An alternative approach to test whether the real estate and stock markets are cointegrated is
presented. A nonlinear test, which allows for a stochastic trend term as opposed to a …

We examine whether investor reactions are sensitive to the recent direction or volatility of
underlying market movements. We find that dividend change announcements elicit a greater …

The Vector Autoregressive (VAR) model, the Error Correction Model (ECM), and the Kalman
Filter Model (KFM) are used to forecast UK stock prices. The forecasting performance of the …

Conventionally, between 5 and 20 per cent of a portfolio is invested in real estate. Whether
this is prudent diversification or not depends on whether property and other financial assets …

Abstract Modern Portfolio Theory (MPT) has become the backbone of financeasitgivesbetterunderstandingoftheb…
investment portfolio for financial assets. Since the idea was introduced by Harry Markowitz …

This study introduces a new pre-differencing transformation for the AR1MA model for
forecasting S&P 500 index volatility. The out of sample forecasting performance of the …

This paper examines how a combination of local and marketwise uncertainties can lead to
order imbalances at the level of wholesalers. Do wholesalers have a tendency to hold more …

Wholesale spreads and the dynamics of retail price volatility in Indian rice markets Page 1
Wholesale spreads and the dynamics of retail price volatility in Indian rice markets R. JHA* and …

During the past thirty years, there has been considerable concern about combination of
forecasts. Many of the articles and books dedicated to this specific area explain and …

In vertical markets, volatility at one level of the market may transmit itself to another level.
This paper examines the linkages that exist between spreads at different levels of the market …