Narrow search
Showing 1 - 10 of 108,860
Cover Image
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
Cover Image
Modeling Volatility Changes in the 10-Year Treasury Note Yield
Covarrubias, Guillermo - 2005
This paper examines the daily volatility of changes in yield on the 10-year Treasury note utilizing the iterated … cumulative sums of squares algorithm (Inclan and Tiao, 1994). The ICSS algorithm can detect regime shifts in the volatility of …-of-sample volatility forecasting performance of two competing models is made using asymmetric error measures. The asymmetric error …
Persistent link: https://www.econbiz.de/10012736196
Cover Image
Business Applications of Emulative Neural Networks
Shachmurove, Yochanan - 2005
This paper surveys research on Emulative Neural Network (ENN) models as economic forecasters. ENNs are statistical methods that seek to mimic neural processing. They serve as trainable analytical tools that quot;learnquot; autonomously. ENNs are ideal for finding non-linear relationships and...
Persistent link: https://www.econbiz.de/10012784189
Cover Image
The Distribution of the Extreme Daily Share Returns in the Athens Stock Exchange
Brown, Richard A. - 2004
Extreme Value Theory (EVT) methods are used to investigate the asymptotic distribution of the lower tail for daily returns in the Athens Stock Exchange (ASE) over the period 1986 to 2001. Overall, the Generalised Logistic (GL) distribution is found to provide adequate descriptions of the...
Persistent link: https://www.econbiz.de/10012785436
Cover Image
Predicting the Term Structure of Interest Rates : Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
De Pooter, Michiel - 2010
estimation techniques, and model uncertainty by combining forecasts from individual models. We incorporate macroeconomic …
Persistent link: https://www.econbiz.de/10012717282
Cover Image
Money-Income Granger-Causality in Quantiles
Lee, Tae-Hwy; Yang, Weiping - Department of Economics, University of California-Riverside - 2014
The causal relationship between money and income (output) has been an important topic and has been extensively studied. However, those empirical studies are almost entirely on Granger-causality in the conditional mean. Compared to conditional mean, conditional quantiles give a broader picture of...
Persistent link: https://www.econbiz.de/10010944665
Cover Image
A structural cointegrating VAR approach to macroeconometric modelling
Garratt, A; Lee, K; Pesaran, M H; Shin, Yongcheol - School of Economics, University of Edinburgh - 1999
In this paper we discuss the 'structural cointegrating VAR' approach to macroeconometric modelling and compare it to other approaches currently followed in the literature, namely the large-scale simultaneous equation macroeconometric models, the structural VARs, and the dynamic stochastic...
Persistent link: https://www.econbiz.de/10005086759
Cover Image
L'effet dynamique des chocs d'offre et de demande agrégés. Une étude sur le cas allemand
Legrand, Romain - In: Revue économique 63 (2012) 1, pp. 129-155
Germany represents a particular case in Europe because of the occurrence of two major structural changes since the end … of the Seventies : first the reunification of the Federal Republic of Germany and the German Democratic Republic in 1990 …
Persistent link: https://www.econbiz.de/10009650728
Cover Image
Lies, Damned Lies, and Statistics? Examples From Finance and Economics
Abadir, Karim M. - In: Central European Journal of Economic Modelling and … 5 (2013) 4, pp. 231-248
Reliable data analysis is one of the hardest tasks in sciences and social sciences. Often misleading and sometimes puzzling results arise when the analysis is done without regard for the special features of the data. In this exposition, I will focus on designing new statistical tools to deal...
Persistent link: https://www.econbiz.de/10010750239
Cover Image
Term structure forecasting using macro factors and forecast combination
Pooter, Michiel de; Ravazzolo, Francesco; Dijk, Dick van - Norges Bank - 2010
well in low-volatility subperiods such as the late 1990s. We demonstrate that this problem of model uncertainty can be …
Persistent link: https://www.econbiz.de/10008464563