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Intensity of default in sovereign bonds: Estimation of an unobservable process

Otero, Karina V. - 2016

This paper proposes a new approach to estimate general stationary diﬀusion processes that describe the evolution of unobserved arrival rates of credit events on sovereign bonds, allowing for arbitrary parametric drift and diﬀusion speciﬁcations. The solutions and transition processes for...

Persistent link: https://www.econbiz.de/10015260419

A new Model for Stock Price Movements

Venier, Guido - 2007

with varying volatility i.e. heteroscedacity as well as slowly decaying autocorrelations of squared log returns. These …

Persistent link: https://www.econbiz.de/10015262728

A new Model for Stock Price Movements

Venier, Guido - 2007

timevarying volatility i.e. heteroscedasticity as well as slowly decaying autocorrelations of squared log returns i.e. long range …

Persistent link: https://www.econbiz.de/10015269256

A fundamental power price model with oligopolistic competition representation

Vazquez, Miguel; Barquín, Julián - 2009

description of the long-term volatility of power markets, which is usually hard to estimate through statistical models. …

Persistent link: https://www.econbiz.de/10015217109

On the Stationarity of Futures Hedge Ratios

Degiannakis, Stavros; Floros, Christos; Salvador, Enrique; … - 2020

Stationarity of hedge ratios can be viewed as a first step for portfolio hedging since it represents that the sensitivity of spot and futures returns follow a process whose main characteristics do not depend on time. However, we provide evidence that the hedge ratios of the main European stock...

Persistent link: https://www.econbiz.de/10015218391

Implied Volatility with Time-Varying Regime Probabilities

Lanne, Markku; Ahoniemi, Katja - 2008

implied volatility derived from call and put options on the USD/EUR exchange rate. The daily first difference of the USD … it is beneficial to jointly model the two implied volatility series: both mean squared errors and directional accuracy … in implied volatility is correctly forecast on two thirds of the trading days. …

Persistent link: https://www.econbiz.de/10015222255

An Analysis of the relationship between WTI term structure and oil market fundamentals in 2002-2009

Cavalcante, Mileno - 2010

The main objective of this paper is to analyze the behavior of the term structure of the WTI futures market between 2002 and 2009, period known by a sustained price rise followed by a price slump and again by a new price rise. To achieve this goal, we use Principal Component Analysis (PCA) to...

Persistent link: https://www.econbiz.de/10015222566

International stock market comovements: what happened during the financial crisis?

Horvath, Roman; Poldauf, Petr - 2011

We investigate the stock market comovements in Australia, Brazil, Canada, China, Germany, Hong Kong, Japan, Russia, South Africa, the UK, and the USA, both at the market and sectoral level in 2000-2010. Using multivariate GARCH models, our results suggest that the correlation among equity...

Persistent link: https://www.econbiz.de/10015229695

Long run credit risk diversification: empirical decomposition of corporate bond spreads

Sun, David; Lin, William T.; Nieh, Chien-Chung - 2007

Following the reduced-form models of Duffee (1999) and Jarrow, Lando and Yu (2003), this study investigates the risk diversification issue of corporate bond portfolios. Considering especially long run market behavior, our empirical decomposition of corporate bond yield spreads indicates that the...

Persistent link: https://www.econbiz.de/10015230996

Diversification with idiosyncratic credit spreads: a pooled estimation on heterogeneous panels

Lin, William; Sun, David - 2006

Following the method of Pesaran, Shin and Smith (1999), this study extends the results of Sun, Lin and Nieh (2007) to investigate the risk diversification issue of individual corporate bonds in portfolios. This is one of the few studies on the decomposition of individual corporate yield spreads....

Persistent link: https://www.econbiz.de/10015231000