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Time-varying correlation between stock market returns and real estate returns

Heaney, Richard A.; Sriananthakumar, Sivagowry - In: Journal of empirical finance 19 (2012) 4, pp. 583-594

Persistent link: https://www.econbiz.de/10009615660

Testing linear regression model with AR(1) errors against a first-order dynamic linear regression model with white noise errors : a point optimal testing approach

Sriananthakumar, Sivagowry - In: Economic modelling 33 (2013), pp. 126-136

Persistent link: https://www.econbiz.de/10010192022

Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach

Sriananthakumar, Sivagowry - In: Econometric reviews 38 (2019) 4, pp. 451-464

Persistent link: https://www.econbiz.de/10012181311

Are the current account imbalances on a sustainable path?

Narayan, Seema; Sriananthakumar, Sivagowry - In: Journal of Risk and Financial Management 13 (2020) 9, pp. 1-25

This paper examines the current accounts of 16 developed and developing countries over the period 1970 to 2018. We test whether these nations satisfy their intertemporal solvency condition for external imbalances. The solvency condition in the strong form entails: (1) a cointegration, or a long...

Persistent link: https://www.econbiz.de/10012611434

Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model

Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - In: Journal of Risk and Financial Management 14 (2021) 3, pp. 1-19

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We derive the asymptotic hedging error for options under a...

Persistent link: https://www.econbiz.de/10012611654