procedure ; cointegration ; quasi-maximum-likelihood estimation ; index-tracking … via cointegration optimization methods are most beneficial. Only the stock portfolios exhibiting the lowest initial market …

as the benchmark. -- statistical arbitrage ; financial crises ; equity price busts ; cointegration …

allocations is challenging since higher returns are basically associated with higher risks. The estimation procedure which is … employed in this study to construct globally invested portfolios is based on cointegration analysis. The forecast period covers … 11 years. All constructed portfolios show a strong cointegration relationship with the benchmark in the back …

The paper examines the determinants of inflation in some West African countries. Using the Johansen technique and time … series between 1970q1 and 2010q4 the study determines whether inflation in these African countries is mainly imported (via … supply, exchange rate movements, income and foreign prices have significant influences on the inflation rate in the long run …

payment has a negative effect of about 28.517. Long run relationship the co-integration test shows that there is no long run …

In this paper the applicability of the Edmister model for the assessment of credit risk in small and medium sized …

This paper aims at providing quantitative analysis of the dynamics of money supply, exchange rate and inflation in … inflation may not be due to aggregate demand pressure but rather due to hiccups in the supply chain of goods both from the … to short run disequilibrium. However, there exists a causal linkage between inflation, money supply and exchange rate in …