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Investors' behavior in alternative asset classes

Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: Spoudai : journal of economics and business 72 (2022) 3/4, pp. 3-55

We investigate whether alternative asset classes should be included in optimal portfolios of the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We develop a stochastic spanning...

Persistent link: https://www.econbiz.de/10014246136

Chapter 52. The Bootstrap

Horowitz, Joel L. - In: Handbook of econometrics : volume 5, (pp. 3159-3228). 2001

The bootstrap is a method for estimating the distribution of an estimator or test statistic by resampling one’s data or … a model estimated from the data. Under conditions that hold in a wide variety of econometric applications, the bootstrap … reductions in the differences between true and nominal coverage or rejection probabilities can be very large. The bootstrap is a …

Persistent link: https://www.econbiz.de/10014024988

On testing for nonlinearity in multivariate time series

Psaradakis, Zacharias; Vávra, Marián - In: Economics Letters 125 (2014) 1, pp. 1-4

This paper considers a multivariate extension of the test for neglected nonlinearity proposed by Tsay (1986) that uses principal components to overcome the problem of dimensionality that is common with tests of this type. Monte Carlo experiments reveal that the modified multivariate test...

Persistent link: https://www.econbiz.de/10011041605

Ajuste recursivo con transformaciones invariantes y bootstrapping: El caso de una caminata aleatoria con intercepto

Alanez, Eddy Lizarazu; Alva, Jose A. Villasenor - In: EconoQuantum, Revista de Economia y Negocios 7 (2010) 1, pp. 97-119

de una tendencia lineal, entonces la prueba bootstrap parametrica es la mejor en terminos de la potencia estadistica. Sin …

Persistent link: https://www.econbiz.de/10010631508

Time-spectral density and wavelets approaches. Comparative study. Applications to SP500 returns and US GDP

Ahamada, Ibrahim; Jolivaldt, Philippe - In: Economic Modelling 31 (2013) C, pp. 460-466

Various forms of instability can be observed in macroeconomic and financial data including changes in variance, changes in cycle properties, or both. Traditional tests do not allow to distinguish between these different cases. This paper proposes and compares two alternative approaches. The...

Persistent link: https://www.econbiz.de/10010636253

Trend und Zyklus im Bruttoinlandsprodukt der Bundesrepublik Deutschland - Eine Anmerkung

Meier, Carsten-Patrick - In: Journal of Economics and Statistics (Jahrbuecher fuer … 221 (2001) 2, pp. 168-178

This note shows that German real GDP follows a trendstationary process. Both tests which have trendstationarity as the alternative hypothesis as well as tests that have it under the null hypothesis prefer the trendstationary model. Explicit consideration of breaks in the trend is not necessary...

Persistent link: https://www.econbiz.de/10008633364

Borrowing alternatives for households in Lithuania : current situation, trends and challenges

Taujanskaitė, Kamilė; Karklytė, Ieva - In: Business, mangagement and economics engineering : BMEE 19 (2021) 2, pp. 389-411

Purpose - to analyse the main borrowing alternatives available to Lithuanian households and the credit market as a whole, focusing on its peer-to-peer (P2P) segment, the forecast of its growth, and possible challenges. Research methodology - the research methods applied were scientific...

Persistent link: https://www.econbiz.de/10013348705

Inflation and Budget Deficit: What is the Relationship in Portugal?

Rosa, Agostinho S. - In: Economia 12 (2011) 2, pp. 215-237

The main causes of Portuguese inflation, based on annual data from 1954 to 1995, using the Johansen method, allows us to conclude that variation in Portuguese inflation is determined essentially by foreign inflation and by variation in the effective exchange rate of the Portuguese Escudo (PTE)....

Persistent link: https://www.econbiz.de/10009319475

A semiparametric assessment of export-led growth in the Philippines

Amrinto, Lorna E.; Zapata, Hector O. - In: Philippine Review of Economics 43 (2006) 2, pp. 1-22

The export-led growth (ELG) hypothesis for the Philippines is examined by adopting a semiparametric approach under two levels of temporal aggregation. To assess the impact of model specification on the ELG hypothesis, parametric and semiparametric error-correction models (ECMs) are estimated...

Persistent link: https://www.econbiz.de/10008672428

Integrated modified OLS estimation and fixed-b inference for cointegrating regressions

Vogelsang, Timothy J.; Wagner, Martin - In: Journal of Econometrics 178 (2014) 2, pp. 741-760

This paper is concerned with parameter estimation and inference in a cointegrating regression, where as usual endogenous regressors as well as serially correlated errors are considered. We propose a simple, new estimation method based on an augmented partial sum (integration) transformation of...

Persistent link: https://www.econbiz.de/10010730144