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A note on the early warning system of change points : combination of regime switching and threshold models

Habibi, Reza - In: Financial studies 28 (2024) 2, pp. 6-18

Abrupt changes are a prevalent feature of financial data sets, such as prices of financial assets, returns of stocks …

Persistent link: https://www.econbiz.de/10015065127

Preliminary remarks on option pricing and dynamic hedging

Fliess, Michel; Join, Cédric - HAL - 2012

An elementary arbitrage principle and the existence of trends in financial time series, which is based on a theorem published in 1995 by P. Cartier and Y. Perrin, lead to a new understanding of option pricing and dynamic hedging. Intricate problems related to violent behaviors of the underlying,...

Persistent link: https://www.econbiz.de/10010551681

Power of the KPSS test against shift in variance: a further investigation.

Ibrahim, Ahamada; Mohamed, Boutahar - In: Economics Bulletin 32 (2012) 1, pp. 854-865

. We find that these moments remain unchanged even under high abrupt changes. Finally a complementary test is proposed. …

Persistent link: https://www.econbiz.de/10011278646

The Power of some Standard tests of stationarity against changes in the unconditional variance.

Ahamada, Ibrahim; Boutahar, Mohamed - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2010

Abrupt changes in the unconditional variance of returns have been recently revealed in many empirical studies. In this … unconditional variance. More precisely, we show that even under very strong abrupt changes in the unconditional variance, the …-based tests confirm the presence of strong abrupt changes in the unconditional variance of stock returns, whereas KPSS-based tests …

Persistent link: https://www.econbiz.de/10008622067

A model-free approach to delta hedging

Fliess, Michel; Join, Cédric - HAL - 2010

See http://hal.inria.fr/inria-00479824/en/ for a slightly more elaborate version.

Persistent link: https://www.econbiz.de/10008833330

The power of some standard tests of stationarity against changes in the unconditional variance

Ahamada, Ibrahim; Boutahar, Mohamed - HAL - 2010

Persistent link: https://www.econbiz.de/10010603693

Delta Hedging in Financial Engineering: Towards a Model-Free Approach

Fliess, Michel; Join, Cédric - HAL - 2010

are presented. Some of them are dealing with abrupt changes, i.e., jumps. …

Persistent link: https://www.econbiz.de/10008792834

Systematic risk analysis: first steps towards a new definition of beta

Fliess, Michel; Join, Cédric - HAL - 2009

We suggest a new model-free definition of the beta coefficient, which plays an important rôle in systematic risk management. This setting, which is based on the existence of trends for financial time series via nonstandard analysis (Fliess M., Join C.: A mathematical proof of the existence of...

Persistent link: https://www.econbiz.de/10008792703