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Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca

El Bouhadi, A.; Ounir, A.; El Maguiri, M. - 2008

In this paper, we try to build an efficient portfolio among four possible portfolios based on the some 31 Casablanca listed shares. Our analysis concerns the risk which arises from the Markowitz mean-variance approach. Our work method will be implemented as following: first of all, we will test...

Persistent link: https://www.econbiz.de/10015219831

Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil

Varga, Gyorgy - 2009

We apply and test term structure fitting models like polynomial splines, flat forward and Nelson-Siegel to the Brazilian local term structure. They are models used all over the world by authorities and financial markets practitioners but less known locally. These models were tested with a large...

Persistent link: https://www.econbiz.de/10015220451

Evaluating alternative methods for testing asset pricing models with historical data

Rubio, Gonzalo; Lozano, Martin - 2009

We follow the correct Jagannathan and Wang (2002) framework for comparing the estimates and specification tests of the classical Beta and Stochastic Discount Factor/Generalized Method of Moments (SDF/GMM) methods. We extend previous studies by considering not only single but also multifactor...

Persistent link: https://www.econbiz.de/10015222194

Evaluation du Risque d’un Echantillon de Valeurs Mobilières de la Bourse de Casablanca

Abderrazik, Amal; Boutkardine, Mehdi; El Bahi, Nour El Houda - 2008

The management of financial risks, which is a branch of financial theory, is defined as a process that begins with risk factors identification, continues with measurement of risk and concludes with the coverage of that risk. This work focuses on the second phase of management process, namely the...

Persistent link: https://www.econbiz.de/10015224909

The Mean Squared Prediction Error Paradox: A summary

Pincheira, Pablo; Hardy, Nicolas - 2020

This is a summary of the paper entitled : “The Mean Squared Prediction Error Paradox”. In that paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of...

Persistent link: https://www.econbiz.de/10015229363

Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate

Pincheira, Pablo; Jarsun, Nabil - 2020

This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

Persistent link: https://www.econbiz.de/10015229382

Using sentiment to predict GDP growth and stock returns

Guzman, Giselle C. - 2007

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10015233041

Conditional Market Timing in the Mutual Fund Industry

Tchamyou, Vanessa; Asongu, Simplice - 2017

responsiveness by fund managers to investigated factors (aggregate liquidity, information asymmetry, volatility and market excess … evidence of volatility and market return in market timing, with the slim exception of allocation funds for which the pattern of … volatility is either U- or S-shaped. Second, the effect of volatility and market return are consistently positive and negative …

Persistent link: https://www.econbiz.de/10015258235

Exploring the Driving Forces of the Bitcoin Exchange Rate Dynamics: An EGARCH Approach

Zhou, Siwen - 2018

volatility. In this paper, Bitcoin’s exchange rate movement from 2011 to 2018 and its relationship with the global ﬁnancial … driving the volatility of Bitcoin. Fourth, Bitcoin may be a hedge in times of calm ﬁnancial markets and a safe haven against … positive effect of the central bank’s announcements on Bitcoin is marginal enough to rule out the involvement of global …

Persistent link: https://www.econbiz.de/10015261812

Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile

Pincheira, Pablo; Neumann, Federico - 2018

We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...

Persistent link: https://www.econbiz.de/10015262273