The past decade's bull market in U.S. stock market and the experience in recent Asian financial crisis raised interesting questions on the impact of institutional investors (mutual funds, pension funds and hedge funds) on financial markets. Mutual funds in US have experienced unprecedented...

This article examines the relationship between aggregate monthly mutual fund flows (sales, redemptions and net sales) and stock and bond market returns from 1961 through 1996. The sharp growth of mutual funds in recent years has raised concerns about whether mutual fund are responsible for the...

Department: Business.

We introduce a novel approach to optimal investment-reinsurance problems of an insurance company facing model uncertainty via a game theoretic approach. The insurance company invests in a capital market index whose dynamics follow a geometric Brownian motion. The risk process of the company is...

We propose a novel empirical framework to assess the likelihood of joint and conditional failure for Euro area sovereigns. Our model is based on a dynamic skewed-t copulawhich captures all the salient features of the data, including skewed and heavy-tailed changes in the price of CDS protection...

We present a simple new methodology to allow for time variation in volatilities using a recursive updating scheme similar to the familiar RiskMetrics approach. We update parameters using the score of the forecasting distribution rather than squared lagged observations. This allows the parameter...

We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...

We consider a stochastic volatility stock price model in which the volatility is a non-centered continuous Gaussian process with arbitrary prescribed mean and covariance. By exhibiting a Karhunen-Lo\`{e}ve expansion for the integrated variance, and using sharp estimates of the density of a...

Due to poverty, serious soil erosion and shortage of rural household energy in Loess Hilly Region, Gansu Province, China, excessive consumption of biofuel has become a critical factor underlying eco-environment degeneration. Data on rural household energy use was obtained by questionnaires, and...