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Modeling the optimal portfolio : the case of the largest European stock exchanges
Aliu, Florin; Nuhiu, Artor; Krasniqi, Besnik A.; Aliu, … - In: Comparative economic research : Central and Eastern Europe 23 (2020) 2, pp. 41-51
Portfolio optimization is the main concern for portfolio managers. Financial securities are placed within the portfolio based on the investor’s risk tolerance. The study measures the risk-reward relationship when the number of stocks in the portfolio increases. Six diverse portfolios have been...
Persistent link: https://www.econbiz.de/10012417505
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EU stock markets vs. Germany, UK and US : analysis of dynamic comovements using time-varying DCCA correlation coefficients
Tilfani, Oussama; Ferreira, Paulo; Dionísio, Andreia … - In: Journal of risk and financial management : JRFM 13 (2020) 5/91, pp. 1-23
For this paper, we dynamically analysed the comovements between three major stock markets-Germany, the UK, and the US-and the countries of the European Union, divided into two groups: Eurozone and non-Eurozone. Correlation coefficients based on a detrended cross-correlation analysis (DCCA) were...
Persistent link: https://www.econbiz.de/10012304724
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Revisiting stock market integration in Central and Eastern European stock markets with a dynamic analysis
Tilfani, Oussama; Ferreira, Paulo; El Boukfaoui, My Youssef - In: Post-communist economies 32 (2020) 5, pp. 643-674
Persistent link: https://www.econbiz.de/10012266808
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On the inflation risks embedded in sovereign bond yields
Camba-Méndez, Gonzalo - 2020
The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so … expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate …. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …
Persistent link: https://www.econbiz.de/10012241109
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Szacunki kwartalnego PKB według województw w Polsce - zastosowanie estymacji funkcji parametrów modelu regresji liniowej
Pipień, Mateusz; Roszkowska, Sylwia - 2015
Persistent link: https://www.econbiz.de/10010532022
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Identifying the independent sources of consumption variation
Barigozzi, Matteo; Moneta, Alessio - 2012
By representing a system of budget shares as an approximate factor model we determine its rank, i.e. the number of common functional forms, or factors and we estimate a base of the factor space by means of approximate principal components. We assume that the extracted factors span the same space...
Persistent link: https://www.econbiz.de/10009625164
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Quarterly estimates of regional GDP in Poland - application of statistical inference of functions of parameters
Pipień, Mateusz; Roszkowska, Sylwia - 2015
Persistent link: https://www.econbiz.de/10011389507
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A neuro-fuzzy regression approach for estimation and optimisation of gasoline consumption
Azadeh, Mohammad Ali; Alajdad, S. Mohammad Hasan Manzour; … - In: International journal of services and operations management 17 (2014) 2, pp. 221-256
Persistent link: https://www.econbiz.de/10010390042
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Should We Use Linearized Models to Calculate Fiscal Multipliers?
Lindé, Jesper - 2018
We calculate the magnitude of the government consumption multiplier in linearized and nonlinear solutions of a New Keynesian model at the zero lower bound. Importantly, the model is amended with real rigidities to simultaneously account for the macroeconomic evidence of a low Phillips curve...
Persistent link: https://www.econbiz.de/10012928700
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Should We Use Linearized Models to Calculate Fiscal Multipliers?
Lindé, Jesper - 2018
We calculate the magnitude of the government consumption multiplier in linearized and nonlinear solutions of a New Keynesian model at the zero lower bound. Importantly, the model is amended with real rigidities to simultaneously account for the macroeconomic evidence of a low Phillips curve...
Persistent link: https://www.econbiz.de/10012931041