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Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
Silvapulle, P.; Granger, C. W. J. - In: Quantitative Finance 1 (2001) 5, pp. 542-551
This paper, using daily returns on 30 Dow Jones Industrial stocks for the period 1991-1999, investigates the possibility of portfolio diversification when there are negative large movements in the stock returns (i.e. when the market is bearish). We estimate the quantiles of stock return...
Persistent link: https://www.econbiz.de/10009208221
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Testing for Serial Correlation in the of Dynamic Heteroscedasticity.
Silvapulle, P.; Evans, M. - Department of Econometrics and Business Statistics, … - 1996
The main objective of this study is to investigate the rebustness of the popular Durbin-Watson (DW), Langrage multiplier (LM), Box-Pierce (BP) and Ljung-Box (LB) tests and their corrected versions against autoregressive distrurbances in the presence of dynamic heteroscedastic disturbances with...
Persistent link: https://www.econbiz.de/10005581120
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A Score Test for Seasonal Fractional Integration and Cointegration.
Silvapulle, P. - Department of Economics, Tippie College of Business - 1995
Persistent link: https://www.econbiz.de/10005819521
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Testing for Serial Correlation in the Presence of Dynamic Heteroscedasticity
Silvapulle, P.; Evans, M. - In: Econometric reviews 17 (1998) 1, pp. 31-56
Persistent link: https://www.econbiz.de/10006920355
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Business cycle asymmetry and the stock market
Silvapulle, P.; Silvapulle, M.J. - In: Applied financial economics 9 (1999) 1, pp. 109
Persistent link: https://www.econbiz.de/10007688760
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The impact of inflation rate announcements on interest rate volatility: Australian evidence
Silvapulle, P.; Pereira, R.; Lee, J.H.H. - In: Applied financial economics 7 (1997) 5, pp. 559-566
Persistent link: https://www.econbiz.de/10007699119
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Does the Fisher effect apply in Australia?
Inder, B.; Silvapulle, P. - In: Applied economics 25 (1993) 6, pp. 839-844
Persistent link: https://www.econbiz.de/10007716441
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TESTING FOR PHILIPPINES RICE MARKET INTEGRATION: A MULTIPLE COINTEGRATION APPROACH
Silvapulle, P.; Jayasuriya, S. - In: Journal of agricultural economics 45 (1994) 3, pp. 369-380
Persistent link: https://www.econbiz.de/10006493568
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A Score Test for Seasonal Fractional Integration and Cointegration
Silvapulle, P. - In: Econometric reviews 20 (2001) 1, pp. 85-104
Persistent link: https://www.econbiz.de/10006901671
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Experimental evidence on robustness of data envelopment analysis
Galagedera, D.U.A.; Silvapulle, P. - In: Journal of the Operational Research Society : OR 54 (2003) 6, pp. 654-660
Persistent link: https://www.econbiz.de/10006028821