This paper investigates the determinants of public pension plan risk-taking behavior using the percentage of total plan assets invested in the equity markets and the pension asset beta as measures of investment risk. We find that government accounting standards strongly affect public fund...

With the rapid development of China's economy, China's energy consumption is increasing. There has always been an objective contradiction between economic development and environmental pollution control. Green finance is an important tool to solve the problem. After testing that there is...

We say that there is contagion from market X to market Y if there is more dependence between X and Y when X is doing badly than when X exhibits typical performance, that is, if there is more dependence at the loss tail distribution of X than at its center. This alternative definition of...

A definition of contagion between financial markets based on local correlation was introduced in Bradley and Taqqu (2004) and a test for contagion was proposed. For the test to be implemented, local correlation must be estimated. This paper describes an estimation procedure based on...

We present an alternative definition of contagion between financial markets, which is based on a measure of local correlation. We say that there is contagion from market X to market Y if there is more dependence between X and Y when X is doing badly than when X exhibits typical performance, that...

We show that a fractional Brownian motion with H'E(0,1) can be represented as an explicit transformation of a fractional Brownian motion with index H E(0,1). In particular, when H'=1/2, we obtain a deconvolution formula (or autoregressive representation) for fractional Brownian motion. We work...

Methods for parameter estimation in the presence of long-range dependence and heavy tails are scarce. Fractional autoregressive integrated moving average (FARIMA) time series for positive values of the fractional differencing exponent d can be used to model long-range dependence in the case of...