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  1. The Determinants of Inflation
    Autor*in: Kinlaw, William B.; Kritzman, Mark; Metcalfe, Michael; Turkington, David
    Erschienen: 2022
    Verlag:  SSRN, [S.l.]

    The authors apply a Hidden Markov Model to identify regimes of shifting inflation and then employ an attribution technique based on the Mahalanobis distance to identify the economic variables that determine the trajectory of inflation. Their analysis... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    The authors apply a Hidden Markov Model to identify regimes of shifting inflation and then employ an attribution technique based on the Mahalanobis distance to identify the economic variables that determine the trajectory of inflation. Their analysis enables policymakers to focus on the most effective tools to manage inflation, and it offers guidance to investors whose strategies might benefit from knowledge of the prevailing determinants of inflation. Their analysis reveals that as of February 2022, the most important determinant of the recent spike in inflation was spending by the federal government

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
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    Schriftenreihe: MIT Sloan Research Paper ; No. 6730, 2022
    Schlagworte: Baum-Welch Algorithm; Euclidean Distance; Hidden Markov Model; Mahalanobis Distance; Markov process; Regime Characteristic; z-score
    Umfang: 1 Online-Ressource (23 p)
    Bemerkung(en):

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 13, 2022 erstellt
  2. Co-Occurrence
    A New Perspective on Portfolio Diversification
    Autor*in: Kinlaw, William B.; Kritzman, Mark; Turkington, David
    Erschienen: [2023]
    Verlag:  SSRN, [S.l.]

    Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the... mehr

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    Verlag (kostenfrei)
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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s prospective horizon. And because correlation is an average of sub-period co-occurrences, it only serves as a good estimate of prospective co-occurrence if the assets’ returns are multi-variate normal, which requires them to be independent and identically distributed. The authors provide evidence that correlations differ depending on the return interval used to estimate them, which indicates they are not serially independent. Moreover, the authors show that asset co-movement differs between regimes of high and low interest rates and between turbulent and quiescent markets, and that they are asymmetric around return thresholds, which indicates that returns are not identically distributed. These departures from multi-variate normality cast serious doubt on the usefulness of full-sample correlations to measure an asset’s potential to diversify a portfolio. The authors propose an alternative technique for diversifying a portfolio that explicitly considers the empirical prevalence of co-occurrences and thus the non-normality of returns

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
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    Schriftenreihe: MIT Sloan Research Paper ; No. 6892-23
    Schlagworte: Autocorrelation; Co-occurrence; Divergence; Full-scale Optimization; Informativeness; Lagged Cross Correlation; Mahalanobis Distance; Mean-variance Analysis; Multi-horizon Optimal Portfolio; Parametric Optimization; Pearson Correlation; Turbulence
    Umfang: 1 Online-Ressource (27 p)
    Bemerkung(en):

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 15, 2023 erstellt
  3. Toward determining systemic importance
    Autor*in: Kinlaw, William B.; Kritzman, Mark; Turkington, David
    Erschienen: 2011
    Verlag:  MIT Sloan School of Management, Cambridge, Mass.

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 67 (4940)
    Fernleihe:
    keine Fernleihe
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    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 1721.1/66580
    Auflage/Ausgabe: This version: October 25, 2011
    Schriftenreihe: Sloan working papers ; 4940-11
    Schlagworte: Systemrisiko; Finanzmarkt; Messung; Portfolio-Management; Absorption; Theorie
    Umfang: Online-Ressource (19 S., 337,2 KB), graph. Darst.
  4. Liquidity and portfolio choice
    Autor*in: Kinlaw, William B.; Kritzman, Mark; Turkington, David
    Erschienen: 2012
    Verlag:  MIT Sloan School of Management, Cambridge, Mass.

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
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    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    Auflage/Ausgabe: This version: February 4, 2012
    Schriftenreihe: Sloan working papers ; 4959-12
    Schlagworte: Portfolio-Management; Theorie
    Umfang: Online-Ressource (23 S., 279,99 KB)