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Behavioral biases in economic and financial knowledge : are they the same for men and women?
Kudryavtsev, Andrey; Cohen, Gil - In: Advances in management & applied economics 1 (2011) 1, pp. 15-52
Contemporary research documents various psychological aspects of economic thought and decision-making. The main goal of our study is to analyze the role of the hindsight bias (Fischhoff [20]) and the anchoring bias (Tversky and Kahneman [53]) in perceiving economic and financial information,...
Persistent link: https://www.econbiz.de/10009958463
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Network centrality and stock market volatility : the impact of communication topologies on prices
Hein, Oliver; Schwind, Michael; Spiwoks, Markus - In: Journal of finance and investment analysis 1 (2012) 1, pp. 199-232
We investigate the impact of agent communication networks on prices in an artificial stock market. Networks with different centralization measures are tested for their effect on the volatility of prices. Trading strategies diffuse through the different network topologies, mimetic contagion...
Persistent link: https://www.econbiz.de/10010079539
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Dynamic speculative behaviors and mortgage bubbles in the real estate market of mainland China
Wang, Sheng - In: Journal of finance and investment analysis 1 (2012) 1, pp. 1-54
It is systemic to expound how that the speculative behaviors are driven by the number of a series housing policies promulgated by China's government for the real estate market. The market is resulted in full of speculative behaviors, and has been booming since the beginning of this decade, even...
Persistent link: https://www.econbiz.de/10010079547
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The future of retirement and the pension system : how the public’s expectations vary over time and across socio-economic groups
Bissonnette, Luc; Soest, Arthur van - In: IZA Journal of European Labor Studies 1 (2012), pp. 1-21
We analyze expectations of the Dutch population ages 25 and older concerning future generosity of state and occupational pensions, the main pillars of the Dutch pension system. We use rotating panel data with monthly observations from 2006 until 2012 on individuals’ subjective expectations...
Persistent link: https://www.econbiz.de/10010082266
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Essay on international financial crisis and endogenous growth theory
Molochny, Boris - In: International journal of economic sciences and applied … 2 (2009) 1, pp. 7-15
theory of business coexistence between neo-classical growth models during "Peace time", and unpredicted forces and engines …
Persistent link: https://www.econbiz.de/10009958038
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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
. The out-of-sample forecasting performance of the TVP-VAR model is evaluated against the simple VAR and ARIMA models, by …. Outof-sample results in terms of conventional forecast evaluation statistics and directional accuracy show TVP-VAR model … consistently outperforms the simple VAR and ARIMA models. -- stock prices ; exchange rates ; bivariate causality ; forecasting …
Persistent link: https://www.econbiz.de/10009958060
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Testing for linear and nonlinear causality between crude oil price changes and stock market returns
Anoruo, Emmanuel - In: International journal of economic sciences and applied … 4 (2011) 3, pp. 75-92
This paper examines both the linear and nonlinear causal relationships between crude oil price changes and stock market returns for the United States. In particular, the study applied a battery of unit root tests to ascertain the time series properties of crude oil price changes and stock market...
Persistent link: https://www.econbiz.de/10009958081
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Financial innovations and their role in the modern financial system-identification and systematization of the problem
Błach, Joanna - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 3, pp. 13-26
This paper discusses the role that financial innovations play in the modern financial system, aiming at identifying and systematizing the core problems and definitions related to this issue. The paper first describes the importance of the financial system and financial markets in the economy,...
Persistent link: https://www.econbiz.de/10009959723
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DrawDown constraints and portfolio optimization
Davidsson, Marcus - In: Journal of finance and investment analysis 1 (2012) 1, pp. 93-105
The seminal work by Markowitz in 1959 introduced portfolio theory to the world. The prevailing notion since then has …
Persistent link: https://www.econbiz.de/10010079544
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A non-parametric approach of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models
Grobys, Klaus - In: Journal of finance and investment analysis 1 (2012) 1, pp. 55-67
This contribution studies the application of heteroskedasticity robust estimation of Vector-Autoregressive (VAR) models. VAR models have become one of the most applied models for the analysis of multivariate time series. Econometric standard software usually provides parameter estimators that...
Persistent link: https://www.econbiz.de/10010079546