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A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds

Alexander, Carol; Dimitriu, Anca - Henley Business School, University of Reading - 2004

We present a detailed study of portfolio optimisation based on cointegration, a statistical tool that here exploits a … properties of cointegration optimal equity portfolios with those of portfolios optimised on the tracking error variance. From an … eleven year out of sample performance analysis we find that for simple index tracking the additional feature of cointegration …

Persistent link: https://www.econbiz.de/10005146622

The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies

Alexandra, Carol; Dimitriu, Anca - Henley Business School, University of Reading - 2002

This paper presents two applications of cointegration based trading strategies: a classic index tracking strategy and a …, the portfolio optimisation is based on cointegration rather than correlation. The first strategy aims to replicate a … the applicability of the cointegration technique to asset allocation, pioneered by Lucas (1997) and Alexander (1999), and …

Persistent link: https://www.econbiz.de/10005357667

Abnormal Returns in Equity Markets : Evidence from a Dynamic Indexing Strategy

Alexander, Carol - 2003

dispersion and show that it is a leading indicator for the abnormal return, where their relationship is based on a switching …

Persistent link: https://www.econbiz.de/10012740122

Should Minimum Portfolio Sizes Be Prescribed for Achieving Sufficiently Well-Diversified Equity Portfolios?

Kryzanowski, Lawrence; Singh, Shishir - In: Frontiers in Finance and Economics 7 (2010) 2, pp. 1-37

This paper uses various (un)conditional metrics to measure the benefits of diversification to determine if a minimum portfolio size should be prescribed to achieve a naively but sufficiently well-diversified portfolio for various investment opportunity sets (un)differentiated by cross-listing...

Persistent link: https://www.econbiz.de/10009651154

Divergence and the price of uncertainty

Schneider, Paul; Trojani, Fabio - 2015 - This Version: November 23, 2015

Realized divergence gauges the distinct realized moments associated with time-varying uncertainty and is tradeable with divergence swaps engineered from delta-hedged option portfolios. Consistently with established notions of symmetry in arbitrage-free option markets, implied divergence...

Persistent link: https://www.econbiz.de/10011507861

Likelihood-based cointegration analysis in panels of vector error correction models

Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999

We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...

Persistent link: https://www.econbiz.de/10011302148

What drives housing prices down? Evidence from an international panel

Kholodilin, Konstantin Arkadievich; Menz, Jan-Oliver; … - 2007

In this study, we suggest an explanation for the alarmingly low growth rates of real housing prices in Canada and Germany in comparison to other OECD countries over 1975-2005. We show that the long-run development of housing markets is determined by real disposable per capita income, real...

Persistent link: https://www.econbiz.de/10010324252

Immobilienkrise?: Warum in Deutschland die Preise seit Jahren stagnieren

Kholodilin, Konstantin A.; Menz, Jan-Oliver; … - In: DIW Wochenbericht 75 (2008) 17, pp. 214-220

Die derzeitigen Turbulenzen auf den Immobilienmärkten in Ländern wie den USA und Spanien verstellen den Blick auf die längerfristige Entwicklung der realen Immobilienpreise. Während sie in den vergangenen Jahren in vielen westlichen Industrieländern deutlich anzogen, stagnieren sie...

Persistent link: https://www.econbiz.de/10011601808

The causal relationship between ICT and FDI

Gholami, Roghieh; Lee, Sang-Yong Tom; Heshmati, Almas - 2005

This paper investigates the simultaneous causal relationship between investments in information and communication technology (ICT) and flows of foreign direct investment (FDI), with reference to its implications on economic growth. For the empirical analysis we use data from 23 major countries...

Persistent link: https://www.econbiz.de/10010284809

The causal relationship between remittances and poverty reduction in developing country : using a non-stationary dynamic panel data

Gaaliche, Makram; Zayati, Montassar - In: Atlantic review of economics : AROE 1 (2014)

emerging and developing countries over the period 1980 - 2012. We proposed a cointegration analysis, using the method of non …

Persistent link: https://www.econbiz.de/10010385765

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