Showing 261 - 270 of 2,543
I derive a generalized version of the fundamental law of active management under some weak conditions. I show that the original fundamental law of Grinold and various extensions are special cases of the result presented in this paper. I also show that cross-sectional ICs are usually different...
Persistent link: https://www.econbiz.de/10013133409
In this paper the out-of-sample prediction of Value-at-Risk by means of models accounting for higher moment dynamics is studied. We consider models differing in terms of skewness and urtosis and, in particular, the GARCHDSK model, which allows for dynamic skewness and kurtosis. The issue of VaR...
Persistent link: https://www.econbiz.de/10013134556
In this work, we try to analyze the recent credit development in 11 Central and Eastern European countries and estimate the credit-to-GDP ratio equilibrium level using filtering methods and dynamic panel estimations. Our estimation findings corroborate previous fears about the rapid credit...
Persistent link: https://www.econbiz.de/10013134687
The main purpose of the paper is to contribute to the empirical works relating to exchange rate pass-through. Indeed, we revisit the Taylor (2000) proposition for some developing countries in order to examine the decline in their pass-through coefficients, and to find possible explanations for...
Persistent link: https://www.econbiz.de/10013138004
Actual portfolios contain fewer stocks than are implied by standard financial analysis that balances the costs of diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about downside risk and recognizes the heavy tail...
Persistent link: https://www.econbiz.de/10013138700
In this paper, we develop a modified maximum likelihood (MML) estimator for the multiple linear regression model with underlying student t distribution. We obtain the closed form of the estimators, derive the asymptotic properties, and demonstrate that the MML estimator is more appropriate for...
Persistent link: https://www.econbiz.de/10013139406
I examine the relative information roles among West Texas Intermediate spot crude price and four futures contracts (F1 through F4) with different maturities. Using a cointegrated system with a non-unitary cointegrating vector, I address price discovery by investigating which price is more...
Persistent link: https://www.econbiz.de/10013114634
Long term contracts increase the hazard of ex post maladaptation, creating demand for processes that enable adaptation over the course of long-term exchange. Enabling adaptation, however, may diminish the effectiveness of the long-term contracts, designed as prima facie hold-up remedies....
Persistent link: https://www.econbiz.de/10013116369
I extend Yan and Zivot (2007)'s dynamic measure of price discovery based on impulse response functions of structural shocks to a trivariate model with two common trends. To investigate price discovery for 7 Canadian firms cross-border listed in the Toronto Stock Exchange Market (TSX) and the New...
Persistent link: https://www.econbiz.de/10013116403