Identifying a distinctive competence: forecasting ability in the money fund industry
Testing the causal link between a firm‐specific competence and its antecedents or
consequences has become a key objective for strategy research over the past decade. On …
consequences has become a key objective for strategy research over the past decade. On …
Performance and persistence in money market fund returns
DL Domian, W Reichenstein - Financial Services Review, 1997 - Elsevier
We study the factors affecting the cross section of net returns of money market mutual funds
from 1990 through 1994, and the persistence of relative returns across years. We find that …
from 1990 through 1994, and the persistence of relative returns across years. We find that …
Money market mutual fund maturity and interest rates
DL Domian - Journal of money, credit and banking, 1992 - JSTOR
MONEY MARKET MUTUAL FUNDS (MMMFs) are an important recent development in
financial intermediation. Although the first MMMF was started in 1972, most of the MMMF …
financial intermediation. Although the first MMMF was started in 1972, most of the MMMF …
Evaluating volatility forecasts in option pricing in the context of a simulated options market
E Xekalaki, S Degiannakis - Computational statistics & data analysis, 2005 - Elsevier
The performance of an ARCH model selection algorithm based on the standardized
prediction error criterion (SPEC) is evaluated. The evaluation of the algorithm is performed …
prediction error criterion (SPEC) is evaluated. The evaluation of the algorithm is performed …
Market efficiency and money market fund portfolio managers: Beliefs versus reality
RP DeGennaro, DL Domian - Financial Review, 1996 - Wiley Online Library
This paper develops two models of the money market mutual fund maturity decision. The first
assumes that markets are efficient but that transactions are costly. The second model relies …
assumes that markets are efficient but that transactions are costly. The second model relies …
The performance of exchange rate forecasting models: an economic evaluation
ME Gerlow, SH Irwin - Applied Economics, 1991 - Taylor & Francis
Theoretical models of exchange rate determination have not proven useful as accurate
predictors of movements in exchange rates. However, these conclusions are the result of …
predictors of movements in exchange rates. However, these conclusions are the result of …
The derivatives sourcebook
T Lim, AW Lo, RC Merton… - Foundations and Trends …, 2006 - nowpublishers.com
Abstract The Derivatives Sourcebook is a citation study and classification system that
organizes the many strands of the derivatives literature and assigns each citation to a …
organizes the many strands of the derivatives literature and assigns each citation to a …
Using the prediction error criterion as a selection method in forecasting option prices: a simulation approach
SA Degiannakis, E Xekalaki - 2002 - papers.ssrn.com
Degiannakis and Xekalaki (1999) compare the forecasting ability of Autoregressive
Conditional Heteroscedastic (ARCH) models using the Correlated Gamma Ratio (CGR) …
Conditional Heteroscedastic (ARCH) models using the Correlated Gamma Ratio (CGR) …
[PDF][PDF] OF ECONOMICS AND BUSINESS
SA Degiannakis - 2005 - dept.aueb.gr
ABSTRACT Autoregressive Conditional Heteroscedasticity (ARCH) models have
successfully been employed in order to predict asset return volatility. Predicting volatility is of …
successfully been employed in order to predict asset return volatility. Predicting volatility is of …
Portfolio maturity choice of Australian cash management trusts
K Davis - International Review of Financial Analysis, 2008 - Elsevier
Money Market Mutual Funds, known in Australia as Cash Management Trusts (CMTs),
provide potential benefits for retail investors from pooling of funds and superior portfolio …
provide potential benefits for retail investors from pooling of funds and superior portfolio …