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Decomposing the U.S. external returns differential

Curcuru, Stephanie; Dvorak, Tomas; Warnock, Francis E. - Federal Reserve Board (Board of Governors of the … - 2009

We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...

Persistent link: https://www.econbiz.de/10008615669

Bayesian analysis of stochastic volatility models with Lévy jumps: application to risk analysis

Szerszen, Pawel J. - Federal Reserve Board (Board of Governors of the … - 2009

In this paper I analyze a broad class of continuous-time jump diffusion models of asset returns. In the models, stochastic volatility can arise either from a diffusion part, or a jump part, or both. The jump component includes either compound Poisson or Lévy alpha-stable jumps. To be able to...

Persistent link: https://www.econbiz.de/10008616968

Volatility Spillovers, Asymmetry and Extreme Events in Securitized Real Estate Returns

HOESLI, Martin; REKA, Kustrim

The aim of this study is to analyze the market contagion in U.S., U.K. and Australian securitized real estate markets. First, a national analysis is realized in order to evaluate the impact of the broader domestic stock market on the real estate stock market. Second, the linkages between the...

Persistent link: https://www.econbiz.de/10008922919

Financial Transactions Taxes

Shome, Parthasarathi - eSocialSciences - 2011

taxes (FTT). It includes examples of FTT in the wider context, for example, on stocks and derivatives, currency transactions …

Persistent link: https://www.econbiz.de/10009002246

The capitalization of the accounting information in the process of stocks analyse

ciumag, anca - Volkswirtschaftliche Fakultät, … - 2009

information, able to give in a synthetic manner the image of funds immobilizations in stocks for production and for sale, and in …

Persistent link: https://www.econbiz.de/10009025314

Estimation of the interdependence of time series of stocks prices based on copula

Bronshtein, Bronshtein , Efim; Prokudina, Elena; … - In: Applied Econometrics 22 (2011) 2, pp. 22-31

The relationships in the stock markets, the impact on them of the structural changes in the economy, the ability to adequately forecast for a certain period are investigated. The analysis of the interdependence of stock prices by using copula functions is carried out. The statistical estimations...

Persistent link: https://www.econbiz.de/10009131079

En 2009, repli du patrimoine économique national pour la deuxième année consécutive.

COULEAUD, N.; DELAMARRE, F. - In: Bulletin de la Banque de France (2010) 181, pp. 1-10

En 2009, la valeur du patrimoine économique national diminue pour la deuxième année consécutive, mais à un rythme plus modéré qu’en 2008. Le redressement du patrimoine financier net compense pour partie la baisse plus prononcée du patrimoine non financier, essentiellement due au repli...

Persistent link: https://www.econbiz.de/10009207468

ESTRUTURAÇÃO DE UM ÍNDICE DE PREÇOS DE AÇÕES DO AGRONEGÓCIO BRASILEIRO LISTADAS NA BOVESPA

Souza, Waldemar Antonio da Rocha; Silva, Rodolfo Margato; … - Sociedade Brasileira de Economia e Sociologia Rural - SOBER - 2008

with Brazilian agribusiness, specifically the stocks of this sector open companies traded in the São Paulo Stock Exchange … instruments. Based upon the price index methodology, a selected sample of ten agribusiness stocks chosen by decreasing liquidity …

Persistent link: https://www.econbiz.de/10009220394

Importing financial data

Dicle, Mehmet F.; Levendis, John - In: Stata Journal 11 (2011) 4, pp. 620-626

In this article, we describe two commands - fetchyahooquotes and fetchyahookeystats - that import historical financial data and key current finan- cial statistics from Yahoo! Finance.

Persistent link: https://www.econbiz.de/10009391669

Enhancement of value portfolio performance using data envelopment analysis

Pätäri, Eero J.; Leivo, Timo H.; Honkapuro, J.V. Samuli - In: Studies in Economics and Finance 27 (2010) August, pp. 223-246

of Finnish non-financial stocks based on their DEA scale efficiency scores. The performance of portfolios is evaluated on … using longer reformation intervals. Research limitations/implications – The sample of stocks is not large in spite of its … methodology in cases in which the number of stocks in the sample is large. Originality/value – This paper is the first attempt to …

Persistent link: https://www.econbiz.de/10009392938