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Portfolio balance approach to asymmetries, structural breaks and financial crisis : testing a model for Nigeria
Adekoya, Oluwasegun B. - In: CBN journal of applied statistics 11 (2020) 1, pp. 87-110
This study tests the Portfolio Balance Theory (PBT) for Nigeria for the period starting from September, 1997 to …
Persistent link: https://www.econbiz.de/10012297508
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Stock markets, current account dynamics, and exchange rate determination
Mercereau, Benoît - 2002
Persistent link: https://www.econbiz.de/10003780033
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Factor selection and structural breaks
Chib, Siddhartha; Smith, Simon C. - 2024 - Draft: May 31, 2024
Persistent link: https://www.econbiz.de/10015055696
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Can black swans be tamed with a flexible mean-variance specification?
Chatzikonstanti, Vasiliki; Karoglou, Michail - In: International journal of finance & economics : IJFE 27 (2022) 3, pp. 3202-3227
Persistent link: https://www.econbiz.de/10013329857
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International portfolio diversification possibilities : can BRICS become a destination for US investors?
Pan, Lei; Mishra, Vinod - In: Applied economics 54 (2022) 20, pp. 2302-2319
Persistent link: https://www.econbiz.de/10012875942
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Do oil producing countries offer international diversification benefits? : evidence from GCC countries
Mimouni, Karim; Charfeddine, Lanouar; Al-Azzam, Moh'd - In: Economic modelling 57 (2016), pp. 263-280
Persistent link: https://www.econbiz.de/10011646913
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Market integration between conventional and Islamic stock prices
Majdoub, Jihed; Mansour, Walid; Jouini, Jamel - In: The North American journal of economics and finance : a … 37 (2016), pp. 436-457
Persistent link: https://www.econbiz.de/10011672988
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Does macroeconomics help in predicting stock markets volatility comovements? : a nonlinear approach
Bucci, Andrea; Palomba, Giulio; Rossi, Eduardo - 2019
Persistent link: https://www.econbiz.de/10012154493
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Pairs trading with partial cointegration
Clegg, Matthew; Krauss, Christopher - 2016
Partial cointegration is a weakening of cointegration that allows for the "cointegrating" process to contain a random … estimation routine, and a suitable likelihood ratio test. Then, we explore the use of partial cointegration as a means for … identifying promising pairs and for generating buy and sell signals. Specifically, we benchmark partial cointegration against …
Persistent link: https://www.econbiz.de/10011458302
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Investigating the use of statistical process control charts for index tracking portfolios
Sant'Anna, Leonardo Riegel; Filomena, Tiago Pascoal; … - In: Journal of the Operational Research Society 70 (2019) 10, pp. 1622-1638
Persistent link: https://www.econbiz.de/10012214352