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Hedging Italian equity mutual fund returns during the recent financial turmoil : a duration-dependent Markov-switching approach

Zagaglia, Paolo - In: Journal of applied finance & banking 3 (2013) 3, pp. 325-337

We study optimal hedging design for returns on an Italian equity mutual fund index since 2008. Alternative hedging instruments include one-month futures contracts for FTSE-MIB, FTSE100 and Xetra DAX. We use bivariate models of our Italian equity mutual fund index and each hedging instrument to...

Persistent link: https://www.econbiz.de/10010148077

The power of the “objective” Bayesian unit-root test

Ahking, Francis W. - In: The open economics journal 2 (2009), pp. 71-79

Some researchers, for example, Koop [1], and Sims [2], have advocated for Bayesian alternatives to unit-root testing over the classical approach using the augmented Dickey-Fuller test (ADF). This paper studies the power of what Koop [1] has called the Objectiveʺ Bayesian approach to unit-root...

Persistent link: https://www.econbiz.de/10010080118

Forecasting movement of the Nigerian Stock Exchange All Share index using artificial neural and Bayesian networks

Bola, Adetunji Abigail; Adesola, Aderounmu Ganiyu; … - In: Journal of finance and investment analysis 2 (2013) 1, pp. 41-59

, the neural network was used to capture the relationship in terms of weights between the technical indicators derived from …

Persistent link: https://www.econbiz.de/10010148286

A parametric measure of productivity change from hyperbolic distance function : application to the Vietnamese banking industry

Vu, Ha; Turnell, Sean - In: Journal of applied finance & banking 2 (2012) 5, pp. 63-96

This paper introduces a new parametric measure of productivity change using the hyperbolic distance function. More specifically, the paper first estimates a stochastic translog hyperbolic distance function, which satisfies regularity conditions, using the Bayesian approach. Then it derives an...

Persistent link: https://www.econbiz.de/10010058696

The Portugal situation during the financial crisis

Lopreite, Milena - In: Advances in management & applied economics 1 (2011) 1, pp. 111-124

Today it's frequently used the terms PIGS or PIIGS, acronyms used by economic journalists to refer to different countries of the European Union for their statement of affairs. The bad connotation is evident from the fact that pigs in English suggest the bad state of the economies of these...

Persistent link: https://www.econbiz.de/10009958460

The speculation bubble on the real estate market in the USA in view of selected overinvestment theories

Bochenek, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 1, pp. 73-87

This paper offers a specific analysis of speculation bubbles in the economic history of the world, and then tries to identify the causes and effects of the speculation bubble on the real estate market in the USA, which was the main cause of the subprime crisis. The first part of the paper aims...

Persistent link: https://www.econbiz.de/10009959704

MICA-BBVA : a factor model of economic and financial indicators for short-term GDP forecasting

Camacho, Máximo; Doménech, Rafael - In: SERIEs : Journal of the Spanish Economic Association 3 (2012) 4, pp. 475-497

In this paper we extend the Stock and Watson’s (Leading economic indicators, new approaches and forecasting records … real and financial indicators published at different frequencies and delays with respect to the period to which they refer … indicators are useful for forecasting output growth, particularly when certain financial variables lead the common factor …

Persistent link: https://www.econbiz.de/10010078109

Cycles inside cycles : Spanish regional aggregation

Gadea, Maria Dolores; Gómez-Loscos, Ana; Montañés, … - In: SERIEs : Journal of the Spanish Economic Association 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/10010078111

Verunsicherung und hohe Schulden bremsen Wachstum

Fichtner, Ferdinand; Junker, Simon; Bernoth, Kerstin; … - In: DIW-Wochenbericht : Wirtschaft, Politik, Wissenschaft 79 (2012) 1/2, pp. 2-30

Nachdem die deutsche Wirtschaft 2011 noch um drei Prozent gewachsen ist, sind die Aussichten für 2012 durch die Krise im Euroraum überschattet. Dadurch wird der kräftige Aufschwung unterbrochen, obwohl die Kapazitäten bis zuletzt nicht voll ausgelastet waren. Vorübergehend wird die deutsche...

Persistent link: https://www.econbiz.de/10010079336

Deutsche Wirtschaft vor kräftigem Aufschwung

Fichtner, Ferdinand; Junker, Simon; Bernoth, Kerstin; … - In: DIW-Wochenbericht : Wirtschaft, Politik, Wissenschaft 79 (2012) 14/15, pp. 3-43

Die deutsche Wirtschaft steht vor einem kräftigen Aufschwung. Zwar kann der Zuwachs im Jahresdurchschnitt 2012 mit 1,0 Prozent nicht an die hohen Raten der vergangenen beiden Jahre anknüpfen. Dies liegt jedoch daran, dass sich Investoren und Konsumenten aufgrund der Krise im Euroraum mit ihren...

Persistent link: https://www.econbiz.de/10010079383