[BOOK][B] ARCH models and financial applications

C Gouriéroux - 2012 - books.google.com
The classical ARMA models have limitations when applied to the field of financial and
monetary economics. Financial time series present nonlinear dynamic characteristics and …

Real estate returns and inflation: an added variable approach

M Bond, M Seiler - Journal of Real Estate Research, 1998 - Taylor & Francis
This study analyses the inflation hedging effectiveness of residential real estate over the
1969-94 period. The results indicate that residential real estate is a significant hedge against …

Portfolio performance rankings in stock market cycles

WS Bauman, RE Miller - Financial Analysts Journal, 1995 - Taylor & Francis
The ranking of investment performance of mutual funds and pension funds is more
consistent over time when evaluations are made over complete stock market cycles. The …

Econometrics of efficient fitted portfolios

C Gourieroux, F Jouneau - Journal of Empirical Finance, 1999 - Elsevier
In this paper we propose a mean variance analysis of the portfolio choice under constraints.
An efficient portfolio under constraint is called fitted. We show that the fitted portfolios can …

Forecasting the size effect

BI Jacobs, KN Levy - Financial Analysts Journal, 1989 - Taylor & Francis
It has been known for some time that the returns of small firms often differ from those of large
firms, and that asset pricing theories, including the Capital Asset Pricing Model and …

Performance-Messung ohne Rückgriff auf kapitalmarkttheoretische Renditeerwartungsmodelle

C Wittrock, M Steiner - Credit and Capital Markets …, 1995 - elibrary.duncker-humblot.com
Performance-Messung ohne Rückgriff auf kapitalmarkttheoretische
Renditeerwartungsmodelle-Eine Analyse des Anlageerfolges deutscher …

[PDF][PDF] Ethical rewards

H Atta - University of Durham. http://www. djindexes. com …, 2000 - Citeseer
Abstract The Dow Jones Islamic Index is a specialized ethical fund that screens out stocks
prohibited by Islamic Shari ah (Law). The effect of these screens is ambiguous. This study …

An examination of the small‐firm effect on the basis of skewness preference

JR Booth, RL Smith - Journal of Financial Research, 1987 - Wiley Online Library
This paper tests the hypothesis that the small‐firm effect can be explained on the basis of
investor preference for positive skewness. Traditional stochastic dominance methodology is …

Unit trusts' performance: does the yardstick matter?

N Biger, MJ Page - Studies in Economics and Econometrics, 1993 - Taylor & Francis
Although researchers in the United States report that mutual funds fail to outperform simple
buy-and-hold investment strategies, South African studies have found that unit trust shares …

[PDF][PDF] Simultan Risk & Return

L Luqman Hakim - 2010 - repository.upi-yai.ac.id
Puji syukur penulis panjatkan kepada Allah Azza wa Jalla, Tuhan Yang Maha Esa, karena
atas ijin dan rahmat-Nya, penulis dapat menyelesaikan dalam melakukan kajian yang telah …