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...

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...

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...

Leybourne et al. (1998) have proved the possibility of a `converse Perron phenomenon' when conventional Dickey-Fuller tests are applied to deter-mine the order of integration of a time series. That is, if the true generating process is I(1) but with a break, frequent spurious rejections of the...

This paper analyzes the cost of long-term care (LTC) associated to individuals in dependence situation. The economic cost of care per unit of service is linked to the expected time of needed care and the intensity of required services. We have estimated the expected lifetime cost of LTC in...

Exchange-traded funds (ETFs) exist for stock, bond and commodity markets. In most cases the underlying feature of an ETF is an index. Fund management today uses the active and the passive way to construct a portfolio. ETFs can be used for passive portfolio management, for which ETFs with...

In this paper is carry out an analysis of affinities in the perception on how to leave the crisis behind. For that we have considered the opinion of experts belonging to the politics, the economy, the company and the banking in order to gather those opinions and to look for likeness and...

The Sharpe ratio is a common financial performance measure that represents the optimal risk versus return of an investment portfolio, also defined as the slope of the capital market line within the mean-variance Markowitz efficient frontier. Obtaining sample point and confidence interval...