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Portfolio Analysis of Financial Market Risks by Random Set Tools
Vorobyev, Oleg Yu.; Novosyolov, Arcady A.; Simonov, … - Volkswirtschaftliche Fakultät, … - 2001
A new approach to portfolio analysis of financial market risks by random set tools is considered. Despite many attempts, the consistent and global modeling of financial markets remains an open problem. In particular it remains a challenge to find a simple and tractable economic and probabilistic...
Persistent link: https://www.econbiz.de/10005037758
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Does Uncertainty Affect Investment Expenditure? A Comment
Cantillo, Andres - Volkswirtschaftliche Fakultät, … - 2011
This is a theoretic and econometric assessment of Peter Ferderer’s seminal paper published in the Journal of Post Keynesian Economics with the same title in 1993. New data shows that high forecaster discords coincide with a decrease in Investment expenditure. Specifically, the forecaster...
Persistent link: https://www.econbiz.de/10011156960
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On the winning virtuous strategies for ultra high frequency electronic trading in foreign currencies exchange markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...
Persistent link: https://www.econbiz.de/10011156962
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Two Sample Tests for High Dimensional Covariance Matrices
Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2012
We propose two tests for the equality of covariance matrices between two high-dimensional populations. One test is on the whole variance-covariance matrices, and the other is on offdiagonal sub-matrices which define the covariance between two non-overlapping segments of the high-dimensional...
Persistent link: https://www.econbiz.de/10011259210
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Value-at-Risk in turbulence time
Genest, Benoit; Cao, Zhili - Volkswirtschaftliche Fakultät, … - 2014
Value-at-Risk (VaR) has been adopted as the cornerstone and common language of risk management by virtually all major … financial institutions and regulators. However, this risk measure has failed to warn the market participants during the … on CAC40 index, and the results show us that the first method will underestimate the market risk - the failure of VaR …
Persistent link: https://www.econbiz.de/10011201797
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A binomial tree to price European options
Brogi, Athos - Volkswirtschaftliche Fakultät, … - 2010
A time-changing volatility binomial tree to price European options is presented followed by an algorithm explaining how to implement the tree. Finally, the advantages of the model are listed.
Persistent link: https://www.econbiz.de/10009323641
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Financial market interdependencies: a quantile regression analysis of volatility spillover
Ben Rejeb, Aymen; Arfaoui, Mongi - Volkswirtschaftliche Fakultät, … - 2014
This paper investigates the degree and structure of interdependence between emerging (Asian and Latin American) and developed (USA and Japan) stock markets through the study of volatility spillovers for the period spanning from January 1, 1993 to October 13, 2010. Using both standard GARCH model...
Persistent link: https://www.econbiz.de/10011127578
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Return dynamics and volatility spillovers between FOREX and MENA stock markets: what to remember for portfolio choice?
Arfaoui, Mongi; Ben Rejeb, Aymen - Volkswirtschaftliche Fakultät, … - 2015
incorporation of foreign exchange in a full stock portfolio increase the risk-adjusted return while reducing its variance. We note …
Persistent link: https://www.econbiz.de/10011127581
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Stationarity and geometric ergodicity of a class of nonlinear ARCH models
Saidi, Youssef; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2006
A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and β-mixing solution is established under a mild assumption on the density of the underlying independent process. We give sufficient conditions for the existence of moments. The analysis...
Persistent link: https://www.econbiz.de/10011167230
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A Multifractal Detrended Fluctuation Analysis of the Moroccan Stock Exchange
Benbachir, Saâd; El Alaoui, Marwane - Volkswirtschaftliche Fakultät, … - 2011
We perform the Multifractal Detrended Fluctuation Analysis (MF-DFA) method to investigate the multifractal properties of the Moroccan All Shared Index (MASI) and the Moroccan Most Active Shares Index (MADEX) from the Casablanca Stock Exchange (CSE). By applying the MF-DFA method we first...
Persistent link: https://www.econbiz.de/10011108137