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The art of fitting financial time series with Levy stable distributions

Scalas, Enrico; Kim, Kyungsik - Volkswirtschaftliche Fakultät, … - 2006

This paper illustrates a procedure for fitting financial data with alpha-stable distributions. After using all the available methods to evaluate the distribution parameters, one can qualitatively select the best estimate and run some goodness-of-fit tests on this estimate, in order to...

Persistent link: https://www.econbiz.de/10005836427

An empirical model of volatility of returns and option pricing

McCauley, Joseph L.; Gunaratne, Gemunu H. - Volkswirtschaftliche Fakultät, … - 2003

This paper reports several entirely new results on financial market dynamics and option pricing We observe that empirical distributions of returns are much better approximated by an exponential distribution than by a Gaussian. This exponential distribution of asset prices can be used to develop...

Persistent link: https://www.econbiz.de/10005836619

Institutional Clash and Financial Fragility. An Evolutionary Model of Banking Crises

Knutsen, Sverre; Sjögren, Hans - Volkswirtschaftliche Fakultät, … - 2009

There are mainly two types of theories explaining banking crisis, emanating from the monetarist school respectively institutional economics. Using an allegory, monetarists are discussing how much water in terms of liquidity that is needed to stop a fire escalating into a disaster, while...

Persistent link: https://www.econbiz.de/10005836657

Institutionalizing Northeast Asia: Challenges and Opportunities

Timmermann, Martina - Volkswirtschaftliche Fakultät, … - 2008

-territorial policy responses to such issues as trade, finance, the environment, human rights and human security. The copyright of this …

Persistent link: https://www.econbiz.de/10005836788

The scientist and the church

Nitzan, Jonathan; Bichler, Shimshon - Volkswirtschaftliche Fakultät, … - 2005

The April 21, 2005 issue of the LONDON REVIEW OF BOOKS carried a lead article titled ‘Blood for Oil?’ The paper is attributed to a group of writers and activists – Iain Boal, T.J. Clark, Joseph Matthews and Michael Watts – who identify themselves by the collective name ‘Retort.’ In...

Persistent link: https://www.econbiz.de/10005836969

Higher Education Trends in Eritrea

Rena, Ravinder - Volkswirtschaftliche Fakultät, … - 2007

Higher education has been viewed as a potential instrument of national economic development. Human resource development in Eritrea is important for making the nation self-reliant thus the efforts are exerted to achieve this objective. However, Eritrea has been facing so many challenges in its...

Persistent link: https://www.econbiz.de/10005837034

Nascent Entrepreneurs, Innovation and Financing Constraints

Audretsch, David B.; Bönte, Werner; Mahagaonkar, Prashanth - DRUID, Copenhagen Business School, Department of … - 2007

Innovative nascent entrepreneurs face the problem of obtaining finance, mainly due to information problems. We use new … affect the probability of having external finance in the planning stage but has a positive effect in the early stage. Early …, coupled with prototypes have a higher probability for external finance which may be due to reduced uncertainties and learning …

Persistent link: https://www.econbiz.de/10005839210

A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices

Albanese, Claudio; Lo, Harry; Tompaidis, Stathis - In: European Journal of Operational Research 222 (2012) 2, pp. 361-368

We present a numerical algorithm for pricing derivatives on electricity prices. The algorithm is based on approximating the generator of the underlying price process on a lattice of prices, resulting in an approximation of the stochastic process by a continuous time Markov chain. We numerically...

Persistent link: https://www.econbiz.de/10010597587

Forecasting financial failure using a Kohonen map: A comparative study to improve model stability over time

du Jardin, Philippe; Séverin, Eric - In: European Journal of Operational Research 221 (2012) 2, pp. 378-396

This study attempts to show how a Kohonen map can be used to improve the temporal stability of the accuracy of a financial failure model. Most models lose a significant part of their ability to generalize when data used for estimation and prediction purposes are collected over different time...

Persistent link: https://www.econbiz.de/10010597588

A mispricing model of stocks under asymmetric information

Buckley, Winston S.; Brown, Garfield O.; Marshall, Mario - In: European Journal of Operational Research 221 (2012) 3, pp. 584-592

We extend the theory of asymmetric information in mispricing models for stocks following geometric Brownian motion to constant relative risk averse investors. Mispricing follows a continuous mean-reverting Ornstein–Uhlenbeck process. Optimal portfolios and maximum expected log-linear utilities...

Persistent link: https://www.econbiz.de/10010597635