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Quantifying reflexivity in financial markets : towards a prediction of flash crashes

Filimonov, Vladimir; Sornette, Didier - 2012

exogenous influences with self-excited dynamics, to the E-mini S&P 500 futures contracts traded in the Chicago Mercantile …

Persistent link: https://www.econbiz.de/10009561617

Response speeds of direct and securitized real estate to shocks in the fundamentals

Oikarinen, Elias; Hoesli, Martin; Serrano, Camilo - 2010

account of the influence of fundamentals on real estate market dynamics. Moreover, we consider the influence of the ‘escrow …

Persistent link: https://www.econbiz.de/10008797757

Linkages between direct and securitized real estate

Oikarinen, Elias; Hoesli, Martin; Serrano, Camilo - 2009

Using data for the 1978-2008 period, this study presents evidence for cointegration between securitized (NAREIT) and direct (NCREIF) total return indices. Cointegration between the indices indicates that REITs and direct real estate are substitutable in the portfolio of a long-horizon...

Persistent link: https://www.econbiz.de/10003970466

Momentum Without Crashes

Chitsiripanich, Soros; Paolella, Marc S.; Polak, Pawel; … - 2022

We construct a momentum factor that identifies cross-sectional winners and losers based on a weighting scheme that incorporates all the price data, over the entire lookback period, as opposed to only the first and last price points of the window. The weighting scheme is derived from the...

Persistent link: https://www.econbiz.de/10014236192

ALRIGHT : asymmetric LaRge-Scale (I)GARCH with hetero-tails

Paolella, Marc S.; Polak, Pawel - 2010

It is well-known in empirical nance that virtually all asset returns, whether monthly, daily, or intraday, are heavy-tailed and, particularly for stock returns, are mildly but often signi cantly negatively skewed. However, the tail indices, or maximally existing moments of the returns, can di er...

Persistent link: https://www.econbiz.de/10003980003

Are public and private asset returns and risks the same? : evidence from real estate data

Hoesli, Martin; Oikarinen, Elias - 2013

This article aims to investigate the similarity of public and private real estate returns and risks over the relatively long horizon using data for the U.S and the U.K. The results show evidence of a one-to-one relationship between publicly traded REIT performance and privately traded direct...

Persistent link: https://www.econbiz.de/10010256953

Macroeconomic determinants of stock market volatility and volatility risk-premiums

Corradi, Valentina; Distaso, Walter; Mele, Antonio - 2012

This paper introduces a no-arbitrage framework to assess how macroeconomic factors help explain the risk-premium agents require to bear the risk of fluctuations in stock market volatility. We develop a model in which stock volatility and volatility risk-premia are stochastic and derive...

Persistent link: https://www.econbiz.de/10009558368

Are REITs real estate? : evidence from international sector level data

Hoesli, Martin; Oikarinen, Elias - 2012

, which has generally relied on overall real estate market indices and neglected the potential long-term dynamics, our … econometric evaluation is based on sector level data and caters for both the short-term and long-term dynamics of the assets as …, Property Type, Dynamics, Leverage, Fundamentals, VECM …

Persistent link: https://www.econbiz.de/10009558452

Density approximations for multivariate affine jump-diffusion processes

Filipović, Damir; Mayerhofer, Eberhard; Schneider, Paul - 2011

We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess all polynomial moments. We establish parametric conditions...

Persistent link: https://www.econbiz.de/10009273229

A generalized 2D-dynamical mean-field Ising model with a rich set of bifurcations (inspired and applied to financial crises)

Smug, Damian; Sornette, Didier; Ashwin, Peter - 2017

spins and external magnetic ﬁeld, the model describes traders' opinion dynamics. The external ﬁeld is endogenised to …

Persistent link: https://www.econbiz.de/10011865581