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The stock selection problem : is the stock selection approach more important than the optimization method? : evidence from the Danish stock market

Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 143-162

Passive investment strategies basically aim to replicate an underlying benchmark. Thereby, the management usually selects a subset of stocks being employed in the optimization procedure. Apart from the optimization procedure, the stock selection approach determines the stock portfolios's...

Persistent link: https://www.econbiz.de/10009958479

Market timing and statistical arbitrage : which market timing opportunities arise from equity price busts coinciding with recessions? : the Swedish stock market in the financial cr...

Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 53-81

Even though a random walk process is from a statistical point of view not predictable, some movements can be correlated with specific events concerning other variables. Then, predictable patterns may arise being dependent on this joint event. There is evidence given that equity price busts being...

Persistent link: https://www.econbiz.de/10009958483

Using the value at risk method in estimation of investment risk in the metallurgical sector companies

Miłoś, Ewa - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 1, pp. 37-48

The aim of this paper is to analyze the merits of using the Value At Risk method in estimating the risk associated with investments in metallurgical sector companies. The paper presents how to construct the model, various methods of its estimation and their advantages and disadvantages. In the...

Persistent link: https://www.econbiz.de/10009959707

Empirical testing on uncovered interest rate parity in Malaysia

Jaratin Lily; Mori Kogid; Mohd Rahimie Abd Karim; … - In: Journal of applied finance & banking 1 (2011) 2, pp. 95-114

(OLS) and simple GARCH analysis on UIRP for the case of Malaysia-UK, Malaysia-Japan and Malaysia-Singapore. The empirical … GARCH analysis revealed that there are significant ARCH and GARCH effects in the case of Malaysia-Singapore, and it seem to … volatility shocks on UIRP deviation does not exist in any cases. -- Malaysia ; UIRP ; volatility ; OLS ; GARCH …

Persistent link: https://www.econbiz.de/10010009075

What are the benefits of globally invested mutual funds? : evidence from statistical arbitrage models

Grobys, Klaus - In: Journal of applied finance & banking 2 (2012) 1, pp. 1-27

Even though correlations between different economies' stock markets have empirically increased over time, it would have been advantageously to invest in developing countries' stock markets such as the Indian stock market, instead of investing in the US-stock market when considering the overall...

Persistent link: https://www.econbiz.de/10010009113

Impact of economic reform on the Nigerian telecommunications sector

Babatunde, Onakoya Adegbemi - In: Advances in management & applied economics 3 (2013) 3, pp. 141-154

In the early days of nationalization, it seemed axiomatic that price and quality standards could be better managed by State Owned Enterprises (SOE). Subsequent experience, however demonstrates that public ownership and control are different as the challenges of imposing effective public...

Persistent link: https://www.econbiz.de/10010148035

Structural breaks, parameter stability and energy demand modeling in Nigeria

Omisakin, Olusegun A.; Adeniyi, Oluwatosin A.; … - In: International journal of economic sciences and applied … 5 (2012) 2, pp. 129-144

This paper extends previous studies in modeling and estimating energy demand functions for both gasoline and kerosene petroleum products for Nigeria from 1977 to 2008. In contrast to earlier studies on Nigeria and other developing countries, this study specifically tests for the possibility of...

Persistent link: https://www.econbiz.de/10010039587

A time-varying parameter vector autoregression model for forecasting emerging market exchange rates

Kumar, Manish - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 21-39

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...

Persistent link: https://www.econbiz.de/10009958060

Seasonal adjustment versus seasonality modelling : effect on tourism demand forecasting

Gasmi, Amira - In: Advances in management & applied economics 3 (2013) 4, pp. 119-132

In this study, we treat the seasonal variation in monthly time series in the context of the Western-European tourism demand for Tunisia, by presenting different techniques of detection of seasonality and the parametric and non-parametric approaches of seasonal adjustment. Then, we compare the...

Persistent link: https://www.econbiz.de/10010148054

A factor analysis for the Spanish economy

Cuevas, Ángel; Quilis, Enrique M. - In: SERIEs : Journal of the Spanish Economic Association 3 (2012) 3, pp. 311-338

We present a medium-scale dynamic factor model to estimate and forecast the rate of growth of the Spanish economy in the very short term. The intermediate size of the model overcomes the serious specification problems associated with large scale-models and the implicit loss of information of...

Persistent link: https://www.econbiz.de/10010030016