Showing 1 - 10 of 1,160
We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a “time-varying minimum variance portfolio” that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in...
Persistent link: https://www.econbiz.de/10013011782
By utilizing the extreme dependence structure and the conditional probability of joint failure (CPJF) among risk factors, this paper characterizes a risk-stability index (RSI) that quantifies (i) common distress of risk factors, (ii) distress between specific risk factors, and (iii) distress to...
Persistent link: https://www.econbiz.de/10013150335
a special emphasis on the first year of the euro. A contribution is made as to how to measure these roles, both for … identification of changes in the role of the euro during 1999 compared to the aggregate of euro predecessor currencies, net of intra … -euro area assets/liabilities, before stage 3 of EMU. A number of key factors determining the currency distribution of …
Persistent link: https://www.econbiz.de/10009767695
This paper evaluates the performance of carry trade strategies with macro fundamentals in a Markov switching dynamic factor augmented regression framework and compares the performance statistics with the benchmark model of a random walk and momentum strategy. I make simulations with the Japanese...
Persistent link: https://www.econbiz.de/10012963675
The term "carry" has been primarily studied and explored within currency markets where, contrary to the uncovered interest rate parity, borrowing from a low interest rate country and investing in a high interest rate country has historically delivered positive and statistically significant...
Persistent link: https://www.econbiz.de/10012956302
Using a parametric portfolio optimization approach, I show how international momentum strategies can be significantly improved by decomposing global momentum returns. The parametrization models the optimal portfolio weights as a function of the decomposed components and overweights equity...
Persistent link: https://www.econbiz.de/10012915065
Motivated by studies of the impact of frictions on asset prices, we examine the effect of key components of time-series momentum strategies on turnover and performance. We show that more efficient volatility estimation and price trend detection can significantly reduce portfolio turnover by more...
Persistent link: https://www.econbiz.de/10012905544
We present effective momentum strategies over the liquid equity futures market in India. We evaluate and determine the persistence of the returns at various look-backs ranging from quarterly and weekly to more granular look-backs. We look at a universe of the liquid equity instruments traded...
Persistent link: https://www.econbiz.de/10012891432
This study evaluates country funds versus American Depository Receipts (ADRs) as tools for international diversification. A portfolio of available ADRs from a specific country (i.e. an ADR index) should provide similar returns to an indexed country fund. We found, however, that ADRs provided...
Persistent link: https://www.econbiz.de/10013138531
Low correlations between asset returns increase the portfolio diversification benefits and for US investors emerging market equities are one such class of assets. Several studies indicate that the correlations between asset returns are time varying and using unconditional estimates of...
Persistent link: https://www.econbiz.de/10013138548