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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
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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
with Sharpe's ratio, offering an approach to point and confidence interval estimation which employs bootstrap resampling …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
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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
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The stock selection problem : is the stock selection approach more important than the optimization method? : evidence from the Danish stock market
Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 143-162
procedure ; cointegration ; quasi-maximum-likelihood estimation ; index-tracking …
Persistent link: https://www.econbiz.de/10009958479
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Market timing and statistical arbitrage : which market timing opportunities arise from equity price busts coinciding with recessions? : the Swedish stock market in the financial cr...
Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 53-81
Even though a random walk process is from a statistical point of view not predictable, some movements can be correlated with specific events concerning other variables. Then, predictable patterns may arise being dependent on this joint event. There is evidence given that equity price busts being...
Persistent link: https://www.econbiz.de/10009958483
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What are the benefits of globally invested mutual funds? : evidence from statistical arbitrage models
Grobys, Klaus - In: Journal of applied finance & banking 2 (2012) 1, pp. 1-27
allocations is challenging since higher returns are basically associated with higher risks. The estimation procedure which is …
Persistent link: https://www.econbiz.de/10010009113
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Spurious rejections by Dickey-Fuller tests in the presence of an endogenously determined break under the null
Badillo Amador, Rosa; Belaire Franch, Jorge; Reverte … - In: Revista de métodos cuantitativos para la economía y … 9 (2010), pp. 3-16
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
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El coste de los cuidados de larga duración en la población española : análisis comparativo entre los años 1999 y 2008
Alcañiz Zanón, Manuela; Alemany Leira, Ramón; … - In: Revista de métodos cuantitativos para la economía y … 12 (2011), pp. 111-131
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
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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
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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