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Các bài báo tiêu biểu
Correlations and business cycles of credit risk: Evidence from bankruptcies in Germany
Tập 17 - Trang 309-331 - 2003
An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management
Tập 21 Số 2 - Trang 147-166 - 2007
Three aspects of the Swiss term structure: an empirical survey
Tập 21 - Trang 221-240 - 2007
The term structure is an important transmitter of, and indicator for, monetary policy. This paper studies the Swiss term structure using monthly data from 1989 to 2005. We study the impact of the new monetary policy strategy that the Swiss National Bank (SNB) adopted at the beginning of 2000 on three aspects of the term structure. First, we test the expectations hypothesis and find it confirmed at...... hiện toàn bộ
On the reliability of professional exchange rate forecasts: An empirical analysis for the €/US-$ rate
Tập 17 - Trang 437-449 - 2003
Value-at-Risk-Schätzung bei Optionen — Ein Empirischer Vergleich Praxisüblicher Verfahren
Tập 16 - Trang 69-87 - 2002
Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering
Tập 25 - Trang 477-478 - 2011
Alternative beta applied—an introduction to hedge fund replication
Tập 22 - Trang 259-279 - 2008
Motivated by the surge in popularity of passive hedge fund investments, the present article discusses the concept of “alternative beta” and its implications for the hedge fund industry. The article covers a variety of topics, ranging from the basic rationale for hedge fund replication to replication methodologies and products to the academic and financial market environment. We find that with thei...... hiện toàn bộ
Interest Rates and Exchange Rate Movements: Analyzing Short-term Investments in Long-term Bonds
Tập 20 - Trang 205-220 - 2006
Tests of the uncovered interest rate parity (UIP) are subject to various data problems when long-term interest rates are applied: due to the long investment period, time intervals for measuring exchange rate movements are usually overlapping and therefore not independent. This shortfall can be prevented by considering short-term investments in long-term bonds instead of investments to maturity. Th...... hiện toàn bộ
Co-movement of revenue: structural changes in the business cycle
Tập 25 - Trang 411-433 - 2011
The co-movement of revenue growth across different industries changes over the business cycle. Using a large sample of quarterly firm revenues, aggregated to industry data from 1969 to 2009, we demonstrate that the correlation is the highest during a crisis. Our findings of structural changes in correlation have implications for diversification decisions in portfolio analysis and risk management. ...... hiện toàn bộ