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Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant...
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...
Persistent link: https://www.econbiz.de/10013403261
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Global Finance Liquidity Risk Revisited : JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset Classes
Malhotra, Yogesh - 2022
GLOBAL FINANCE LIQUIDITY RISK REVISITED: JP Morgan Alternative Assets Portfolio Liquidity Assessment Framework & Models: $500 Billion Fund of Funds: 17 Asset ClassesPresentations atJP Morgan World HQ, 270 Park Ave, Manhattan, NY, USAToJP Morgan Global Head of Quant Research & Analytics, JP...
Persistent link: https://www.econbiz.de/10013405318
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Oil prices and their long-term relationship with macroeconomic and financial indicators
Bucevska, Vesna; Gjelevski, Borjan; Matevska, Lea - In: Economic review : journal of economics & business 21 (2023) 1, pp. 3-24
The objective of this paper is to find out whether there is a long-term relationship or in other words cointegration …
Persistent link: https://www.econbiz.de/10014466537
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Nonlinear cointegration analysis and the environmental Kuznets curve
Hong, Seung Hyun; Wagner, Martin - 2008
cointegration techniques. The EKC literature has failed to acknowledge that such regressions involve unit root nonstationary …-sample KPSS type cointegration test. We present simulation results illustrating the performance of the estimators and tests. In … modified estimation ; nonlinear cointegration analysis ; environmental Kuznets curve …
Persistent link: https://www.econbiz.de/10009735348
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Nonlinear cointegration analysis and the environmental Kuznets curve
Hong, Seung Hyun; Wagner, Martin - 2008
Persistent link: https://www.econbiz.de/10003735935
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Future World Market Prices of Milk and Feed Looking into the Crystal Ball
Hansen, Bjørn Gunnar - 2015
Both the world milk price and the world feed price have become more volatile during the last 7-8 years. The ability of dairy farmers to adapt quickly to these changing circumstances will be a key driver for future success, considering that feed is the major cost component in milk production and...
Persistent link: https://www.econbiz.de/10013024581
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Indicators and Tests of Fiscal Sustainability : An Integrated Approach
Marini, Giancarlo - 2014
This paper shows that indicators and tests of government solvency should not be used alternatively. We present a simple and intuitive procedure to integrate simultaneously the results from the two approaches to fiscal sustainability. An application to U.S. post-World War II data demonstrates the...
Persistent link: https://www.econbiz.de/10012709004
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What are the benefits of globally invested mutual funds? : evidence from statistical arbitrage models
Grobys, Klaus - In: Journal of applied finance & banking 2 (2012) 1, pp. 1-27
employed in this study to construct globally invested portfolios is based on cointegration analysis. The forecast period covers … 11 years. All constructed portfolios show a strong cointegration relationship with the benchmark in the back … ; cointegration ; portfolio optimization …
Persistent link: https://www.econbiz.de/10009539880
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The dynamics of real exchange rates : a reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011
While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving the process is largely build upon a priori economic belief rather than a thorough statistical modeling procedure. The two prevailing time series models, i.e. the exponential...
Persistent link: https://www.econbiz.de/10008908972
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Using Sentiment Surveys to Predict GDP Growth and Stock Returns
Guzman, Giselle - 2012
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10013110732