I derive a generalized version of the fundamental law of active management under some weak conditions. I show that the original fundamental law of Grinold and various extensions are special cases of the result presented in this paper. I also show that cross-sectional ICs are usually different...

The paper consists of two parts devoted to the cause-effect dynamic models. In each part of the deterministic properties of the dynamic version of the model are presented. Thus, each of the considered dynamic models can be presented in the form of an equivalent for it the switching trend....

In this papaer, we put DSGE forecasts in competition with factor forecasts. We focus on these two models since they represent nicely the two opposing forecasting philosophies. The DSGE model on the one hand has a strong theoretical economic background; the factor model on the other hand is mainly...

To enrich the debate about the effectiveness of sovereign wealth funds, this paper explores the relationship between real government spending and real oil export revenues for a sample of six countries. This exploration uses an econometric analysis based on time-series data and its purpose is to...

This paper introduces a general class of combined neural network-GARCH models suitable to financial time series analysis. We put special emphasis on designing a full model-building cycle for this class of models that includes all stages of econometric modelling (specification, estimation and...

Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various tests on their properties. Then we use the class of...

In econometrics, long memory models for variance modeling like FIGARCH or FIAPARCH are characterized by a Fractional Differencing term. In order to estimate and apply these models, the infinite MacLaurin expansion of the differencing term has to be truncated at a certain level. We transfer the...

This paper systematically studies the use of mixed-frequency data sets and suggests that the use of high frequency data in forecasting economic aggregates can improve forecast accuracy. The best way of using this information is to build a single model, for example, an ARMA model with missing...