Currency crises are a recurring phenomenon. To increase the understanding of their changing nature, this paper analyses the evolution of currency crises and assesses them in the generation framework of theoretical models. The self-organising map (SOM), a neural network-based clustering and...

This study examines return and risk properties arising from the construction of fund of funds (FoF) portfolios utilising actively managed Greek equity mutual funds. The evidence documents that while average return remains constant as the number of funds included in the FoF increases, risk is...

Latent variable modelling is used widely in applications to economics, social and behavioural sciences. Since the normality-based model fitting procedures are simple and broadly available, and since such procedures are often applied to non-normal data or non-random samples, it is important to...

This paper tests whether the econometric model of Boswijk et al. (2007) (BHM07) adequately identifies strategy switching behaviour by using computational data from a different model, in particular the model Friedman and Abraham (2009) (FA09). The purpose of using computational data based on an...

This paper discusses the numerical solution of the coupled algebraic Riccati equations associated with the linear quadratic differential games. The Lyapunov iteration for solving the considered coupled equations is discussed by Li and Gajic (1994). We modify this iteration and derive the new...

Monte Carlo methods are used to study the size and the power of three versions of the Jarque and Bera Lagrangian multiplier test for normality, JB(g<SUB align="right"><SMALL>1</SMALL></SUB>, g<SUB align="right"><SMALL>2</SMALL></SUB>), JB(b<SUB align="right"><SMALL>1</SMALL></SUB>, b<SUB align="right"><SMALL>2</SMALL></SUB>) and, finally, JB(k<SUB align="right"><SMALL>1</SMALL></SUB>, k<SUB align="right"><SMALL>2</SMALL></SUB>). The difference between these tests comes from the different definitions (estimates) of sample skewness...</small></sub></small></sub></small></sub></small></sub></small></sub></small></sub>

A portfolio optimisation problem on an infinite time horizon is considered. Risky asset price obeys a logarithmic Brownian motion, and the interest rate varies according to a Markov diffusion process. This paper obtains an investment strategy considering one stock, one bond where the risk-free...

The debate about exploring the drivers of pollution, material consumption and energy use has centred on estimating environmental Kuznet curves for countries in a time series, cross-sectional or panel analysis. Very often, evidence is mixed since especially institutional frameworks, market...