|
|
|
|
|
Mariem Talbi,Adel Boubaker,Saber Sebai
Pág. 387 - 407
The paper aims to test the existence of financial contagion between foreign stock markets of several emerging and developed countries during the U.S subprime crisis. It empirically attests for contagion through a DCC MGARCH (1.1) and an adjuste...
ver más
|
|
|
|
|
|
|
|
|
Adegbemi Babatunde Onakoya,Ayooluwa Eunice Olotu
Pág. 706 - 712
The essence of the law on bankruptcy is to collect the debt of an entity and distribute such asset among the contending claimholders. It is, also meant to resolve the broad issues of business failure in the context of the imminent or indeed the actual co...
ver más
|
|
|
|
|
|
|
|
|
Paulo Ferreira Naibert,João Caldeira
Pág. 504 - 543
In this paper, we study the problem of minimum variance portfolio selection based on a recent methodology for portfolio optimization restricting the allocation vector proposed by Fan et al. (2012). To achieve this, we consider different conditional and u...
ver más
|
|
|
|
|
|
|
|
|
Thomas S. Howe,Ralph A. Pope
Pág. 33 - 49
This study uses empirical resampling to examine the risk of three of Perold and Sharpe?s (1988) dynamic asset allocation strategies--Buy and hold, Constant mix, and Constant Proportion Portfolio Insurance (CPPI). Generally we find greater risk from...
ver más
|
|
|
|
|
|
|
|
|
Pyemo Afego
Pág. 340 - 347
This paper examines the weak-form of the efficient markets hypothesis for the Nigerian Stock Exchange (NSE) by testing for random walks in the monthly index returns over the period 1984-2009. The results of the non-parametric runs test show that index re...
ver más
|
|
|
|