In this article, we test performance persistence and measure the historical, the implied volatility, the credit spread volatility and the value at risk,VaR, of the credit derivatives swaptions contracts. We examine contracts of US leveraged loans, mortgage backed securities, high grade corporate...

In this article, we examine performance persistence and the implied volatility smile of the commodity options contracts. We examine contracts of wheat, corn, live cattle, soybean oil, and lean hog. Hedge funds use options and futures in terms of commodities to hedge market risk. We compare the...

In this article, we test performance persistence and volatility fluctuations of the prices of the treasury note futures contracts based on the US term structure of interest rates. The sample investigated is over the period 2010 to 2020. We test 50 Treasury note futures commodity trading...

Matrix algebra was covered in the linear regression, multiple regression section and simultaneous equations models. I use simple EViews 6 and matrix algebra examples to facilitate your learning experience and increase your enjoyment. Econometrics is basically related to economic measurement. It...

This article examined the performance persistence of 12083 open-end funds using a large survivorship bias-free sample from Wiesenberger InvestmentView. The methodology that we have used is contingency tables. In order to examine performance persistence we rank the returns of funds over the...

A population of 2419 US variable life funds was used to test performance persistence in different time periods. The data was obtained from Wiesenberger InvestmentView database. We bootstrapped the monthly returns over successive years over the whole period starting from 01/01/2010 to 01/01/2020....

We check for performance persistence of variable annuities funds in terms of both market price returns and net asset value average returns in each category. In addition, we use regression models to test market timing ability. We use the entire population of 15534 variable annuities funds over...

This article examines performance persistence using a sample of 15534 US variable annuities funds from the period 2010 to 2020. This is the first study that examines US variable annuities attached to mutual funds that are composed from stocks, bonds, and cash. Performance persistence in the...

In this article, we examine performance persistence and the implied volatility smile of the Nasdaq OMX Copenhagen 25 stock index options from the period 2010 to 2020. This is the first study that provides a detailed analysis of performance persistence using data from the nasdaqomxnordic website....

This article examines performance persistence of the S&P 500 stock index options from the period 2010 to 2022. Performance persistence in the investment literature was a major area of investigation for academics, investors and practitioners for more than 3 decades. This is the first study that...