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On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratan...
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...
Persistent link: https://www.econbiz.de/10011260821
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An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model
Vargas, Gregorio A. - Volkswirtschaftliche Fakultät, … - 2006
The Block DCC model for determining dynamic correlations within and between groups of financial asset returns is extended to account for asymmetric effects. Simulation results show that the Asymmetric Block DCC model is competitive in in-sample forecasting and performs better than alternative...
Persistent link: https://www.econbiz.de/10005836313
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The Causal Relationship Between Government Revenue and Expenditure in Namibia
Eita, Joel Hinaunye; Mbazima, Daisy - Volkswirtschaftliche Fakultät, … - 2008
The relationship between government revenue and government expenditure is important, given its relevance for policy especially with respect to the budget deficit. The purpose of this paper is to investigate the relationship between government revenue and government expenditure in Namibia. It...
Persistent link: https://www.econbiz.de/10005619314
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Interrelationships and Causal Linkages Between Socioeconomic and Environmental Factors
Mariam, Yohannes; Barre, Mike; Urquhart, Lynda; … - Volkswirtschaftliche Fakultät, … - 1997
The purpose of this study was to examine interrelationship and causal linkages between socioeconomic and environmental variables in OECD countries. To aid this study, a LISREL modelling tool was implemented. The findings of the study indicated that gross public debt increases with deterioration...
Persistent link: https://www.econbiz.de/10005619745
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Asymmetric Cointegration: Barley and Crude Oil Price in United States
RAHIM, MAT; ROHAYA, SITI - Volkswirtschaftliche Fakultät, … - 2014
This paper examine whether asymmetrics cointegration present in the relationship between barley and crude oil price. The result suggest that an asymmetric cointegration statistically found barley price and oil price are cointegrated and adjustment mechanisms exist in the case between these two...
Persistent link: https://www.econbiz.de/10011108157
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Estimation of Keynesian Exchange Rate Model of Pakistan by Considering Critical Events and Multiple Cointegrating Vectors
Hina, Hafsa; Qayyum, Abdul - Volkswirtschaftliche Fakultät, … - 2013
This study employs the Mundell and Fleming (1963) traditional flow model of exchange rate to examine the long run behavior of rupee/US $ for Pakistan economy over the period 1982:Q1 to 2010:Q2.This study investigates the effect of output levels, interest rates and prices and different shocks on...
Persistent link: https://www.econbiz.de/10011112991
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Modeling the Macro-Economy of Bangladesh
Lord, Montague J. - Volkswirtschaftliche Fakultät, … - 2002
The study develops a parsimonious representation of the macro economy of Bangladesh. It aims to serve a dual purpose. First, it provides a framework for making rational and consistent predictions about Bangladesh's overall economic activity, the standard components of the balance of payments,...
Persistent link: https://www.econbiz.de/10011113692
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A Macroeconomic Simulation Model for Uzbekistan: Technical Guide to Macroeconomic Applications
Lord, Montague J. - Volkswirtschaftliche Fakultät, … - 2005
The study provide an analysis of the macroeconomic issues surrounding the reforms needed to meet the country’s growth target, as well as to identify existing policy and structural constraints and macroeconomic policy reforms measures that would help to remove those constraints. The indicative...
Persistent link: https://www.econbiz.de/10011258386
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On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
estimation of Gross Domestic Product by the Swiss National Bank. Applying the integrative thinking principles, we developed the …. We also used the Hodrick-Prescott filter to estimate the corresponding output gaps in Australia, Germany and the USA. We … found that the Australia, Germany on one side and the USA on other side have the different business cycles. We believe that …
Persistent link: https://www.econbiz.de/10011258833
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To the problem of evaluation of market risk of global equity index portfolio in global capital markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
Thinking about the development of the unifying mathematical approach to solve the problem on the evaluation of market risk of the global equity index portfolio in the highly volatile global capital markets, the authors focus their attention to an increasing necessity of application of the...
Persistent link: https://www.econbiz.de/10011259800