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Network centrality and stock market volatility : the impact of communication topologies on prices

Hein, Oliver; Schwind, Michael; Spiwoks, Markus - In: Journal of finance and investment analysis 1 (2012) 1, pp. 199-232

the different network topologies, mimetic contagion arises through the adaptive behavior of the heterogeneous agents … communication networks. Simulation results suggest a correlation between the network centralization measures and the volatility of … the resulting stock prices. -- microsimulation ; financial markets ; network topologies ; mimetic contagion ; herd …

Persistent link: https://www.econbiz.de/10010079539

International journal of networking and virtual organisations : IJNVO

Olney, Bucks. : Inderscience Enterprises - 1.2002; 2.2003/04 -

Persistent link: https://www.econbiz.de/10008379986

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

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 …, the neural network was used to capture the relationship in terms of weights between the technical indicators derived from … BN in terms of predictive power of the networks. The result also showed that Bayesian Network has better performance than …

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

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

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

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

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

Hedge ratios for short and leveraged ETFs

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

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...

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