Similar Search Results

Winther, K. Tobias - EconWPA - 2002

The present paper develops a basic framework for evaluating and optimizing profits in a business operation. In developing a business we are often faced with an infinity of choices ranging from what products or services to sell and what customers to target to how to structure and manage the...

Persistent link: https://www.econbiz.de/10005561773

Estimating the probability of large negative stock market

Kostov, Philip; McErlean, Seamus - EconWPA - 2004

Correct assessment of the risks associated with likely economic outcomes is vital for effective decision making. The objective of investment in the stock market is to obtain positive market returns. The risk, however, is the danger of suffering large negative market returns. A variety of...

Persistent link: https://www.econbiz.de/10005413216

Specification Analysis of Option Pricing Models Based on Time- Changed Levy Processes

Huang, Jingzhi; Wu, Liuren - EconWPA - 2004

We analyze the specifications of option pricing models based on time- changed Levy processes. We classify option pricing models based on the structure of the jump component in the underlying return process, the source of stochastic volatility, and the specification of the volatility process...

Persistent link: https://www.econbiz.de/10005077041

Static Hedging of Standard Options

Carr, Peter; Wu, Liuren - EconWPA - 2004

We consider the hedging of options when the price of the underlying asset is always exposed to the possibility of jumps … hedge in the presence of jumps cannot be improved upon by increasing the rebalancing frequency. In contrast, the superior … empirical support for the existence of jumps of random size in the movement of the S&P 500 index. We also find that the …

Persistent link: https://www.econbiz.de/10005413226

A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange

Ekinci, Cumhur - EconWPA - 2003

This paper seeks whether the intraday patterns observed in most stock markets hold for an individual stock from the Istanbul Stock Exchange where the trading ceases for two hours during lunchtime. It investigates the most treated topics in market finance like liquidity, returns and volatility...

Persistent link: https://www.econbiz.de/10005561617

Time-varying Beta Risk of Pan-European Sectors: A Comparison of Alternative Modeling Techniques

Mergner, Sascha - EconWPA - 2005

This paper investigates the time-varying behavior of systematic risk for eighteen pan-European industry portfolios. Using weekly data over the period 1987-2005, three different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t- GARCH(1,1)...

Persistent link: https://www.econbiz.de/10005076972

Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques

Mergner, Sascha; Bulla, Jan - EconWPA - 2005

This paper investigates the time-varying behavior of systematic risk for eighteen pan-European sectors. Using weekly data over the period 1987- 2005, four different modeling techniques in addition to the standard constant coefficient model are employed: a bivariate t-GARCH(1,1) model, two Kalman...

Persistent link: https://www.econbiz.de/10005077020

Variance Risk Premia

Carr, Peter; Wu, Liuren - EconWPA - 2004

We propose a direct and robust method for quantifying the variance risk premium on financial assets. We theoretically and numerically show that the risk-neutral expected value of the return variance, also known as the variance swap rate, is well approximated by the value of a particular...

Persistent link: https://www.econbiz.de/10005413197

CIRCULAR VARIABLE WORK IN PROCESS

Vildosola, Luis - EconWPA - 2002

This work is focused on identifying a circular pull production control system (PPCS) and make emphasis on the presence of a stability attribute. It is an introductory paper to an extended study of macroeconomic financial stability in a physically open but systemic closed system. Previous work...

Persistent link: https://www.econbiz.de/10005126234

Valuation of Six Asian Stock Markets: Financial System Identification in Noisy Environments

LOS, CORNELIS A. - EconWPA - 2004

The open financial economic systems of six Asian countries Taiwan, Malaysia, Singapore, Philippines, Indonesia and Japan - over the period 1986 through 1995 are identified from empirical data to determine how their stock markets, economies and financial markets are interrelated. The objective is...

Persistent link: https://www.econbiz.de/10005134813

1
2
3
4
5
6
7
8
9
10
Next
Last