This paper investigates the dynamic interdependence of the Australian financial futures markets. We develop a multivariate EGARCH model to investigate linkages and stochastic volatility interactions between the 10-year Treasury bond, 90-day bank-accepted bill, and the All Ordinaries share price...

This paper examines the volatility timing of US mutual funds by controlling the false discovery rate to find out how many funds are truly countercyclical (procyclical) timing funds. Empirical results show that, given the whole universe of our sample funds, the percentages of countercyclical and...

How does the optimal risk exposure of assets change as their investment horizons increase? Does this impact investment portfolio decision-making, in particular, optimal asset allocation between value and growth strategies over various investment horizons? This paper adopts a new approach to...

A new approach is proposed for analysing portfolio allocation over various time scales. This new approach is based on wavelet analysis, which decomposes a given time series on a scale-by-scale basis. Empirical results indicate that, as the investment horizon lengthens, a greater weighting should...

This book offers an introduction to wavelet theory and provides the essence of wavelet analysis ¡ª including Fourier analysis and spectral analysis; the maximum overlap discrete wavelet transform; wavelet variance, covariance, and correlation ¡ª in a unified and friendly manner. It aims to...

This paper examines the impact of both socially responsible (SR) and conventional entrant funds on SR incumbent funds using an overlap in portfolio holdings to measure the impact of competition in the US mutual fund industry. This paper’s findings indicate that over the past decade the...

Many empirical studies find that financial variables possess a predictive power over real economic activity. To examine this relationship, we adopt two time-series techniques: spectral analysis and a newly developed method, wavelet analysis. The major innovation of this paper is to apply wavelet...