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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

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 … problems related to violent behaviors of the underlying, like the existence of jumps, become then quite straightforward by … incorporating them into the trends. Several convincing computer experiments are reported. …

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

Robert C. Merton and the science of finance

Bodie, Zvi - In: Annual review of financial economics 12 (2020), pp. 19-38

Persistent link: https://www.econbiz.de/10012404616

Towards a new viewpoint on causality for time series

Fliess, Michel; Join, Cédric - HAL - 2014

Causation between time series is a most important topic in econometrics, financial engineering, biological and psychological sciences, and many other fields. A new setting is introduced for examining this rather abstract concept. The corresponding calculations, which are much easier than those...

Persistent link: https://www.econbiz.de/10010899129

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

Fliess, Michel; Join, Cédric - HAL - 2009

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 trends in financial time series, Proc. Int. Conf. Systems Theory …

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

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 paper, we show that traditional KPSS-based tests have a low power against nonstationarities stemming from changes in the unconditional variance. More precisely, we show that...

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

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

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

This paper shows some failures of the KPSS test when the source of the nonstationarity is explained by an unconditional volatility shift. We provide the asymptotic moments of the statistic under general case of shifts in the unconditional variance. We find that these moments remain unchanged...

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

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, exchange rates, etc. An early warning system (EWS) can detect existing changes and predict possible future changes before they occur. Two important statistical models for change...

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

The technology of decentralized finance (DeFi)

Auer, Raphael A.; Haslhofer, Bernhard; Kitzler, Stefan; … - 2023

Persistent link: https://www.econbiz.de/10013488869