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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
We investigate the impact of agent communication networks on prices in an artificial stock market. Networks with different centralization measures are tested for their effect on the volatility of prices. Trading strategies diffuse through the different network topologies, mimetic contagion...
Persistent link: https://www.econbiz.de/10010079539
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Dynamic speculative behaviors and mortgage bubbles in the real estate market of mainland China
Wang, Sheng - In: Journal of finance and investment analysis 1 (2012) 1, pp. 1-54
It is systemic to expound how that the speculative behaviors are driven by the number of a series housing policies promulgated by China's government for the real estate market. The market is resulted in full of speculative behaviors, and has been booming since the beginning of this decade, even...
Persistent link: https://www.econbiz.de/10010079547
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The future of retirement and the pension system : how the public’s expectations vary over time and across socio-economic groups
Bissonnette, Luc; Soest, Arthur van - In: IZA Journal of European Labor Studies 1 (2012), pp. 1-21
We analyze expectations of the Dutch population ages 25 and older concerning future generosity of state and occupational pensions, the main pillars of the Dutch pension system. We use rotating panel data with monthly observations from 2006 until 2012 on individuals’ subjective expectations...
Persistent link: https://www.econbiz.de/10010082266
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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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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
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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
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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
within financial portfolios, the purpose of the current research was to improve the statistical estimation error associated … with Sharpe's ratio, offering an approach to point and confidence interval estimation which employs bootstrap resampling … and computational intelligence. This work also extends prior studies by minimizing the ratio's statistical estimation …
Persistent link: https://www.econbiz.de/10010009070
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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
This research was undertaken to develop a user-friendly, systematic management tool to understand and assess the key risks specific to PPP power station project with the ultimate goal of improving project performance. The study develops a conceptual risk assessment system (RAS) using combined...
Persistent link: https://www.econbiz.de/10010097687