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Linkages between gold and Latin American equity markets: Portfolio implications

Yousaf, Imran; Hanif, Hasan; Ali, Shoaib; … - In: Journal of Economics, Finance and Administrative Science 26 (2021) 52, pp. 237-251

Purpose - The authors aim to examine the mean and volatility linkages between the gold market and the Latin American equity markets in the entire sample period and two crises periods, namely the US financial crisis and the Chinese crash. Design/methodology/approach - To examine the return and...

Persistent link: https://www.econbiz.de/10013192204

On the Stock-Yogo tables

Skeels, Christopher L.; Windmeijer, Frank - In: Econometrics 6 (2018) 4, pp. 1-23

A standard test for weak instruments compares the first-stage F-statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are derived, as well as present some second-order...

Persistent link: https://www.econbiz.de/10011995234

PROTECTION OF PRIVACY THROUGH MICROAGGREGATION

Feige, Edgar L.; Watts, Harold W. - EconWPA - 2005

A proposal for maintaining privacy protection in large data bases by the use of partially aggregated data instead of the original individual data. Proper micro aggregation techniques can serve to protect the confidential nature of the individual data with minimumal information loss....

Persistent link: https://www.econbiz.de/10005556264

MyQuestLight User’s Guide

Yossifov, Plamen - EconWPA - 2003

MyQuestLight is a free Excel add-in for processing questionnaire responses, which can be downloaded from IDEAS (search under Software Components). It leverages on Excel’s flexibility in organizing data, supplementing it with a set of powerful tools for automating the inputting of questionnaire...

Persistent link: https://www.econbiz.de/10005556278

Valorización de opciones reales: modelo Ornstein-Uhlenbeck

Tresierra, Álvaro; Carrasco Montero, Claudia Marilia - In: Journal of Economics, Finance and Administrative Science 21 (2016) 41, pp. 56-62

incertidumbre a través de la aplicación de opciones reales en la evaluación de inversiones en proyectos mineros. Asimismo, se … es que evaluar proyectos mediante el enfoque de opciones reales permite valorizar —en su real magnitud— los beneficios … metodología de valorización a través de opciones reales posibilita estructurar el pensamiento estratégico. …

Persistent link: https://www.econbiz.de/10011859390

Risk-managed time-series momentum: An emerging economy experience

Walia, Nidhi; Bekiros, Stelios; Gupta, Arushi; Kumar, … - In: Journal of Economics, Finance and Administrative Science 27 (2022) 54, pp. 328-343

Purpose - This research study aims to design a novel risk-managed time-series momentum approach. The present study also examines the time-series momentum effect in the Indian equity market. Apart from this, the study also proposes a novel risk-managed time-series momentum approach....

Persistent link: https://www.econbiz.de/10014516450

Market price of risk implied by Asian-style electricity options

Weron, Rafal - EconWPA - 2005

of Asian-type options written on the spot electricity price traded at Nord Pool. The usefulness of the approach is …

Persistent link: https://www.econbiz.de/10005119166

Detecting and measuring nonlinearity

Kotchoni, Rachidi - In: Econometrics 6 (2018) 3, pp. 1-27

This paper proposes an approach to measure the extent of nonlinearity of the exposure of a financial asset to a given risk factor. The proposed measure exploits the decomposition of a conditional expectation into its linear and nonlinear components. We illustrate the method with the measurement...

Persistent link: https://www.econbiz.de/10011995224

The Role of Liquidity in Asset Pricing: The Special Case of the Portuguese Stock Market

Del Mar Miralles Quirós, María; Miralles Quirós, … - In: Journal of Economics, Finance and Administrative Science 22 (2017) 43, pp. 191-206

Purpose – The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the Portuguese. The unique setting of the Lisbon Stock Exchange with regards to changes in classification from an emerging to a developed stock market, allows an original answer to...

Persistent link: https://www.econbiz.de/10011859404

Size premium, value premium and market timing: Evidence from an emerging economy

Rashid, Syed Haroon; Sadaqat, Mohsin; Jebran, Khalil; … - In: Journal of Economics, Finance and Administrative Science 23 (2018) 46, pp. 266-288

This study aims to investigate the market timing strategy in different market conditions (i.e. up, down, normal and in-financial-crisis situation) in the emerging market of Pakistan over the period 1995 to 2015. Furthermore, this study tests the validity of the capital asset pricing model (CAPM)...

Persistent link: https://www.econbiz.de/10013192143