We investigate the predictability of G10 currencies with respect to lagged currency returns from perspective a U.S. investor, using maximally predictable portfolio (MPP) approach Lo and MacKinlay (1997). show that, out-of-sample, MPP yields higher Sharpe ratio, cumulative return lower maximum drawdown than both naïve equal-weighted an momentum trading strategies, that mean–variance investor wou...

This longitudinal study examined the covariation between parents' use of control and solicitation, youth willingness to self-disclose to parents, and youth antisocial behavior from ages 13 to 14. Structural equation analyses were conducted on a combined sample of Italian (N = 152) and French Canadian (N = 151) adolescents. Analyses tested for longitudinal cross-lagged effects while controlling ...

Cross-lagged panel analysis is an analytical strategy used to describe reciprocal relationships, or directional influences, between variables over time. Cross-lagged panel models (CLPM), also referred to as cross-lagged path models and cross-lagged regression models, are estimated using panel data, or longitudinal data where each observation or person is recorded at multiple points in time. The...

This paper uses semiparametric techniques to estimate a model of exchange rate determination and compare it to a parametric LSTAR specification. In both cases the nonlinearities are modeled as part of the conditional mean of the process, rather than of its variance. Using a panel dataset for five East European countries for years 1993 2001, it results that the non parametric data-driven estimat...

We test for long term dependence in U.S. stock returns, analyzing composite and sectoral stock indices and firms' returns series to evaluate aggregation effects. Fractal dynamics are not detected in stock indices, but are present in some firms’ returns series.

The purpose of this research is to model the volatility Stock Indices in Indonesian capital market. This focuses on two stock indices namely SRI-KEHATI and LQ45. SRI_KEHATI a index that consists companies whose operations are sustainable environmentally friendly. also known as “green index” due its environment sustainability concern. novelty fills gap literature which not much regarding gre...

Abstract: Central banks have long been interested in obtaining precise estimations of money demand given the fact that the evolution of money demand plays a key role over several monetary variables. One implication of currency substitution is that the exchange rate could serve as another determinant of the demand for money. Due to the recent currency crisis in Iran, it would be important to inv...

Due to the complexity of financial markets and specialization of investment, the investors in financial markets need tools, methods and models by which they can choose the best investment and the most appropriate portfolios. Fama-French Five-Factor Model (FFFFM) is one of the newest methods among various methods for financial asset pricing and prediction of stock returns. The main aim of this r...

The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based on the leverage and size effects. The model is a generalization of the exponential GARCH (EGARCH) model of Nelson (1991). We consider categories for asymmet...

We test for non-linearities in the returns to education and the presence of sheepskin effects to see if a causality between education and earnings can be determined. If there are non-linearities and/or sheepskin effects, the screening hypothesis will be favoured over the human capital theory. The data set used is from a developing country, Guatemala, in an attempt to add to the existing empiric...