In this paper, we construct a Bayesian vector autoregressive model to forecast the industrial employment figures of the Southern California economy. The model includes both national and state variables. The root mean squared error (RMSE) and the Theil's U statistics are used in selecting the...

Purpose Investors’ fear can be rational, emanating from the natural dynamics of economic fundamentals, or it can be quasi rational and not attributable to any known risk factors. Using VIX from Chicago Board Options Exchange as a proxy for investors’ fear, the purpose of this paper is to...

Purpose The purpose of this paper is to investigate to what extent hedge funds are subject to irrationality in their investment decisions. The authors advance the hypothesis that irrational behavior affects hedge fund returns despite their sophistication and active management style....