Showing 1 - 10 of 356
The purpose of this research is to fill the gaps in the literature by providing a comprehensive study on how to utilize and improve the performance of the receding horizontal control and stochastic programming (RHCSP) method pertaining to the oil and currency markets
Persistent link: https://www.econbiz.de/10012996019
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
COVID-19 pandemic has had a devastating impact on the global economy. In this paper, we use Phillips curve to compare and analyze the macroeconomics of three different countries with distinct income levels, namely, lower-middle (Nigeria), upper-middle (South Africa), and high (Canada) income. We...
Persistent link: https://www.econbiz.de/10013309309
In this paper we analyze spot prices and futures quotation data to get inference under both the historical and the risk neutral measure in a commodity crude oil market (data are referred to WTI index which tracks the crude oil barrel price on NYMEX market).While big part of research and...
Persistent link: https://www.econbiz.de/10013027655
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
Statistical analysis provides a risk assessment of nuclear safety based on historical data. We use classical probabilistic models from risk theory to analyze data on nuclear power accidents from 1952 to 2011. Findings are that the severities of nuclear power accidents should be modeled with an...
Persistent link: https://www.econbiz.de/10014177951
Momentum is widely accepted among academic researchers as one of the strongest return generating factors, yet it remains largely unknown by the investing public. This paper explores that dichotomy by examining momentum from a practical point of view. Using exchange traded fund data from 2002...
Persistent link: https://www.econbiz.de/10014182442
Conventional economic wisdom predicts that free and competitive international trade should cause economies GDP to converge over the long run. Empirical evidence of sixteen developed countries suggests that the countries did converge in terms of labour productivity over the period of 1870 to...
Persistent link: https://www.econbiz.de/10014198814
This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...
Persistent link: https://www.econbiz.de/10014219481
Do political regime and freedom have a significant effect on economic growth? This paper tries to maintain differences in three political regimes viz. autocracies, bureaucracies and democracies and examines whether these regimes have different features overall and within specific continents in...
Persistent link: https://www.econbiz.de/10014222347