Showing 1 - 10 of 10,264
Persistent link: https://www.econbiz.de/10009541728
Purpose – Since there is no agreement on the consistency of their estimates, the purpose of this paper is to investigate whether parametric stochastic frontier analysis (SFA) and nonparametric data envelopment analysis (DEA) generate consistent bank efficiency assessments....
Persistent link: https://www.econbiz.de/10010551610
This study attempts to determine the degree to which the state of the macroeconomy can be used to create a mutual fund investment strategy that consistently outperforms the S&P 500. By quantifying how systematic economic factors affect the relative performance of different fund strategies...
Persistent link: https://www.econbiz.de/10009474981
Using a log-linearized approximation to an aggregate budget constraint, it is possible to show that the ratio of consumption to total (human and non-human) wealth summarizes agents' expectations concerning both future labor income and future asset returns. In a series of recent papers, Lettau...
Persistent link: https://www.econbiz.de/10009475718
Includes bibliographical references (p. 17).
Persistent link: https://www.econbiz.de/10009477671
Includes bibliographical references (leaves 37-38)
Persistent link: https://www.econbiz.de/10009477813
The purpose of this paper is to propose a method for determining the time standard of items based on several characters, where part of them is quantitative and some of them are qualitative (dichotomic). The method of determining the time standard of an item is based on Multiple Linear Regression...
Persistent link: https://www.econbiz.de/10009478975
The modelling of stock market volatility is considered to be important for practitioners and academics in finance due to its use in forecasting aspects of future returns. The GARCH class models have now firmly established themselves as one of the foremost techniques for modelling volatility in...
Persistent link: https://www.econbiz.de/10009482134
We start from the assertion that a useful monetary policy design should be founded on more realistic assumptions about what policymakers can know at the time when policy decisions have to be made. Since the Taylor rule – if used as an operational device - implies a forward looking behaviour,...
Persistent link: https://www.econbiz.de/10010295657
A methodology is offered which can be used to construct an econometric model in the presence of structural change of an evolutionary type. The theoretical basis for such modelling is drawn from the self-organisation approach and operationalised in the context of the logistic diffusion growth...
Persistent link: https://www.econbiz.de/10009448572