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The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...
Persistent link: https://www.econbiz.de/10015239466
The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...
Persistent link: https://www.econbiz.de/10015239524
In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...
Persistent link: https://www.econbiz.de/10015265738
Supply-leading theory predicts that the financial sector development precedes economic development while demand …-following theory believes that the economy should develop, then the financial sector follows. This study exploits the financial sector …
Persistent link: https://www.econbiz.de/10015270968
variables. I discuss several estimation strategies and implement a Bayesian Markov Chain Monte Carlo (MCMC) algorithm. …
Persistent link: https://www.econbiz.de/10015240142
This article assesses the communication of the European Central Bank (ECB) using Natural Language Processing (NLP) techniques. We show the evolution of discourse over time and capture the main themes of interest for the central bank that go beyond its traditional mandate of maintaining price...
Persistent link: https://www.econbiz.de/10015249152
We propose a short review between two alternative ways of modeling stability and change of longitudinal data when time-fixed and time-varying covariates referred to the observed individuals are available. They both build on the foundation of the finite mixture models and are commonly applied in...
Persistent link: https://www.econbiz.de/10015252821
In this paper we propose Cluster Evolution Analytics (CEA) as a framework that can be considered in the realm of Advanced Exploratory Data Analysis or unsupervised learning. CEA leverages on the temporal component of panel data and it is based on combining two techniques that are usually not...
Persistent link: https://www.econbiz.de/10015213150
This paper builds on a simple unified representation of shrinkage Bayes estimators based on hierarchical Normal-Gamma priors. Various popular penalized least squares estimators for shrinkage and selection in regression models can be recovered using this single hierarchical Bayes formulation....
Persistent link: https://www.econbiz.de/10015226607
We propose a broad class of count time series models, the mixed Poisson integer-valued stochastic intensity models. The proposed specification encompasses a wide range of conditional distributions of counts. We study its probabilistic structure and design Markov chain Monte Carlo algorithms for...
Persistent link: https://www.econbiz.de/10015231562