This thesis investigates whether estimating the inputs of the Markowitz (1952) Mean-Variance framework using various econometric techniques leads to improved optimalportfolio allocations at the country, sector and stock levels over a number of timeperiods. We build upon previous work by using...

In addition to containing stable information to explain inflation, state-local expenditures also have a larger share of the forecast error variance of US inflation than the federal funds rate. Non-defense federal expenditures are useful in predicting real output variations and, starting from the...

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...