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Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations

Silvennoinen, Annastiina (contributor); … - 2005 - [Elektronische Ressource], Rev. October 2005

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The approach adopted here is based on the decomposition of the covariances into correlations and standard deviations. The time-varying conditional correlations change smoothly between two...

Persistent link: https://www.econbiz.de/10002570445

Numerical aspects of Bayesian VAR-modeling

Kadiyala, K. Rao; Karlsson, Sune - 1994

Persistent link: https://www.econbiz.de/10000885969

Does active portfolio management create value? : an evaluation of fund managers' decisions

Engström, Stefan (contributor) - 2004 - [Elektronische Ressource]

In this paper, I obtain new measures of the value of active portfolio management by forming replicating portfolios. These measures allow for a separate evaluation of fund managers' strategic and tactical decisions. I also obtain new evidence on the value of trading by decomposing it into...

Persistent link: https://www.econbiz.de/10001946175

Openness and the exchange rate exposure of national stock markets : a note

Friberg, Richard; Nydahl, Stefan - 1997

Persistent link: https://www.econbiz.de/10000971403

Rational bubbles and fractional alternatives

Eklund, Bruno; Nydahl, Stefan - 1998

Persistent link: https://www.econbiz.de/10000995305

Is momentum due to data-snooping?

Ericsson, Johan (contributor); … - 2003 - [Elektronische Ressource]

This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and … strong evidence of a momentum effect where an investor takes a long position on the winner portfolio and a short position on …:07 to 1981:12 and 1982:01 to 2002:12 we found that the best momentum strategy was profitable during the first period and not …

Persistent link: https://www.econbiz.de/10001883186

Investment strategies, fund performance and portfolio characteristics

Engström, Stefan (contributor) - 2004 - [Elektronische Ressource]

the characteristics of the portfolio. The results show that neither momentum characteristics nor the valuation of stocks … performance. -- Diversification ; Portfolio Evaluation ; Investment Strategies ; Momentum …

Persistent link: https://www.econbiz.de/10001946185

On seasonal error correction when the processes include different numbers of unit roots

Lyhagen, Johan (contributor); Löf, Mårten (contributor) - 2001 - [Elektronische Ressource], Rev. March 15, 2001

We propose a seasonal cointegration model [SECM] for quarterly data which includes variables with different numbers of unit roots and thus needs to be transformed in different ways in order to yield stationarity. A Monte Carlo simulation is carried out to investigate the consequences of...

Persistent link: https://www.econbiz.de/10001600047

Testing parameter constancy in stationary vector autoregressive models against continuous change

He, Changli (contributor); Teräsvirta, Timo (contributor); … - 2002 - [Elektronische Ressource], Rev. July 11, 2005

literature. An advantage here is that the asymptotic distribution theory is standard. The performance of the tests is compared to …

Persistent link: https://www.econbiz.de/10001693105

Common factors in conditional distributions

Granger, C. W. J. (contributor); … - 2002 - [Elektronische Ressource]

The concept of common factors has in the econometrics literature been applied to conditional means or in some cases to conditional variances. In this paper we generalize this concept to bivariate distributions. This is done using the conditional bivariate copula as the statistical tool. The...

Persistent link: https://www.econbiz.de/10001714617