We provide clear-cut evidence for economically and statistically significant multivariate jumps (multi-jumps) occurring simultaneously in stock prices by using a novel nonparametric test based on smoothed estimators of integrated variances. Detecting multi-jumps in a panel of liquid stocks is...

We show that the profitability of currency carry trades can be understood as the compensation for exchange rate misalignment risk based on the rare disastrous model of exchange rates (Farhi and Gabaix, 2008). It explains over 97% of the cross-sectional excess returns and dominates other...

Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. This paper is an attempt to extend their work to a situation in which the unconditional volatility of the original asset is increasing during...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

An optimal asset allocation is crucial for non-life insurance companies. The most previous studies focused on this topic use a mono-objective technique optimization. This technique usually allows the maximization of shareholders’ expected utility. As non-life insurance company is a complex...

Credit risk has been a worrying type of risk for financial managers. Fortunately, a recent market development –credit derivatives- has made the credit risk more manageable. The loan portfolio management has become more practicable than it used to be in the past. However, credit derivatives are...

This study constructs active Islamic portfolios using a multi-style rotation strategy, derived from the three prominent styles, namely, momentum, value, and quality investing. We use the stocks that are consistently listed in the U.S. Dow Jones Islamic index for a sample period from 1996 to...

The main objective of Markowitz work is seeking optimal allocation of wealth on a defined number of assets while minimizing risk and maximizing returns of expected portfolio. At the beginning, proposed models in this issue are resolved basing on quadratic programming. Unfortunately, the real...

The monetary unit assumption of financial accounting assumes a stable currency (i.e., constant purchasing power over time). Yet, even during periods of low inflation or deflation, nominal financial statements violate this assumption. I posit that, while the effects of inflation are not...