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Revisited multi-moment approximate option pricing models: a general comparison (Part 1)
Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002
these models the analytical expressions of implied probability densities, implied volatility smile functions and several …
Persistent link: https://www.econbiz.de/10010745304
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Skewness and kurtosis implied by option prices: a second comment
Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002
sensitivities of option prices to shifts in skewness and kurtosis using parameter values from Corrado- Su (1996) and Brown …
Persistent link: https://www.econbiz.de/10011071378
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Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
Lleo, Sebastien; Ziemba, Bill - London School of Economics (LSE) - 2014
We provide a historical perspective focusing on Ziemba's experiences and research on the bond-stock earnings yield differential model (BSEYD) starting from when he first used it in Japan in 1988 through to the present in 2014. The model has called many but not all crashes. Those called have high...
Persistent link: https://www.econbiz.de/10011170088
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Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia
Vedolin, Andrea - London School of Economics (LSE) - 2012
Volatility risk premia compensate agents for holding assets whose payoffs correlate with times of high return variation …. This paper takes a structural approach to explain the cross-section of volatility risk premia of stocks using a Lucas … uncertainty, namely (i) agents’ disagreement and (ii) time-varying volatility of fundamental growth rates. The paper shows that …
Persistent link: https://www.econbiz.de/10010745732
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How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks
Maillet, Bertrand; Michel, Thierry - London School of Economics (LSE) - 2002
Markets reacted strongly to the World Trade Center attacks both in Europe and in the United States. The extent of this crisis was difficult to assess at the time, underlining the need for a specific tool to measure the magnitude of financial crises. A first measure was recently proposed and...
Persistent link: https://www.econbiz.de/10010744901
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Estimation and testing of dynamic models with generalised hyperbolic innovations
Mencia, Javier F.; Sentana, Enrique - London School of Economics (LSE) - 2004
null hypotheses of multivariate normal and Student t innovations, and decompose them into skewness and kurtosis components …
Persistent link: https://www.econbiz.de/10010884659
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Estimating semiparametric ARCH (8) models by kernel smoothing methods
Linton, Oliver; Mammen, Enno - London School of Economics (LSE) - 2003
We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an...
Persistent link: https://www.econbiz.de/10011071447
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Are there any Animal Spirits behind the Scenes of the Euro area Sovereign Debt Crisis?
Mamatzakis, Emmanuel - London School of Economics (LSE) - 2013
This paper reveals the underlying market’s preferences over the on going Euro area sovereign debt crisis. It builds on a loss function with reference to the ‘basis’, the difference between the spread over swap and Credit Default Swap (CDS) for sovereign bonds. This loss function is general...
Persistent link: https://www.econbiz.de/10010686658
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The place of contract in organizational awareness: deconstructing process, market and connectedness
Scott, Susan V.; Paris, Carolyn - London School of Economics (LSE) - 2010
Throughout modern business history, contract has been used as an organizational technology that holds counterparties in formal or legally binding agreements. The proliferation of contract prompted the emergence of professional contract managers who played an important but relatively peripheral...
Persistent link: https://www.econbiz.de/10010744884
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House prices and rents: micro evidence from a matched dataset in Central London
Bracke, Philippe - London School of Economics (LSE) - 2013
Using the proprietary dataset of a real estate agency, I analyse tens of thousands of housing sale and rental transactions in Central London during the 2005-2011 period. I run hedonic regressions on both prices and rents and show that price-rent ratios are higher for bigger and more central...
Persistent link: https://www.econbiz.de/10010744927