Showing 1 - 10 of 16
From the standpoint of both the academic researcher and the investment practitioner, it is crucial to be able to identify which factors best capture stock return variation and specifically the discount variation. As a result, there has been a proliferation of research that attempts to identify...
Persistent link: https://www.econbiz.de/10012910690
In this article, we have tested a linear Gaussian state space model and the kalman filter in testing ARMA(2,3) models of the natural logarithmic monthly market returns of the US 1838 bond debenture closed-end fund. The aim is to estimate expectations that arises from the interaction of...
Persistent link: https://www.econbiz.de/10012910715
In this article, we are investigating the effects of macroeconomic variables in terms of natural logarithmic yearly returns of general government revenues and general government total expenditures of Greece. We have applied a Vector Error Correction model, (VEC) a Granger causality and Johansen...
Persistent link: https://www.econbiz.de/10012910719
In this article, we have tested the volatility of the returns of the spot exchange rate of GBP/USD for changing conditional variances. Generalized autoregressive conditional heteroskedastic models, GARCH, threshold generalized autoregressive conditional heteroskedastic models, (TGARCH), and...
Persistent link: https://www.econbiz.de/10012910727
In this article, we are investigating the effects of the macroeconomic variables. We have applied a Quantile regression, (including LAD), in EViews 6 to test the quantile of the natural logarithmic returns of the seasonally adjusted money supply, (M2) on the natural logarithmic returns of the...
Persistent link: https://www.econbiz.de/10012910782
Autoregressive Conditional Heteroskedastic models (ARCH), and Generalized Autoregressive Conditional Heteroskedastic models, (GARCH) take into account the non-linearity that arises in the financial time series. Well known anomalies such as the calendar effects, January effect and seasonality's...
Persistent link: https://www.econbiz.de/10012910788
In this article, we have tested the correlation and covariance relationships that the natural logarithmic yearly returns of the macroeconomic variables in terms of personal consumption expenditures, gross private domestic investment, net export of goods and services and government consumption...
Persistent link: https://www.econbiz.de/10012910789
In this article, we are investigating the effects of returns and expenses of hedge funds in terms of natural logarithmic monthly returns and expenses in terms of fees of long/short equity and arbitrage hedge funds. We have applied a Vector Error Correction model, (VEC) and a Granger causality to...
Persistent link: https://www.econbiz.de/10012890407
We analyze the implied volatility smile of a lognormal distribution on a on a 6 – month EUR/USD call currency option contract using the ratio of strike and share price. There is significant time variation in the implied volatility smile and the traditional Black – Scholes model can not...
Persistent link: https://www.econbiz.de/10012890739
According to the IMF subject information, output gap for advanced economies and specifically Greece is calculated as the actual GDP less the potential GDP divided by the potential GDP and expressed as a percentage. Divergence or difference between actual and potential output is known as output...
Persistent link: https://www.econbiz.de/10012890743