We complete the investigation on the asymptotic behavior of the drift burst test statistic devised in Christensen, Oomen and Ren\`o (2020). They analysed it for an Ito semimartingale containing a Brownian component and finite variation jumps. We also account for infinite variation jumps.We show...

Uncertainty finance presents alternative models for derivative valuation relevant to markets willing to consider subjective information or expert criterium in their operation. This paper proposes a methodology based on experimental data for comparing the prices and the delta and vega risks for...

It is common practice to split time-series into in-sample and pseudo out-of-sample segments and to estimate the out-of-sample loss of a given statistical model by evaluating forecasting performance over the pseudo out-of-sample segment. We propose an alternative estimator of the out-of-sample...

We introduce a software generator for a class of colored (self-correlated) and non-Gaussian noise, whose statistics and spectrum depend on two param- eters, q and τ. Inspired by Tsallis’ nonextensive formulation of statistical physics, the so-called q-distribution is a handy source of...

We propose an attribution of collective causal responsibility in a stochastic nonlinear system to individual actors. To this end, we take an existing measure of collective causal responsibility from Vallentyne (2008) and Baumgärtner (2020), and adopt Shapley's (1953) fundamental concept of how...

We develop a novel method to decompose a straddle into a volatility risk portfolio and a jump risk portfolio. The method utilizes the factor-mimicking portfolios in Cremers et al. (2015) to replicate the straddles that are originally used to construct these factor-mimicking portfolios. Based on...

We provide the first comprehensive analysis of option information for pricing the cross-section of stock returns by jointly examining extensive sets of firm and option characteristics. Using portfolio sorts and high-dimensional methods, we show that certain option measures have significant...