We consider dependence structures in multivariate time series that are characterized by deterministic trends. Results from spectral analysis for stationary processes are extended to deterministic trend functions. A regression cross covariance and spectrum are defined. Estimation of these...

We introduce and discuss a kinetic model for wealth distribution in a simple market economy which is built of a number of countries or social groups. Our approach is based on the model with risky investments introduced by Cordier, Pareschi and one of the authors in [13] and borrows ideas from...

Kinetic equations modelling the redistribution of wealth in simple market economies is one of the major topics in the field of econophysics. We present a unifying approach to the qualitative study for a large variety of such models, which is based on a moment analysis in the related homogeneous...

Based on a general specification of the asset specific pricing kernel, we develop a pricing model using an information process with stochastic volatility. We derive analytical asset and option pricing formulas. The asset prices in this rational expectations model exhibit crash-like, strong...

Kinetic market models have been proposed recently to account for the redistribution of wealth in simple market economies. These models allow to develop a qualitative theory, which is based on methods borrowed from the kinetic theory of rarefied gases. The aim of these notes is to present a...

This paper proposes a methodology for modelling time series of realized covariance matrices in order to forecast multivariate risks. The approach allows for flexible dynamic dependence patterns and guarantees positive definiteness of the resulting forecasts without imposing parameter...

We model a firm's value process controlled by a manager maximizing expected utility from restricted shares and employee stock options. The manager also dynamically controls allocation of his outside wealth. We explore interactions between those controls as he partially hedges his exposure to...

American call and put options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) over 1983-2006 are identified as potentially profitable investment opportunities. Call bid prices more frequently violate their upper bound than put bid...

Numerous hedge funds stop reporting to commercial databases each year. An issue for hedgefund performance estimation is: what delisting return to attribute to such funds? This would be particularly problematic if delisting returns are typically very different from continuing funds' returns. In...

Filtered log-periodogram regression estimation of the fractional differencing parameter d is considered. Asymptotic properties are derived and the effect of filtering on d is investigated. It is shown that the estimator by Geweke and Porter-Hudak (1983) can be improved significantly using a...