This paper is concerned with the use of currently available technology to provide individuals, financial advisors and pension fund financial planners with detailed prospective financial plans tailored to an individual's financial goals and obligations. By taking account of all prospective cash...

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...

We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...

This paper focuses on volatility of financial markets, which is one of the most important issues in finance, especially with regard to modeling high-frequency data. Risk management, asset pricing and option valuation techniques are the areas where the concept of volatility estimators...

The interest rate transition from the positive environment, into the negative territory questions the consensus of interest rates and opens up a wide field of unresearched areas. To cope with the changing interest rate environment as well as satisfying regulatory criteria, a model following the...

In this work we present a methodology to detect rare events which are defined as large price movements relative to the volume traded. We analyze the behavior of equity after the detection of these rare events. We provide methods to calibrate trading rules based on the detection of these events...

This paper proposes a GARCH-jump mixed model for individual stock returns that takes into account four types of risks: the systematic and idiosyncratic jumps and the systematic and idiosyncratic diffusive volatility. By considering a general pricing kernel with all underlying risk factors, we...

Contemporary actuarial and accounting practices (APN 110 in the South African context) require the use of market-consistent models for the valuation of embedded investment derivatives. These models have to be calibrated with accurate and up-to-date market data. Arguably, the most important...

Uncertainty about an economy’s regime can change drastically around a crisis. An imported crisis such as the global financial crisis in the euro area highlights the effect of foreign shocks. Estimating an open-economy nonlinear dynamic stochastic general equilibrium model for the euro area and...

In this paper, we examine potential time-varying correlations between crude oil future and USA bond markets. We employ a dynamic conditional correlation (DCC) multivariate GARCH model in order to quantify potential contagion effects between the markets for the period 2005-2020. We divide the...