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Time series momentum: Evidence from the European equity market
Heliyon. 2023. Vol. 9. Article e12989.
This study empirically analyzes time series momentum (TSM) in the European equity market
between 2000 & 2020. The study produces additional evidence on TSM where a significant and
persistent market price anomaly enables investors to earn abnormal returns. To achieve this goal
the present study implements a pooled autoregressive model to test the predictability power of
European equity indices of future returns. The results indicate that strategies based on TSM are in
line with the discussed literature and enable market agents to earn returns above the market
(0.71% per month) by using a six-factor model.
Kuslyaikin A., Экономическая политика 2025 Т. 20 № 1 С. 30–55
This paper is one of the first studies to investigate how downside market risk affects cryptocurrency returns. Based on weekly data for more than 900 cryptocurrencies from 2014 to 2018, downside market risk is considered in three different forms as it arises in the cryptocurrency market, the aggregate alternative investment market, and the stock market. ...
Added: April 7, 2025
Teplova T., Mikova E., Munir Q. et al., Economic Change and Restructuring 2023 Vol. 56 No. 1 P. 515–535
This study examines the portfolio optimization problem by exploiting daily data of 10 international Exchange Trade Funds (ETF) from 2012 to 2022. We extend the Black-Litterman (BL) approach using ARMA-GARCH-copula-based expected returns as a proxy for investor views and use the CVaR metric as a risk measure in the optimization procedure. The BL approach provides ...
Added: September 2, 2022
Moinak M., Vukovic D., Journal of Economic Structures 2020 Vol. 9:47 P. 1–27
The purpose of the study is to evaluate the role of human asset in frm performance and its implication for frm valuation. To do so a modifed fve-factor model with human asset designed for capturing the size, value, proftability and investment in average portfolio returns that performs better than both Fama–French (1993) threeand Fama–French (2015) ...
Added: July 8, 2020
Moinak M., Future Business Journal 2019 Vol. 5 No. 5 P. 1–12
The present study focused on one of the important South Asian nations—Sri Lanka—to examine the role of idiosyncratic volatility in asset prices. A four-factor model with idiosyncratic volatility was designed for capturing the market, size, value and idiosyncratic risk yields better than Fama and French’s (J Financ Econ 33:3–56, 1993) three-factor model and performance of ...
Added: December 19, 2019
Savchenko A., Savchenko V., Radioelectronics and Communications Systems 2019 Vol. 62 No. 5 P. 223–231
It is researched a wide class of parametric estimations of power spectral density based on principle of entropy maximum and autoregression observation model. At that there is distinguished the key parameter which is used model order. It is considered a problem of a priori uncertainty when true value of order is a priori unknown. It ...
Added: August 16, 2019
Esaulov D., Moscow University Mathematics Bulletin 2012 Vol. 67 No. 2 P. 79–81
The paper deals with properties of GM-estimators and GM-tests for linear hypotheses in AR(p)-processes when observations contain outliers. In particular, we obtain the marginal distribution of test statistics, which allows us to prove the robustness of these GM-tests. The scheme of data contamination by additive single outliers with the intensity O(n−1/2), where n is the data level, is ...
Added: October 19, 2016
Esaulov D., Mathematical Methods of Statistics 2013 Vol. 22 No. 4 P. 333–349
In the paper a new nonparametric generalized M-test for hypotheses about the order of linear autoregression AR(p) is constructed. We also establish robustness of this test in the model of data contamination by independent additive outliers with intensity O(n−1/2). Robustness is formulated in terms of limiting power equicontinuity. Test statistics are constructed with the help of ...
Added: October 19, 2016
Boldin M. V., Esaulov D., Moscow University Mathematics Bulletin 2014 Vol. 69 No. 1 P. 29–32
The local qualitative robustness of GM-tests against outliers in the autoregression model is studied in the paper. A local scheme of data contamination by independent outliers with the intensity O(n−1/2) is considered. The qualitative robustness in terms of power equicontinuity is obtained. The GM-tests asymptotically optimal in the maximin sense are constructed. ...
Added: October 17, 2016
Болдин М. В., Esaulov D., Вестник Московского университета. Серия 1: Математика. Механика 2014 № 1 С. 46–50
The local qualitative robustness of GM-tests against outliers in the autoregression model is studied in the paper. A local scheme of data contamination by independent outliers with the intensity O(n -1/2) is considered. The qualitative robustness in terms of power equicontinuity is obtained. The GM-tests asymptotically optimal in the maximin sense are constructed. ...
Added: October 17, 2016
Воронеж: ООО ИПЦ "Научная книга", 2014.
Сборник материалов Международной конференции ...
Added: June 2, 2016
Kharkov: ФОП Александрова К.М., ВД "IНЖЕК", 2013.
Сборник материалов Международной конференции ...
Added: June 2, 2016
Svetunkov S., В кн.: Сучаснi проблеми моделювания соцiально-економiчних систем* К вопросу о прогнозировании экономики с помощью моделей авторегрессии.: Бердянск: Видавець Ткачук, 2015. С. 26–30.
The influence of the length of the sample series of economic dynamics to the correct diagnosis of the structure of autoregressive models. It is proved that the length of the sample uvelichina further than the defined period of economic inertial object correlogram distort the real situation, and autoregression models are wrong structure. All scientific hypotheses ...
Added: June 3, 2015
Бердянск: Видавець Ткачук, 2015.
The collection of materials of the International Conference ...
Added: June 3, 2015
Shapoval A., Le Mouel J. -., Shnirman M. G. et al., Journal of Geophysical Research 2014 Vol. 119 P. 6120–6130
We have recently introduced an irregularity index λ for daily sunspot numbers ISSN, derived from the well-known Lyapunov exponent, that attempts to reflect irregularities in the chaotic process of solar activity. Like the Lyapunov exponent, the irregularity index is computed from the data for different embedding dimensions m (2-32). When m = 2, λ maxima ...
Added: August 13, 2014
Savchenko A., Lecture Notes in Computer Science 2014 Vol. 8509 P. 638–646
Since the early 1990s, speaker adaptation have become one of the intensive areas in speech recognition. State-of-the-art batch-mode adaptation algorithms assume that speech of particular speaker contains enough information about the user's voice. In this article we propose to allow the user to manually verify if the adaptation is useful. Our procedure requires the speaker ...
Added: July 25, 2014