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...

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 import prices and exchange rate movements) or...

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...

This paper presents a study of Artificial Neural Network (ANN) and Bayesian Network (BN) for use in stock index prediction. The data from Nigerian Stock Exchange (NSE) market are applied as a case study. Based on the rescaled range analysis, the neural network was used to capture the...

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...

The western pension systems and especially the Spanish one will noticeably be a®ected by an aging of the population that is currently underway. This work proposes a pension model for Spain which would mean deep structural reforms that would guarantee meeting the objectives established by a...

In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...

Grey system theory can powerfully deal with incomplete and uncertain information. In this paper, we introduced an improved grey GM(1,1) model that integrates residual modification with Markov chain model. By this model, we improved the forecast accuracy of original grey forecast model and...

This paper develops a framework for evaluating the importance of the arrival of new information for forecasting, estimation, and decision making. By fusing known and recently developed statistical tests and concepts, the paper provides guidelines for detecting outliers, influential observations,...