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Flexible Wechselkurse, Wechselkursvolatilität und Welthandel
Schubert, Michael - 1992
Persistent link: https://www.econbiz.de/10004128136
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Dynamische Steuerung von Portfoliorisiken
Reinschmidt, Timo - 2006
Persistent link: https://www.econbiz.de/10004920247
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Optimal funding and asset allocation rules for defined-benefit pension plans
Harrison, J. Michael; Sharpe, William F. - In: Financial aspects of the United States pension system, (pp. 91-105). 1983
Persistent link: https://www.econbiz.de/10002653682
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Parameter estimation error: a cautionary tale in computational finance
Popovic, Ray - 2010
motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … difficulties that can ensue when failing to account for estimation risk in valuation and hedging formulae. …We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian …
Persistent link: https://www.econbiz.de/10009476145
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Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks
Hallin, Marc; Barigozzi, Matteo - European Centre for Advanced Research in Economics and … - 2014
Persistent link: https://www.econbiz.de/10010961592
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Cycles in Crime and Economy Revised
Detotto, C.; Otranto, E. - Centro Ricerche Nord Sud (CRENoS) - 2011
In the last decades, the interest in the relationship between crime and business cy- cle has widely increased. It is a diffused opinion that a causal relationship goes from economic variables to criminal activities, but this causal effect is observed only for some typology of crimes, such as...
Persistent link: https://www.econbiz.de/10009019479
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Cycles in Crime and Economy: Leading, Lagging and Coincident Behaviors
Detotto, C.; Otranto, E. - Centro Ricerche Nord Sud (CRENoS) - 2010
In the last decades, the interest in the relationship between crime and business cycle has widely increased. It is a diffused opinion that a causal relationship goes from economic variables to criminal activities. This work aims to verify this proposition by using the dynamic factor model to...
Persistent link: https://www.econbiz.de/10008727715
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Cycles inside cycles: Spanish regional aggregation
Gadea, Maria; Gómez-Loscos, Ana; Montañés, Antonio - In: SERIEs 3 (2012) 4, pp. 423-456
This paper sets out a comprehensive framework to identify regional business cycles within Spain and analyses their stylised features and the degree of synchronisation both within them and between them and the Spanish economy. We show that the regional cycles are quite heterogeneous although they...
Persistent link: https://www.econbiz.de/10010994611
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Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area?
Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002
The Paper uses a large data set, consisting of 447 monthly macroeconomic time series concerning the main countries of the Euro area to simulate out-of-sample predictions of the Euro area industrial production and the harmonized inflation index and to evaluate the role of financial variables in...
Persistent link: https://www.econbiz.de/10005789173
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Optimal portfolio allocation strategies with dynamic factor models
Thomaidis, Nikos S.; Roumpis, Efthimios; Kondakis, Nick - In: International Journal of Financial Markets and Derivatives 1 (2010) 4, pp. 352-370
models and multivariate volatility parametrisations. We attempt to elaborate on the fundamental structure of the Fama and … French (FF) factor model with a special focus on the time variation in risk and correlation between stocks returns and … the framework of Markowitz's mean-variance portfolio theory. We outline and compare the out-of-sample performance of these …
Persistent link: https://www.econbiz.de/10008755235