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The Feldstein-Horioka puzzle and transition economies

Petreska, Despina; Mojsoska-Blazevski, Nikica - In: Economic annals 58 (2013) 197, pp. 23-45

Persistent link: https://www.econbiz.de/10010185863

Residual Grey Markov model for the developments of GDP, population and energy consumption in Iran

Mostafaei, Hamidreza; Kordnoori, Shaghayegh - In: Advances in management & applied economics 1 (2011) 2, pp. 93-105

Grey system theory can powerfully deal with incomplete and uncertain information. In this paper, we introduced an improved grey GM(1,1) model that integrates residual modification with Markov chain model. By this model, we improved the forecast accuracy of original grey forecast model and...

Persistent link: https://www.econbiz.de/10009958471

Hedge ratios for short and leveraged ETFs

Schubert, Leo - In: Atlantic review of economics 1 (2011), pp. 1-33

possibilities will be analysed in this paper. Short ETFs exist with different leverage factors. In Europe, the leverage factors 1 (e … simulation was used. The results show for example that higher leverage factors achieve higher profits as well as losses. In the …-traded funds (ETFs) ; mean-variance ; target-shortfall probability ; Monte Carlo simulation …

Persistent link: https://www.econbiz.de/10009958835

Posibles actuaciones económicas en la crisis actual a partir de las diferencias de opinión entre expertos

Lozano Gutiérrez, Maria Carmen; Fuentes Martín, Federico - In: Atlantic review of economics 1 (2011), pp. 1-20

In this paper is carry out an analysis of affinities in the perception on how to leave the crisis behind. For that we have considered the opinion of experts belonging to the politics, the economy, the company and the banking in order to gather those opinions and to look for likeness and...

Persistent link: https://www.econbiz.de/10009958837

Testing the profitablitiy of a volume-augmented momentum strategy in the Phillipines equity market

Shawn, Lim Kai Jie; Dawai, Darius Lim; Weijie, Mak; … - In: Journal of applied finance & banking 3 (2013) 1, pp. 1-12

This study contributes new empirical evidence on the profitability of a momentum strategy in the Philippines equity market. The study was conducted over the time period January 2000 to June 2012. We evaluated a momentum strategy based only on past return information as well as a strategy that...

Persistent link: https://www.econbiz.de/10010118438

Assessing and understanding the key risks in a PPP power station projects

Azar, Adel; Zangoueinezhad, Abouzar; Elahi, Shaban; … - In: Advances in management & applied economics 3 (2013) 1, pp. 11-33

This research was undertaken to develop a user-friendly, systematic management tool to understand and assess the key risks specific to PPP power station project with the ultimate goal of improving project performance. The study develops a conceptual risk assessment system (RAS) using combined...

Persistent link: https://www.econbiz.de/10010097687

Measurement of liquidity-adjusted market risk by VaR and expected shortfall : evidence from Turkish banks

Aktas, Cihan; Cortuk, Orcan; Teker, Suat; Yildirim, … - In: Journal of applied finance & banking 2 (2012) 5, pp. 137-147

Due to its known weaknesses Value at Risk (VaR) has been modified to have a better market risk measurement model. 2007-2008 global financial crisis has increased the necessity to incorporate market liquidity into widely used models. This is to raise the required regulatory capital for trading...

Persistent link: https://www.econbiz.de/10010058692

An estimation error corrected Sharpe ratio using bootstrap resampling

Skrepnek, Grant H.; Sahai, Ashok - In: Journal of applied finance & banking 1 (2011) 2, pp. 189-206

accompanying empirical simulation study indicated improved relative efficiency of point estimates and the coverage probability …

Persistent link: https://www.econbiz.de/10010009070

Spurious rejections by Dickey-Fuller tests in the presence of an endogenously determined break under the null

Badillo Amador, Rosa; Belaire Franch, Jorge; Reverte … - In: Revista de métodos cuantitativos para la economía y … 9 (2010), pp. 3-16

Leybourne et al. (1998) have proved the possibility of a `converse Perron phenomenon' when conventional Dickey-Fuller tests are applied to deter-mine the order of integration of a time series. That is, if the true generating process is I(1) but with a break, frequent spurious rejections of the...

Persistent link: https://www.econbiz.de/10009957378

El coste de los cuidados de larga duración en la población española : análisis comparativo entre los años 1999 y 2008

Alcañiz Zanón, Manuela; Alemany Leira, Ramón; … - In: Revista de métodos cuantitativos para la economía y … 12 (2011), pp. 111-131

This paper analyzes the cost of long-term care (LTC) associated to individuals in dependence situation. The economic cost of care per unit of service is linked to the expected time of needed care and the intensity of required services. We have estimated the expected lifetime cost of LTC in...

Persistent link: https://www.econbiz.de/10009957390

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