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Nonlinear Regime Shifts in Oil Price Hedging Dynamics
Cifarelli, Giulio - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2011
The interaction between rational hedgers and informed oil traders is parameterized and tested empirically with the help of a complex non linear smooth transition regime shift CCC-GARCH procedure. In spite of their gyrations, futures price changes are usually self-correcting. Well informed...
Persistent link: https://www.econbiz.de/10009291773
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An Empirical Analysis of U.S. Aggregate Portfolio Allocations
Normandin, Michel; St-Amour, Pascal - Centre Interuniversitaire sur le Risque, les Politiques … - 2005
This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use … portfolio allocations are strongly supported, and iii) the Fama-French factors best explain empirical portfolios shares. …
Persistent link: https://www.econbiz.de/10005670292
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The Effect of Dynamic Hedging of Options Positions on Intermediate-Maturity Interest Rates
Christodoulopoulos, Thanasis N.; Grigoratou, Ioulia - Bank of Greece - 2003
When interest rates change, interest rate options dealers buy or sell securities to adjust the hedging positions that they have taken in order to offset their options exposures. The net result of this trading activity, which is unrelated to economic fundamentals, can be to push interest rates...
Persistent link: https://www.econbiz.de/10005129452
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An Empirical Analysis of U.S. Aggregate Portfolio Allocations
Normandin, Michel; Saint-Amour, Pascal - Institut d'Économie Appliquée, HEC Montréal (École … - 2005
This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use …, and strategic portfolio allocations. We then compare these rules to the data through formal statistical analysis. Our main … results reveal that i) purely tactical and myopic investment behaviors are unambiguously rejected, ii) strategic portfolio …
Persistent link: https://www.econbiz.de/10005677358
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Canadian Consumption and Portfolio Shares
Normandin, Michel; St-Amour, Pascal - Centre de Recherche sur l'Emploi et les Fluctuations … - 2001
This paper gauges consumption and portfolio shares for aggregate assets (i.e. financial, tangible, and human assets …
Persistent link: https://www.econbiz.de/10005611930
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Smooth transition regime shifts and oil price dynamics
Cifarelli, Giulio - In: Energy Economics 38 (2013) C, pp. 160-167
The interaction between rational hedgers and informed oil traders is parameterized and tested empirically with the help of a complex non linear smooth transition regime shift CCC-GARCH procedure. In spite of their gyrations, futures price changes are usually self-correcting. Well informed...
Persistent link: https://www.econbiz.de/10010665580
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Statistical Indicators Used in the Analysis of Portfolios of Financial Instruments
ANGHEL, Madalina - Gabriela - In: Romanian Statistical Review Supplement 60 (2012) 4, pp. 117-120
The analysis of economic phenomena, including those pertaining to the specific activity of the stock market, can be started by using a set of specific indicators, by which can be determined the overall trend of the data subject to present research. In this sense, in the literature of our country...
Persistent link: https://www.econbiz.de/10010859920
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The Problem of Determining the Energy Mix: from the Portfolio Theory to the Reality of Energy Planning in the Spanish Case
Paz, Fernando de Llano; Silvosa, Anxo Calvo; García, … - In: European Research Studies Journal XV (2012) 4, pp. 3-30
This paper deals with the problem of defining efficient portfolios of electricity production assets using the Portfolio … production technologies, considering the fact that the Portfolio Theory was initially proposed in the field of financial …
Persistent link: https://www.econbiz.de/10010934429
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Domestic versus International Portfolio Selection: A Statistical Examination of the Home Bias
Gorman, Larry R.; Jorgensen, Bjorn N. - In: Multinational Finance Journal 6 (2002) 3-4, pp. 131-166
The observed international home bias has traditionally been viewed as an anomaly. This paper provides statistical evidence contrary to this view within a mean-variance framework. Two methods of estimating the expected return and covariance parameters are investigated: (i) the traditional...
Persistent link: https://www.econbiz.de/10010937106
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Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations
Schmidt, Daniel - Center for Financial Studies - 2003
a portfolio component. We use a unique dataset describing 642 US-American portfolio companies with 3620 private equity … variations and even higher rates of failure. It is in this category in particular that high average portfolio returns are …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 …
Persistent link: https://www.econbiz.de/10010958618