1,721,010 research outputs found
Multivariate GARCH Models and Black-Litterman Approach for Tracking Error Constrained Portfolios: An Empirical Analysis
No full textIn a typical tactical asset allocation setup, managers generally make
their choices with the aim of beating a benchmark portfolio. In this context, the pure Markowitz (1959) strategy does not take two aspects into account: asset returns often show changes in volatility and managers’ decisions depend on private information. This paper provides an empirical model for large-scale tactical asset allocation with multivariate GARCH estimates, given a tracking error constraint. Moreover, the Black and Litterman (1991) approach makes it possible to tactically manage the selected portfolio by combining information taken from the time-varying volatility model with some personal ‘views’ about asset returns
Multivariate GARCH Models and Black-Litterman Approach for Tracking Error Constrained Portfolios: An Empirical Analysis
No full textDipartimento di Economia, Università Politecnica delle March
GARCH Multivariati e Approccio di Black-Litterman nell’Asset Allocation Tattica: Un’Analisi Empirica
No full textDipartimento di Economia, Università Politecnica delle March
Elementi di Statistica per l'Econometria
No full textMonografia dedicata ai principali temi di inferenza statistica utili per la conoscenza e l'apprendimento dell'econometri
Does the Cash Conversion Cycle Affect Firm Profitability? Some Empirical Evidence from Listed Firms in North Macedonia
Full text linkThis study aims to investigate the potential relationship between the cash conversion cycle (CCC) and firm profitability for the period from 2011 to 2019. To do this, a fixed effects panel regression model is applied to a sample of firms listed on the Macedonian Stock Exchange.
Firm profitability is measured by the return on assets (ROA) ratio, while the liability ratio, firm size, current ratio, acid test and liquidity ratio are used as control variables. Our main finding is a decreasing and convex relationship between cash conversion cycle and profitability. In terms of working capital management policy, this implies that firms with a shorter cash conversion cycle perform better than others, since financial managers repay suppliers and reduce investments in working capital
Geopolitical Risks’ Spillovers Across Countries and on Commodity Markets. A Dynamic Analysis
No full textGeopolitical risk (GPR) arises from political, economic, or social factors influencing global stability and trade relations. We investigate GPR spillover relationships between 12 countries (G7-BRICS) and their influence on commodities. We find geopolitical stability from 2008 to 2020 and a reduction in global GPR during the Covid-19 pandemic. The Russia-Ukraine conflict has had significant and far-reaching consequences. In this complex geopolitical landscape, the primary impact of GPRs is observed in the interrelations among the BRICS. The US - along with Germany, Russia, and the UK - emerged as the predominant source of spillovers that have led energy prices up
Nonlinear Adjustment in US Bond Yields: an Empirical Analysis with Conditional Heteroskedasticity
Full text linkStarting from the work by Campbell and Shiller (1987), empirical analysis of interest rates has been conducted in the framework of cointegration. However, parts of this approach have been questioned recently, as the adjustment mechanism may not follow a simple linear rule; another line of criticism points out that stationarity of the spreads is difficult to maintain empirically.
In this paper, we analyse data on US bond yields by means of an augmented VAR specification which approximates a generic nonlinear adjustment model. We argue that nonlinearity captures macro information via the shape of the yield curve and thus provides an alternative explanation for some findings recently appeared in the literature.
Moreover, we show how conditional heteroskedasticity can be taken into account via GARCH specifications for the conditional variance, either univariate and multivariate
Un Modello CGE per l'Analisi del Federalismo Fiscale all'Italiana
No full textDipartimento di Economia, Università Politecnica delle March
Geopolitical Risks' Spillovers Across Countries and on Commodity Markets. A Dynamic Analysis
Full text linkWe investigate the geopolitical risk transmission between G7-BRICS countries and commodity futures prices. We find geopolitical instability after the outbreak of the Russia-Ukraine conflict. In a context where the G7 countries geopolitically influence the BRICS and vice versa, we also find that the United States, Germany, India and Russia emerge as the predominant source of spillovers. The futures prices most influenced by geopolitical risks are those relating to energy
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