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Displaying results 1 to 13 of 13.

  1. Risk factor exposure variation and mutual fund performance
    Author: Ammann, Manuel; Fischer, Sebastian; Weigert, Florian
    Published: November, 2018
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    We investigate the relationship between a mutual fund’s variation in systematic risk factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)’s four factor model to capture risk factor variation, we find that... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 314 (2018,17)
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    We investigate the relationship between a mutual fund’s variation in systematic risk factor exposures and its future performance. Using a dynamic state space version of Carhart (1997)’s four factor model to capture risk factor variation, we find that funds with volatile risk factor exposures underperform funds with stable risk factor exposures by 147 basis points p.a. This underperformance is neither explained by volatile risk factor loadings of a fund's equtiy holdings nor driven by a fund's forced trading through investor flows. We conclude that fund managers voluntarily attempt to time risk factors, but are unsuccessful at doing so. Our results are important in the light of recent discussions about the predictability of asset pricing risk factors

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working papers on finance ; no. 2018, 17
    Subjects: Mutual Fund; Market Timing; Factor Timing; Kalman Filter
    Other subjects: Array
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  2. Anchoring long-term var forecasts based on survey data and state-space models
    Author: Areosa, Marta Baltar Moreira; Gaglianone, Wagner Piazza
    Published: [2023]
    Publisher:  Banco Central do Brasil, Brasília, DF, Brazil

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Banco Central do Brasil ; 574 (February 2023)
    Subjects: Inflation; Expectations; Survey Data; Shifting Endpoint; Kalman Filter
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  3. Time-varying Nairu and real interest rates in the Euro Area
    Author: Logeay, Camille; Tober, Silke
    Published: 2003
    Publisher:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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  4. Estimating brazilian monthly GDP
    a state-space approach
    Author: Issler, João Victor; Notini, Hilton Hostalácio
    Published: março de 2013
    Publisher:  Escola de Pós-Graduação em Economia da Fundação Getulio Vargas, Rio de Janeiro

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 351 (740)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10438/10714
    Series: Ensaios econômicos ; no 740
    Subjects: GDP Interpolation; State-space Representation; Kalman Filter; Composite and Leading Indicators; Nowcasting; Forecasting
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  5. Discovering stars
    problems in recovering latent variables from models
    Author: Buncic, Daniel; Pagan, Adrian R.
    Published: [2022]
    Publisher:  Australian National University, Crawford School of Public Policy, Canberra

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CAMA working paper series ; 2022, 52 (September 2022)
    Subjects: Recoverability; excess shocks; latent variables; neutral rates; Kalman Filter
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  6. A SIR model with time-varying parameters
    Author: Athayde, Gustavo M. de; Damião, Ruben M.
    Published: 2020
    Publisher:  [Insper], [São Paulo/SP - Brasil]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Last update: December 23rd, 2020
    Series: [Insper working paper] ; [WPE: 392 (2020)]
    Subjects: SIR model; State-Space models; Kalman Filter; contamination; mortality; forecast
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  7. Multi-factor, age-cohort, affine mortality models
    a multi-country comparison
    Author: Ungolo, Francesco; Sherris, Michael; Zhou, Yuxin
    Published: [2021]
    Publisher:  CEPAR, ARC Centre of Excellence in Population Ageing Research, [Kensington, NSW]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / CEPAR, ARC Centre of Excellence in Population Ageing Research ; 2021, 26
    Subjects: Longevity Risk; Kalman Filter; State-space models
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  8. Affine mortality
    a Github repository for estimation, analysis and projection of affine mortality models
    Author: Ungolo, Francesco; Sherris, Michael; Zhou, Yuxin
    Published: [2021]
    Publisher:  CEPAR, ARC Centre of Excellence in Population Ageing Research, [Kensington, NSW]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / CEPAR, ARC Centre of Excellence in Population Ageing Research ; 2021, 27
    Subjects: Longevity Risk; Kalman Filter; State-space models
    Scope: 1 Online-Ressource (circa 13 Seiten)
  9. Robust estimation of linear state space models
    Author: Crevits, Ruben; Croux, Christophe
    Published: [2017]
    Publisher:  KU Leuven, Faculty of Economics and Business, Leuven, België

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: KBI ; KBI_17, 13
    Subjects: Kalman Filter; Forecasting; Outliers; Time varying parameters
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  10. Determinants of Bulgarian exports: the role of price and non-price competitiveness
    Author: Ivanov, Evgeni; Ivanova, Neli
    Published: 2021
    Publisher:  Bulgarian National Bank Publications Division, Sofia, Bulgaria

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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9786197409239
    Series: Discussion papers / Bulgarian National Bank ; DP/2021,118
    Subjects: Exports; Price Competitiveness; Non-Price Competitiveness; Bulgaria; State Space Models; Kalman Filter
    Scope: 1 Online-Ressource (circa 74 Seiten), Illustrationen
  11. State space model to detect cycles in heterogeneous agents models
    Author: Gusella, Filippo; Ricchiuti, Giorgio
    Published: [2021]
    Publisher:  DISEI, Università degli Studi di Firenze, Firenze (Italia)

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; 2021, n. 10
    Subjects: Heterogeneous Agents Models; Endogenous Cycles; State Space Model; Kalman Filter
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  12. The time-varying elasticity of South African electricity demand
    1980–2018
    Author: Masike, Kabelo; Vermeulen, Cobus
    Published: October 2020
    Publisher:  Economic Research Southern Africa, [Cape Town]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: ERSA working paper ; 839
    Subjects: price elasticity; income elasticity; electricity demand; Kalman Filter
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  13. AffineMortality
    an R package for estimation, analysis and projection of affine mortality models
    Author: Ungolo, Francesco; Garces, Len Patrick Dominic M.; Sherris, Michael; Zhou, Yuxin
    Published: [2023]
    Publisher:  CEPAR, ARC Centre of Excellence in Population Ageing Research, [Kensington, NSW]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: [Revision]
    Series: Working paper / CEPAR, ARC Centre of Excellence in Population Ageing Research ; 2021, 27
    Subjects: Longevity Risk; Kalman Filter; State-space models; Affine mortality
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen