This paper provides a comprehensive survey of the econometrics of mean-variance efficiency tests. Starting with the classic F test of Gibbons, Ross and Shanken (1989) and its generalised method of moments version, I analyse the effects of the number of assets and portfolio composition on test...

Companies in the S&P 500 produce quarterly financial statements that are closely studied by investors who forecast the stock market performance of those companies. This paper describes a Neural Logic Network (NLN) for predicting stock market returns based on financial ratios from financial...

Companies in the S&P 500 produce quarterly financial statements that are closely studied by investors who forecast the stock market performance of those companies. This paper describes a Neural Logic Network (NLN) for predicting stock market returns based on financial ratios from financial...

This paper analyses returns and volatility on the Namibian and South African stock markets. We use daily closing indices of the Namibian Stock Exchange (NSX) and the Johannesburg Stock Exchange (JSE). The sample covers the period from January 4, 1999 to March 20, 2003. Our methodology has three...

We derive computationally simple score tests of serial correlation in the levels and squares of common and idiosyncratic factors in static factor models. The implicit orthogonality conditions resemble the orthogonality conditions of models with observed factors but the weighting matrices refl...

We provide numerically reliable analytical expressions for the score of conditionally heteroskedastic dynamic regression models when the conditional distribution is multivariate $t$. We also derive one-sided and 2-sided LM tests for multivariate normality versus multivariate $t$ based on the...

This paper examines the problem of evaluating the presence of asymmetry in the marginal distribution of financial returns by means of a suitable statistical test. After a brief description of existing tests, a bootstrap procedure is proposed. A Monte Carlo study showed that this test works...

This thesis consists of an introduction and four papers exploring various aspects of the Namibian economy. These aspects cover shadow pricing, environmental valuation and capital market development in Namibia. Paper I estimates the shadow prices of capital, labour and foreign exchange for the...

In this paper, the problem of calculating covariances and correlations between time series which are observed irregularly and at different points in time, is treated. The problem of dependence between the time stamp process and the return process is especially highlighted and the solution to...

The univariate Normal Inverse Gaussian (NIG) distribution is found useful for modelling financial return data exhibiting skewness and fat tails. Multivariate versions exists, but may be impractical to implement in finance. This work explores some possibilities with links to the mixing...