielmo Maria - 2013

This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an...

Persistent link: https://www.econbiz.de/10013089178

Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit

Pesaran, M. Hashem - 2010

This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...

Persistent link: https://www.econbiz.de/10013143234

Unobserved Tax Avoidance and the Tax Elasticity of FDI

Egger, Peter H. - 2014

firms. Using panel data on the universe of foreign affiliates of German multinational firms over the years 1999 to 2010, we …

Persistent link: https://www.econbiz.de/10013048888

Robust Implementation of a Parsimonious Dynamic Factor Model to Nowcast GDP

Duarte, Pablo - 2014

Quarterly GDP figures usually are published with a delay of some weeks. A common way to generate GDP series of higher frequency, i.e. to nowcast GDP, is to use available indicators to calculate a single index by means of a common factor derived from a dynamic factor model (DFM). This paper deals...

Persistent link: https://www.econbiz.de/10013059505

A Non-Linear Forecast Combination Procedure for Binary Outcomes

Lahiri, Kajal - 2015

We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating...

Persistent link: https://www.econbiz.de/10013028905

Robust Implementation of a Parsimonious Dynamic Factor Model to Nowcast GDP

Duarte, Pablo; Süssmuth, Bernd - CESifo - 2014

Persistent link: https://www.econbiz.de/10010734329