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181.657  Articles
1 of 18.167 pages  |  10  records  |  more records»
Optimisasi  portofolio pada dasarnya menggunakan model Markowitz dalam menghasilkan portofolio yang efisien, namun portofolio yang terbentuk tidak baik ketika return saham memiliki perubahan regime, seperti pada periode ‘bear’ and ‘bull’ market. Tuju... see more

This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US mone... see more

We adopt a granular approach to estimating the risk of equity returns in sub-Saharan African frontier equity markets under the assumption that, returns are influenced by developments in the underlying economy. Four countries were studied – Botswana, Ghana... see more

We adopt a granular approach to estimating the risk of equity returns in sub-Saharan African frontier equity markets under the assumption that, returns are influenced by developments in the underlying economy. Four countries were studied – Botswana, Ghana... see more

This study estimates the Markov-switching model and examines the Keynesian business cycle dynamics ofeconomic growth for a comprehensive set of eight OECD countries. The estimated duration of regime one is (i)shorter for Denmark, Sweden and Switzerland, (... see more

Abstract: This study analyzes the spillover effects of the US monetary policy on the ASEAN stock market with Markov switching model and investigates differences in empirical results of each country from ASEAN member. The results of this study have importa... see more

The paper applies Markov Regime Switching GARCH Model (SW-GARCH) to investigate the volatility behavior of strategies hedge fund monthly returns for the period 1997-2011. The results highlight two different regimes: The first regime is characterized by a ... see more

Peters (1994) proposed the fractal market hypothesis (FMH) as an alternative to the efficient market hypothesis, following his criticism of the EMH. In this study, we analyse whether the fractal nature of a financial market determines its riskiness and de... see more

Petroleum is an important energy commodity, being used in different activities, having a direct or indirect effect on several sectors in the economy. This commodity has unstable prices, as a result of geopolitical shocks as well as market shocks in the pe... see more

1 of 18.167 pages  |  10  records  |  more records»