top 20 ETFs by assets (with a combined total of $541 billion investor dollars) represent more than half of total equity ETF assets, and 17 of those 20 passively track traditional indices. The other three, representing $34 billion in assets, follow dividend strategies.2 invested in passive index funds (all U.S. and world equity mutual funds), but by November 2012, that number had risen to roughl...

This Project evaluates the forecasting performance of a Brownian Semi-Stationary (BSS) process in modelling the volatility of 21 equity indices. We implement a sophisticated Hybrid Scheme to simulate BSS processes with high efficiency and precision. These simulations are useful to price derivatives, accounting for rough volatility. Then we calibrate the BSS parameters for the realised kernel of...

Private equity is still a relatively young asset class, with some unique characteristics. One feature is the very irregular timing of cashflows, and a consequence of this is that private equity relies on measures of returns that are not standard in other asset classes. As such, new investors can be unclear or unaware of the differences between the common methods for measuring private equity per...

In this paper we employ variance ratio tests of the random walk hypothesis to investigate the interdependence of global equity markets in terms of the predictability of equity index returns and how the clustering pattern has evolved in recent years. The study is based on almost 15 years of daily returns of free float-adjusted market capitalization equity indices from 46 countries. First, we exa...

This paper contributes to the primarily empirical literature by conducting the first extensive empirical analysis of the impact of the degree of co-movement in the main standardized credit default swap (CDS) indices on the group of systemically relevant large complex financial institutions (LCFIs). We attempt to account for the dynamics between banks’ equity returns and most liquid CDS market i...

the purpose of this study was to identify the effects of green brand image on the green brand equity in the customers of appliance dealer's representation and appliance dealers in the chain department stores of sanandaj. research variables selected from yushan chen (2010) study. a questionnaire was used to measure theses dimensions that have been confirmed by experts and had 24 indices. it...