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Full-Text Articles in Social and Behavioral Sciences
Performance Benchmarking Australian Fixed Interest Funds: Some Optimal Factors, Victor Soucik, David E. Allen
Performance Benchmarking Australian Fixed Interest Funds: Some Optimal Factors, Victor Soucik, David E. Allen
Research outputs pre 2011
In this paper we analyse the performance of fixed interest managed funds. We examine five measurement models across three risk-free proxies, nine benchmarks (covering conditional and unconditional as well as single and multi factor definitions) over two independent periods in an effort to identify (in a consistent setting) the most accurate and least biased methodology. The use of an Australian dataset, sourced from the Australian fund-rating agency ASSIRT means that we can provide some independent results from US studies of these. There is little prior work on Australian fixed-interest managed funds. We examine three risk-free proxies, six benchmark classes encompassing …
Multivariate Garch Modelling Of Volatility And Comovements In Asia Pacific Markets, Mahendra Chandra
Multivariate Garch Modelling Of Volatility And Comovements In Asia Pacific Markets, Mahendra Chandra
Research outputs pre 2011
This paper examines the correlation estimates for some Asia-Pacific markets equity markets using the DCC-MGARCH, CC-MGARCH and a simple moving average regression based on a sliding window of 100 days. Using daily return series, the equity markets of Australia, Hong Kong, Japan and Singapore are analysed for the period 1990 to 2001. Parsimonious specifications for the multivariate GARCH framework are used to shed light on the correlation structure of these markets. The dynamic nature of the correlation between pair-wise countries is captured using the dynamic conditional correlation multivariate GARCH framework and explained. Both global as well as regional factors are …
Is-Lm Model With A General Consumption Tax, Y. H. Cheung
Is-Lm Model With A General Consumption Tax, Y. H. Cheung
Research outputs pre 2011
OECD tax revenue statistics show that on average the share of consumption tax is almost equal to that of income tax. However, consumption tax hardly attracts any attention from intermediate macroeconomic textbooks, not to mention its inclusion in IS-LM model. This paper compares the IS curves under an income tax regime and a general consumption tax regime. It also examines the trade off between the income tax rate and the consumption tax rate in a dual tax regime.