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Inflation co-movement across countries in multi-maturity term structure : an arbitrage-free approach

Chen, Shi; Härdle, Wolfgang; Wang, Weining - 2015

capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage … the term structure of government bond yields, the arbitrage-free model we proposed is the extension of the arbitrage …

Persistent link: https://www.econbiz.de/10011389060

Arbitrage-Free Nelson-Siegel Model for Multiple Yield Curves

Brignone, Riccardo; Gerhart, Christoph; Lütkebohmert, Eva - 2021

We propose an affine term structure model that allows for tenor-dependence of yield curves andthus for different risk categories in interbank rates, an important feature of post-crisis interestrate markets. The model has a Nelson-Siegel factor loading structure and thus economicallywell...

Persistent link: https://www.econbiz.de/10013212931

Risk control of mean-reversion time in statistical arbitrage

Yeo, Joongyeub; Papanicolaou, George - In: Risk and decision analysis 6 (2017) 4, pp. 263-290

Persistent link: https://www.econbiz.de/10011925104

Election predictions are arbitrage-free : response to Taleb : letter to the editors

Clayton, Aubrey - In: Quantitative finance 19 (2019) 11, pp. 1771-1774

Persistent link: https://www.econbiz.de/10012194825

No-arbitrage priors, drifting volatilities, and the term structure of interest rates

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2020

Persistent link: https://www.econbiz.de/10012388385

Arbitrage risk and the cross-section of stock returns : evidence from China

Lin, Yu En; Chu, Chien Chi; Omura, Akihiro; Li, Bin; … - In: Emerging markets review 43 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012414438

Identification of nonlinear determinants of stock indices derived by Random Forest algorithm

Tratkowski, Grzegorz - In: International journal of management and economics 56 (2020) 3, pp. 209-217

In this paper, the use of the machine learning algorithm is examined in derivation of the determinants of price movements of stock indices. The Random Forest algorithm was selected as an ideal representative of the nonlinear algorithms based on decision trees. Various brokering and investment...

Persistent link: https://www.econbiz.de/10012303034

Predictable forward performance processes in complete markets

Angoshtari, Bahman - 2022

We establish existence of Predictable Forward Performance Processes (PFPPs) in complete markets, which has been previously shown only in the binomial setting. Our market model can be a discrete-time or a continuous-time model, and the investment horizon can be finite or infinite. We show that...

Persistent link: https://www.econbiz.de/10014256346

The law of one price in equity volatility markets

Van Tassel, Peter - 2020

This paper documents law of one price violations in equity volatility markets. While tightly linked by no-arbitrage … arbitrage opportunities occur when the prices of VIX futures violate their bounds. The deviations widen during periods of market … contribute to the variation in the no-arbitrage deviations over time. …

Persistent link: https://www.econbiz.de/10012391498

High-frequency CSI300 futures trading volume predicting through the neural network

Xu, Xiaojie; Zhang, Yun - In: Asian journal of economics and banking : AJEB 8 (2024) 1, pp. 26-53

Purpose - For policymakers and participants of financial markets, predictions of trading volumes of financial indices are important issues. This study aims to address such a prediction problem based on the CSI300 nearby futures by using high-frequency data recorded each minute from the launch...

Persistent link: https://www.econbiz.de/10014497016