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Hedging Italian equity mutual fund returns during the recent financial turmoil : a duration-dependent Markov-switching approach

Zagaglia, Paolo - In: Journal of applied finance & banking 3 (2013) 3, pp. 325-337

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...

Persistent link: https://www.econbiz.de/10010148077

Forecasting movement of the Nigerian Stock Exchange All Share index using artificial neural and Bayesian networks

Bola, Adetunji Abigail; Adesola, Aderounmu Ganiyu; … - In: Journal of finance and investment analysis 2 (2013) 1, pp. 41-59

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...

Persistent link: https://www.econbiz.de/10010148286

The power of the “objective” Bayesian unit-root test

Ahking, Francis W. - In: The open economics journal 2 (2009), pp. 71-79

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...

Persistent link: https://www.econbiz.de/10010080118

A parametric measure of productivity change from hyperbolic distance function : application to the Vietnamese banking industry

Vu, Ha; Turnell, Sean - In: Journal of applied finance & banking 2 (2012) 5, pp. 63-96

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...

Persistent link: https://www.econbiz.de/10010058696

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 … consistently outperforms the simple VAR and ARIMA models. -- stock prices ; exchange rates ; bivariate causality ; forecasting …

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

Residual Grey Markov model for the developments of GDP, population and energy consumption in Iran

Mostafaei, Hamidreza; Kordnoori, Shaghayegh - In: Advances in management & applied economics 1 (2011) 2, pp. 93-105

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...

Persistent link: https://www.econbiz.de/10009958471

On the importance of the arrival of new information

Chumacero, Rómulo A. - In: Estudios de economía 37 (2010) 2, pp. 207-215

This paper develops a framework for evaluating the importance of the arrival of new information for forecasting …

Persistent link: https://www.econbiz.de/10009959113

Company valuation : how to deal with a range of values?

Patena, Wiktor - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 3, pp. 75-84

Company valuation is not done after having generated a few values being a result of applying different valuation methods. In many cases institutions ordering the valuation request a value which can be an equivalent of a market, transactional value. Often the one method (and the valuation...

Persistent link: https://www.econbiz.de/10009959718

Using ants to detect fraudulent financial statements

Katsis, Christos D.; Goletsis, Yorgos; Boufounou, … - In: Journal of applied finance & banking 2 (2012) 6, pp. 73-81

Fraudulent financial reporting is a matter of great social and economic concern. Managers may distort financial statements so as to present their companies more favorably to investors or creditors. On the other hand, auditors are the ones who are expected to identify fraudulent financial...

Persistent link: https://www.econbiz.de/10010118423

Volatility modeling for forecasting stock index with fixed parameter distributional assumption

Rahman, Md. Mostafizur; Rahman, Md. Azizur; Hossain, … - In: Journal of applied finance & banking 3 (2013) 1, pp. 109-122

forecasting performance in case of all share price index of CSE, Sri Lanka. -- GARCH model ; student-t with fixed DOF 10 ; GED …The aim of this paper is to empirically investigate the in sample and out of sample forecasting performance of several … GARCH-type models such as GARCH, EGARCH and APARCH model with Gaussian, student-t, Generalized error distribution (GED …

Persistent link: https://www.econbiz.de/10010118432