Showing 1 - 10 of 23
This paper proposes a straightforward Markov-switching asset allocation model, which reduces the market exposure to periods of high volatility. The main purpose of the study is to examine the performance of a regime-based asset allocation strategy under realistic assumptions, compared to a buy...
Persistent link: https://www.econbiz.de/10008592944
Hidden Markov models have been applied in many different fields during the last decades, including econometrics and finance. However, the lion’s share of the investigated models is Markovian mixtures of Gaussian distributions. We present an extension to conditional t-distributions, including...
Persistent link: https://www.econbiz.de/10008543807
of the economy, with curbs on the worst practices of speculation, are necessary to provide long-term stability. We have … explored one way in which to measure speculation versus production, in what we call a “speculative spread,” and suggest that …
Persistent link: https://www.econbiz.de/10011259119
in the project -The return to Keynes. Speculation and stabilization policies: money and commodities- financed by the … Italian Ministry of Education (PRIN 2008). They focus on four main areas of investigation: Keynes’s ideas on speculation, case …
Persistent link: https://www.econbiz.de/10011259254
This paper utilizes a new approach to an examination of price impacts of speculators on futures markets. It focuses initially on specially obtained data on commodity “pools,” which are large funds of money that may move quickly between and across futures markets and other financial markets;...
Persistent link: https://www.econbiz.de/10011259576
significant role in explaining fluctuations in stock returns. A brief assessment on the role of speculation in driving oil prices …
Persistent link: https://www.econbiz.de/10011259664
important role in prolonging the speculation in the real estate sector. For the first time it is proven that the guilt for the …
Persistent link: https://www.econbiz.de/10009418475
This paper studies empirically how uncertainty affects speculation in the foreign exchange markets. We use the …
Persistent link: https://www.econbiz.de/10008592942
This article analyzes the effect of speculation on the economic welfare from various criteria, using a simple Edgeworth … box within a three-period Walrasian competition framework. Here “speculation” is defined as a series of transition …), and economic value of speculation by Hirshleifer (1971, 1975, 1977). It is explicitly shown that the complete sharing of …
Persistent link: https://www.econbiz.de/10005789313
We generalize the "No-trade" theorem for finite unawareness belief structures in Heifetz, Meier, and Schipper (2009) to the infinite case.
Persistent link: https://www.econbiz.de/10008636463