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On the dynamics of the Greek twin deficits : empirical evidence over the period 1960 - 2007

Panagiotis, Pantelidis; Emmanouil, Trachanas; … - In: International journal of economic sciences and applied … 2 (2009) 2, pp. 9-32

One of the most important open macroeconomic issues, during the current global economic recession, concerns the sustainability of persistent budget and trade deficits as well as possible interactions between them. These deficits are most crucial due to severe debt servicing costs, faced by...

Persistent link: https://www.econbiz.de/10009958045

International portfolio movements : panel data analysis

Kabadayi, Burhan; Emsen, O. Selcuk; Nisanci, Murat - In: Journal of applied finance & banking 2 (2012) 5, pp. 189-198

In this study, the effects of GDP per capita growth rates, real exchange rates, Standard and Poor’s (S&P) sovereign ratings, the difference between Transition Economies’ (TE) interest rates and USA’s interest rates on TEs’ net portfolio inflows were analyzed. The results showed that GDP...

Persistent link: https://www.econbiz.de/10010058688

Measurement of liquidity-adjusted market risk by VaR and expected shortfall : evidence from Turkish banks

Aktas, Cihan; Cortuk, Orcan; Teker, Suat; Yildirim, … - In: Journal of applied finance & banking 2 (2012) 5, pp. 137-147

Due to its known weaknesses Value at Risk (VaR) has been modified to have a better market risk measurement model. 2007-2008 global financial crisis has increased the necessity to incorporate market liquidity into widely used models. This is to raise the required regulatory capital for trading...

Persistent link: https://www.econbiz.de/10010058692

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

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 investment portfolio, also defined as the slope of the capital market line within the mean-variance Markowitz efficient frontier. Obtaining sample point and confidence interval...

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

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

This study contributes new empirical evidence on the profitability of a momentum strategy in the Philippines equity market. The study was conducted over the time period January 2000 to June 2012. We evaluated a momentum strategy based only on past return information as well as a strategy that...

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

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

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

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