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South African asset classes : return and volatility relationship dynamics over time

Pask, Adriaan Eckhardt - 2008

This dissertation is based on the hypothesis that a third dimension, namely investmenttime horizon, can add value to the more conventional two-dimensional methodologyof assessing the relative risk and return attributes of various assets and portfolios inorder to enhance investment decisions.This...

Persistent link: https://www.econbiz.de/10009457807

Risk assessment of generation investment

Su, J; Wu, FF - 2005

This paper proposes an improved approach to risk assessment of generation investment in the new deregulated environment using the option pricing theory. A more realistic model for electricity price in the application of real option pricing method for generation asset valuation is proposed, which...

Persistent link: https://www.econbiz.de/10009471372

Mean reversion in annual earnings and its implications for security valuation

Lipe, Robert; Kormendi, Roger C. - 1994

as the estimation order increases, revealing 40 percent less long-horizon persistence than expected under the commonly …

Persistent link: https://www.econbiz.de/10009477487

Profit Margin Hedging

Kim, Hyun Seok; Brorsen, B. Wade; Anderson, Kim B. - 2007

Some extension economists and others often recommend profit margin hedging in choosing thetiming of crop sales. This paper determines producer’s utility function and price processeswhere profit margin hedging is optimal. Profit margin hedging is shown to be an optimalstrategy under a highly...

Persistent link: https://www.econbiz.de/10009443336

An Empirical Study of the Chinese Short-Term Interest Rate: A Comparison of the Predictive Power of Rival One-Factor Models

Xu, Hai Yan; Ward, Bert D.; Nartea, Gilbert V. - 2007

This paper uses the one-factor models proposed by Chan, Karolyi, Longstaff and Sanders (CKLS, 1992) to study the short-term interest rate in China. Nine stochastic models of the short-term interest rate were estimated with GMM. For the Chinese one-month inter bank loan rate, the research finds...

Persistent link: https://www.econbiz.de/10009444771

Can Multiyear Rollover Hedging Increase Mean Returns?

Yoon, Byung-Sam; Brorsen, B. Wade - 2005

Both market advisors and researchers have often suggested multiyear rollover hedging as a way to increase producer returns. This study determines whether rollover hedging can increase expected returns for producers. For rollover hedging to increase expected returns, futures prices must follow a...

Persistent link: https://www.econbiz.de/10009445662

On the estimation and comparison of short-rate models using the generalised method of moments

Faff, R.; Gray, P. - 2006

moments (GMM) has been a popular technique for estimation and inference relating to continuous-time models of the short …-rate specifications. The current paper conducts a series of simulation experiments to document the bias and precision of GMM estimates of … in differentiating between competing short-rate specifications, is estimated with little bias. (c) 2006 Elsevier B.V. All …

Persistent link: https://www.econbiz.de/10009448412

The elasticity of taxable income in Spain: 1999-2014

Almunia, Miguel; López Rodríguez, David - 2019

one. Our estimates are similar across a variety of estimation methods and sample restrictions, and also robust to …

Persistent link: https://www.econbiz.de/10012533084

Nonlinear mixed modeling of basal area growth for shortleaf pine.

Budhathoki, Chakra B.; Lynch, Thomas B.; Guldin, James M. - 2008

Mixed model estimation methods were used to fit individual-tree basal area growth models to tree and stand … heterogeneous errors, the effects of which could be corrected by using a variance function in the estimation process. The revised …

Persistent link: https://www.econbiz.de/10009429425

<<A>> software framework for data based analysis

Krätzig, Markus - 2005

, insbesondere der Zeitreihenanalyse liegt. Das Konzept besteht darin, sämtliche wiederkehrenden Aufgaben mit Hilfe von Java …

Persistent link: https://www.econbiz.de/10009467166