1,721,057 research outputs found
International transmission of stock mean and volatility: an empirical comparison between friends vs foes
No full textThe long memory of the forward premium: evidence from European foreign exchange during the 1920s float
No full textThis paper investigates the fractional dynamics of European foreign exchange forward premium during the floating period of the 1921-25. The two different fractional integration tests applied provide ample evidence of long memory in the 1920s forward premium
Short-Run Derivations and Optimal Hedge Ratio: Evidence from Stock Futures
No full textThis paper investigates the effects of the long-run relationship between stock cash index and futures index on the hedging effectiveness of six stock futures markets. Effectiveness of five different hedging ratios depending on different estimation procedures is investigated. The unhedged, the traditional hedge and the minimum variance hedge ratios are all constant while the bivariate GARCH and GARCH-X hedge ratios are time varying. The effectiveness of the hedge ratio is compared by investigating the total sample and the out-of-sample performance of the five ratios. The total sample period consists of daily returns from January 1990 to December 1999. Two out-of-sample periods used are from January 1998 to December 1999 (2 years) and from January 1999 to December 1999 (1 year). Results show that the time-varying hedge ratio outperforms the constant hedge ratio
Time-varying hedge ratios and GARCH models: evidence from the agricultural futures market
No full textForecasting the weekly time-varying beta of UK firms: comparison between GARCH models vs Kalman filter method
No full textTime-varying beta and the asian financial crisis: evidence from the asian industrial sectors.
No full textArtificial Neural Network and high frequency exchange rate prediction
No full textThis paper shows that the Artificial Neural Network (ANN) model does a good job in predicting very high frequency return in the currency market. The previous bid and ask prices are significant factors in the predictions
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
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