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Style Analysis in Real Estate Markets: Beyond the Sectors and Regions Dichotomy

Fuerst, Franz; Marcato, Gianluca - Henley Business School, University of Reading - 2009

While style analysis has been studied extensively in equity markets, applications of this valuable tool for measuring and benchmarking performance and risk in a real estate context are still relatively new. Most previous real estate studies on this topic have identified three investment...

Persistent link: https://www.econbiz.de/10005010004

Forecasting Volatility under Fractality, Regime-Switching, Long Memory and Student-t Innovations

Lux, Thomas; Morales-Arias, Leonardo - Institut für Weltwirtschaft (IfW) - 2009

-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models …

Persistent link: https://www.econbiz.de/10005011993

Modelling the Yield Curve: A Two Components Approach

Hatgioannides, John; Karanasos, Menelaos; Karanassou, Marika - School of Economics and Finance, Queen Mary - 2004

Using parametric return autocorrelation tests and non parametric variance ratio statistics show that the UK and US short-term interest rates are unit root processes with significant mean reverting components. Congruent with this empirical evidence, we develop a new continuous time term structure...

Persistent link: https://www.econbiz.de/10005106387

Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM

Isa, Md; Hassan, Abu; Puah, Chin-Hong; Yong, Ying-Kiu - Volkswirtschaftliche Fakultät, … - 2008

This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for the period of January 1995 to December 2006. The test, using linear regression method, was carried out on four models: the standard CAPM model with constant beta (Model I), the...

Persistent link: https://www.econbiz.de/10005031389

Identification, Analysis, Modeling and Prediction of Time Series Characterizing the Indicators of Asset Structure in the Credit Institutions Operating in Romania

CALINICA, Ramona Mariana; CALINICA, Daniel - In: Economics and Applied Informatics (2012) 2, pp. 89-96

This paper aims to accurately characterize the dynamics of the structural indicators of the assets in the credit institutions operating in Romania through an empirical mathematical model of dual function: regulation and control. The model can be used to predict the future evolution of the...

Persistent link: https://www.econbiz.de/10010625588

Adaptive Forecasting of Exchange Rates with Panel Data

Morales-Arias, Leonardo; Dross, Alexander - Finance Discipline Group, Business School - 2010

This article investigates the statistical and economic implications of adaptive forecasting of exchange rates with … rolling window and recursive forecasting schemes. The capabilities of single predictors and of adaptive techniques for … measures. The forward premium and a predictor based on a Taylor rule yield the most promising forecasting results out of the …

Persistent link: https://www.econbiz.de/10008800577

Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching

Lux, Thomas; Kaizoji, Taisei - 2006

-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …

Persistent link: https://www.econbiz.de/10010294979

Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models

Lux, Thomas; Kaizoji, Taisei - 2004

-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …

Persistent link: https://www.econbiz.de/10010295136

A systematic comparison of professional exchange rate forecasts with judgmental forecasts of novices: Are there substantial differences?

Schmidt, Robert; Leitner, Johannes - 2004

markets. We analyze the respective forecasting accuracy and our results indicate that there exist substantial differences …

Persistent link: https://www.econbiz.de/10010296526

Biases of professional exchange rate forecasts: Psychological explanations and an experimentally based comparison to novices

Leitner, Johannes; Schmidt, Robert; Bofinger, Peter - 2003

reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve … environment, we analyse the forecasting behaviour of students experimentally, using a simulated currency series. Our results … indicate that a topically oriented trend adjustment behaviour (TOTA) is a general characteristic of human forecasting behaviour …

Persistent link: https://www.econbiz.de/10010305737