Econometrics is a mixed discipline that requires different degrees of introductory knowledge related to probability, probability distributions, statistics, mathematical economics, calculus, and matrix algebra. For example, random variables are described by probability distributions such as the...

Econometrics is a mixed discipline that requires different degrees of introductory knowledge related to probability, probability distributions, statistics, mathematical economics, calculus, and matrix algebra. For example, random variables are described by probability distributions such as the...

From the standpoint of both the academic researcher and the investment practitioner, it is crucial to be able to identify which factors best capture stock return variation and specifically the discount variation. As a result, there has been a proliferation of research that attempts to identify...

In this article, we have tested the volatility of the returns of the spot exchange rate of EURO/USD, the returns of a real exchange rate index and the money supply, (M1), for changing conditional variances. Autoregressive Conditional Heteroskedastic models (ARCH), Generalized Autoregressive...

In this article, we have tested a linear Gaussian state space model and the kalman filter in testing ARMA(2,3) models of the natural logarithmic monthly market returns of the US 1838 bond debenture closed-end fund. The aim is to estimate expectations that arises from the interaction of...

In this article, we have applied an autoregressive moving average, ARMA(2,2) model of order AR(1), AR(2), MA(1), MA(2) and SMA(12) to test the natural logarithmic monthly market returns of the of the closed – end funds of major investment banks such as Van Kampen income trust, Aberden Asia...

The bubble theory is controversial to the efficient market hypothesis. According to the efficient market hypothesis there is no asset mispricing. All information is incorporated into the asset prices and there are no deviations from the fundamental value. The NAV price of the closed-end funds...

This article provides a detailed analysis of performance persistence using data from Datastream for UK Investment Trusts. We tested for performance persistence by applying a rolling methodology for short-term period of one to three years and of longer horizons over five years. By applying Fama...