Showing 1 - 10 of 10
According to classic economic theory, if global capital markets are fully integrated then arbitrage should force real interests rates to be equal among countries. However, a large body of empirical evidence suggests that this parity is not achieved. One potential factor in this failure of...
Persistent link: https://www.econbiz.de/10009431329
In North Carolina, where soybeans and corn are the two primary crops, the recent increase in the demand for U.S. corn has triggered a shift of farm acreage from soybeans to corn, leading to a rapid rise in prices of both commodities. However, the rate of the price changes, as well as the price...
Persistent link: https://www.econbiz.de/10009444704
In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co-variances. Traditional multi-variate techniques treat the correlations between covariates as constant over time; however, this view is not supported by the data. Secondly, since...
Persistent link: https://www.econbiz.de/10009430120
The Great Moderation, the significant decline in the variability of economic activity, provides a most remarkable feature of the macroeconomic landscape in the last twenty years. A number of papers document the beginning of the Great Moderation in the US and the UK. In this paper, we use the...
Persistent link: https://www.econbiz.de/10009430126
This paper produces evidence in support of the existence of common risk factors in the US andUK interest rate swap markets. Using a multivariate smooth transition autoregression (STVAR)framework, we show that the dynamics of the US and UK swap spreads are best described by aregime-switching...
Persistent link: https://www.econbiz.de/10009465473
This work develops asymptotically optimal dividend policies to maximize the expected present value of dividends until ruin. Compound Poisson processes with regime switching are used to model the surplus and the switching (a continuous-time controlled Markov chain) represents random environment...
Persistent link: https://www.econbiz.de/10009471481
Nowadays, the regime switching model has become a popular model in mathematical finance and actuarial science. The market is not complete when the model has regime switching. Thus, pricing the regime switching risk is an important issue. In Naik (1993), a jump diffusion model with two regimes is...
Persistent link: https://www.econbiz.de/10009471507
The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together....
Persistent link: https://www.econbiz.de/10009440952
A regime-switching model for analysis of market integration has been developed that incorporates rate of trade information. An application of the methods to United States–China soybean trade demonstrates that the extended trade information allows better interpretation of market conditions....
Persistent link: https://www.econbiz.de/10009442648
Replaced with revised version of paper 07/29/09.
Persistent link: https://www.econbiz.de/10009444711