[PDF] Top 20 Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue1-2.2000:

... percentage of observations that are correctly classified ...only a very small number of our observations have equity ...none of the observations have stock issues would result in a ... Lihat dokumen lengkap

... spirit of Fama and French 1992 , the bubble graphs treat the slope of the relation between size and returns as a random ...provides a new draw of the slope ...each of the ... Lihat dokumen lengkap

... end of the whole period considered, monthly results present a high variability, with positive and negative ...majority of the profits are concentrated in the month of February, when the index ... Lihat dokumen lengkap

... independent of the observer’s utility function, provided only that he or she is risk ...has a theoretical justification as a non-parametric estimate of the COMD ...uses a prior fitting ... Lihat dokumen lengkap

... require a six-dimensional solution, if only two dimensions can be ...sionality of the solution is the so-called elbow criterion. First, a scatter plot is made of the Stress values obtained in ... Lihat dokumen lengkap

... case of the natural shield Nestle has ´ obtained by setting up plants around the ...some of its currency risk without actually knowing its risk ...that of investors exposed to stock return ... Lihat dokumen lengkap

... weight of stocks in the optimal portfolio is based on the assumption that the remaining part of the portfolio is invested in an asset that pays a fixed nominal amount at the end of the ... Lihat dokumen lengkap

... become a key tool for risk management of financial ...measures of risk, that allow to take into account various kinds of cross-dependence between asset returns, fat-tail and non-normality ... Lihat dokumen lengkap

... distribution of a portfolio is simply given by the empirical distribution of past gains and losses on this ...form of the P & L ...to a high ...periods of high and low ... Lihat dokumen lengkap

... terms of securing a minimal return level with a high ...use of the Chebyshev bound on the probability of ...principle of absolute preference. By considering a ... Lihat dokumen lengkap

... For a well-specified model, we would expect the interval-forecast tests to pass for a wide range of desired coverage ...forecasts of the model to be accurate for different regions of ... Lihat dokumen lengkap

... results of GK, demonstrating that data generated from Ž generalized GARCH models with conditional stable Paretian innovations using ...typical of those observed in practice give rise to series with ... Lihat dokumen lengkap

... returns data. The first uses each of the n available single period returns as an observation from which to infer the prevailing ...returns data into m sequential nonoverlapping intervals of ... Lihat dokumen lengkap

... terms of positive feedback trading, the conclusion is also ...withdrawal of Sterling and the Italian Lira from the ERM, other European currencies experienced similar difficulties with the target zone policy ... Lihat dokumen lengkap

... stamped data and daily data for a 5-year period from January 1991 to December ...Daily data include daily trade volume and highest and lowest prices of the day for each ...stamped ... Lihat dokumen lengkap

... is a potential limitation of the existing ...fields of finance, is it paramount to apply a multivari- ate model of the distribution of asset ...pricing. A number ... Lihat dokumen lengkap

... From Fig. 5 and Table 2 it is evident that the SRBM performs quite well for almost every percentile and every stock. In fact the results are close to the theoretical values and it does not seem that the model ... Lihat dokumen lengkap

... nature of the hypotheses and the lack of nesting structure suggests that it may be preferable to test for cointegration in a less model-dependent ...consider a direct test of whether ... Lihat dokumen lengkap

... dominance of mutual fund flow in explaining the yield on noninvest- ment grade indices, the significance of a number of other correlated variables may be ...October of 1987, which ... Lihat dokumen lengkap

... Potter, Coincident and leading indicators of the stock market 87 Christiansen, C., Macroeconomic announcement effects on the covariance structure of govern-ment bond returns 479 Chung,[r] ... Lihat dokumen lengkap