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Hedge ratios for short and leveraged ETFs

Schubert, Leo - In: Atlantic review of economics 1 (2011), pp. 1-33

, due to a very skewed return distribution of the hedge. The risk measure target-shortfall probability confirms the use of …

Persistent link: https://www.econbiz.de/10009958835

Testing the profitablitiy of a volume-augmented momentum strategy in the Phillipines equity market

Shawn, Lim Kai Jie; Dawai, Darius Lim; Weijie, Mak; … - In: Journal of applied finance & banking 3 (2013) 1, pp. 1-12

from the past 3 months show positive average monthly returns. However, after adjusting for the risk of these strategies …

Persistent link: https://www.econbiz.de/10010118438

An estimation error corrected Sharpe ratio using bootstrap resampling

Skrepnek, Grant H.; Sahai, Ashok - In: Journal of applied finance & banking 1 (2011) 2, pp. 189-206

The Sharpe ratio is a common financial performance measure that represents the optimal risk versus return of an … issues surrounding its statistical properties. Given the importance of obtaining robust determinations of risk versus return …

Persistent link: https://www.econbiz.de/10010009070

Forecasting overnight interest rates volatility with asymmetric GARCH models

Dayioğlu, Tuğba - In: Journal of applied finance & banking 2 (2012) 6, pp. 151-162

This study investigates models for overnight interest rate volatility in Turkey and USA using the Asymmetric GARCH models and determines the best forecasting volatility models. These models are then completed with the use of out of sample forecasting. The best forecasting volatility models were...

Persistent link: https://www.econbiz.de/10010118418

Time series models for growth of urban population in SAARC countries

Khan, Md. Atikur Rahman; Rahman, Md. Mostafizur - In: Advances in management & applied economics 2 (2012) 1, pp. 109-119

The purpose of our present study is to strike out suitable models to explain the growth pattern and to forecast for urban population in SAARC countries. Using the data from UNPD for the years 1950 to 2000 in five years interval, we fitted both exponential and ARMA models. We found the...

Persistent link: https://www.econbiz.de/10010009053

González Abril, Luis; Velasco Morente, Francisco; … - In: Revista de métodos cuantitativos para la economía y … 10 (2010), pp. 5-18

In this paper, several identities concerning expectation, variance, covariance, cumulative distribution functions, the coefficient of variation, and the Lorenz curve are obtained and they are used in establishing theoretical results. Furthermore, a graphical representation of the variance is...

Persistent link: https://www.econbiz.de/10009957383

Community-based health insurance and social capital : a review

Donfouet, Hermann Pierre Pythagore; Mahieu, Pierre-Alexandre - In: Health economics review 2 (2012) 5, pp. 1-5

Community-Based Health Insurance (CBHI) is an emerging concept for providing financial protection against the cost of illness and improving access to quality health services for low-income rural households who are excluded from formal insurance. CBHI is currently being provided in some rural...

Persistent link: https://www.econbiz.de/10010030025

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 …, Population and Energy consumption in the future. - Grey theory ; Markov chain ; prediction ; energy consumption …

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

Posibles actuaciones económicas en la crisis actual a partir de las diferencias de opinión entre expertos

Lozano Gutiérrez, Maria Carmen; Fuentes Martín, Federico - In: Atlantic review of economics 1 (2011), pp. 1-20

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...

Persistent link: https://www.econbiz.de/10009958837

Assessing and understanding the key risks in a PPP power station projects

Azar, Adel; Zangoueinezhad, Abouzar; Elahi, Shaban; … - In: Advances in management & applied economics 3 (2013) 1, pp. 11-33

conceptual risk assessment system (RAS) using combined risk map and fuzzy sets theory for assessing PPP projects risks. The … combined risk map and fuzzy sets theory approach is very effective to assess project risks across project, work package and … partnerships (PPPs) ; risk map ; fuzzy sets theory ; knowledge-based fuzzy inference system …

Persistent link: https://www.econbiz.de/10010097687