This paper extends the Nelson-Siegel linear factor model by developing a flexible macro-finance framework for modeling and forecasting the term structure of US interest rates. Our approach is robust to parameter uncertainty and structural change, as we consider instabilities in parameters and...

In this paper, we try to build an efficient portfolio among four possible portfolios based on the some 31 Casablanca listed shares. Our analysis concerns the risk which arises from the Markowitz mean-variance approach. Our work method will be implemented as following: first of all, we will test...

Mutual Funds are the most common form of investment for the average household. They offer a fair amount of return for a limited amount of risk. Segregated Funds, which are, simply put, mutual funds with additional features, have grown in popularity as of late. It is something of great interest...

The management of financial risks, which is a branch of financial theory, is defined as a process that begins with risk factors identification, continues with measurement of risk and concludes with the coverage of that risk. This work focuses on the second phase of management process, namely the...

CRM has become one of the most leading business strategies in the new millennium. There is a verity of software solutions that impalement CRM principles including free and property ones. The aim of this research is to design and implement an evaluation model to help companies in choosing the...

We study optimal asset allocation for a portfolio of European fixed-income mutual funds during the recent financial turmoil. We use a sample of daily returns for country indices of French, German and Italian funds to investigate the quest for international diversification. Our analysis focuses...

We analyze empirically the household financial portfolio allocation decision using a variance decomposition technique that takes into account the constrained, non-normal nature of household portfolio allocation observations. We apply the technique to a relatively wide collection of financial...

This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...

We analyzed the volatility dynamics of three developed markets (U.K., U.S. and Japan), during the period 2003-2011, by comparing the performance of several multivariate volatility models, namely Constant Conditional Correlation (CCC), Dynamic Conditional Correlation (DCC) and consistent DCC...

Financial crisis those we have been experienced during last two decades encouraged the efforts of both academicians and the market participants to develop clear representations of the risk exposure of a �nancial institute. As a useful tool for measuring market risk of a portfolio,...