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Market risk in demutualised self-listed stock exchanges: An international analysis of selected time-varying betas
Worthington, A. C.; Higgs, H. - 2005
This paper examines market risk in four demutualised and self-listed stock exchanges: the Australian Stock Exchange …-listed exchanges entail new market risks that merit regulatory intervention, the betas of the exchange companies have not changed … significantly since listing. However, market risk does vary considerable across the exchanges, with mean time-varying betas of 0 …
Persistent link: https://www.econbiz.de/10009457362
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Market risk in demutualised self-listed stock exchanges: An international analysis of selected time-varying betas
Worthington, A. C.; Higgs, H. - 2006
This paper examines market risk in four demutualised and self-listed stock exchanges: the Australian Stock Exchange …-listed exchanges entail new market risks that merit regulatory intervention, the betas of the exchange companies have not changed … significantly since listing. However, market risk does vary considerable across the exchanges, with mean time-varying betas of 0 …
Persistent link: https://www.econbiz.de/10009457535
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Motives for Household Private Transfers in Burkina Faso
Kazianga, Harounan - 2004
Burkina, a low-income country with a well-documented tradition of gift exchanges. The findings suggest that risk sharing is …
Persistent link: https://www.econbiz.de/10009444175
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Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan
Wong, Wing-Keung; Du, Jun; Chong, Terence Tai-Leung - 2005
market in three Chinese stock markets - the Shanghai, Hong Kong and Taiwan Stock Exchanges. The Simple Moving Average (MA …
Persistent link: https://www.econbiz.de/10009444775
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Cointegration Analysis of Commodity Prices: Much Ado about the Wrong Thing?
Mallory, Mindy L.; Lence, Sergio H. - 2010
This study highlights some problems with using the Johansen cointegration statistics on data containing a negative moving average (NMA) in the error term of the data generating process. We use a Monte Carlo experiment to demonstrate that the asymptotic distribution of the Johansen cointegration...
Persistent link: https://www.econbiz.de/10009446152
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Technical Trading Techniques with Statistical Profitability Back-Testing Analysis
Todd, Timothy M - 2008
Technical analysis is a category of securities trading that utilizes mathematical formulas in order to signal buying and selling points. This paper will evaluate the profitability of various technical methods over a five-year period starting January 1, 2003, with securities in the Dow Jones...
Persistent link: https://www.econbiz.de/10009475119
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A Multivariate Generalized ARCH Approach to Modeling Risk Premia in Forward Foreign Exchange Markets
Bollerslev, T.; Baillie, Richard T. - 1990
This study examines spot and forward exchange rates at a weekly level for four different currencies. It is shown that the vector of forward market forecast errors can be parameterized as a vector moving average (MA) process where the MAcoefficients can be theoretically determined from knowledge...
Persistent link: https://www.econbiz.de/10009475588
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Finansų krizės poveikis vertybinių popierių rinkai ir investavimo perspektyvos
Bareikienė, Daiva - 2011
Nagrinėjama vertybinių popierių rinkos būklės kitimo, pasireiškus finansų krizei, problema. Atskleidžiama finansų krizės esmė, tipai, nustatomos finansų krizės susidarymo priežastys ir pasekmės. Analizuojama Lietuvos vertybinių popierių rinka ir nustatomi veiksniai, kurie daro...
Persistent link: https://www.econbiz.de/10009478474
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Akcijų kainų kintamumo analizė
Šimkutė, Jovita - 2007
Darbe „Akcijų kainų kintamumo analizė“ nagrinėjami ir lyginami Baltijos (Lietuvos, Latvijos, Estijos) bei Lotynų Amerikos (Meksikos, Venesuelos) šalių duomenys. Atliekama pasirinktų akcijų kainų grąžų analizė. Jai naudojami trijų metų kiekvienos dienos duomenys (akcijų...
Persistent link: https://www.econbiz.de/10009478522
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Estimating Current Forest Attributes from Paneled Inventory Data Using Plot-Level Imputation: A Study from the Pacific Northwest.
Eskelson, Bianca N.I.; Temesgen, Hailemariam; Barrett, … - 2009
Information on current forest condition is essential to assess and characterize resources and to support resource management and policy decisions. The 1998 Farm Bill mandates the US Forest Service to conduct annual inventories to provide annual updates of each state's forest. In annual...
Persistent link: https://www.econbiz.de/10009429483