This paper constructs the positive arbitrage position by alternating the spot index with Chinese Exchange Traded Fund (ETF) portfolio and estimating the arbitrage-free interval of futures with the latest trade data. Then, an improved Delta-normal method was used, which replaces the simple linear...

This paper proposes a novel nonlinear model for calculating Value-at-Risk (VaR) when the market risk factors of an option portfolio are heavy-tailed. A multivariate mixture of normal distributions is used to depict the heavy-tailed market risk factors and accordingly a closed form expression for...

ABSTRACT We investigate the realized volatility forecast of stock indices under the structural breaks. We utilize a pure multiple mean break model to identify the possibility of structural breaks in the daily realized volatility series by employing the intraday high‐frequency data of the...

A simulation model consisting of wind speed, wind turbine and AA-CAES (advanced adiabatic compressed air energy storage) system is developed in this paper, and thermodynamic analysis on energy conversion and transfer in hybrid system is carried out. The impacts of stable wind speed and unstable...

We investigate the properties of the realized volatility in Chinese stock markets by employing the high-frequency data of Shanghai Stock Exchange Composite Index and four individual stocks from Shanghai Stock Exchange and Shenzhen Stock Exchange, and find that the volatility exhibits the...

Microeconomic applications of semi-parametric models with an endogenous variable have been largely ignored. Recognizing spatial heterogeneity captured by semi-parametric cost function models can impact economies of scale estimates. We estimate several cost function models, using panel data for...