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, 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
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
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
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
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
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
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
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...
Persistent link: https://www.econbiz.de/10009957378
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...
Persistent link: https://www.econbiz.de/10009957390
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