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A quantilogram approach to evaluating directional predictability

Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2003

given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the …In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a … stock index return data. The empirical results suggest some directional predictability in returns, especially in mid …

Persistent link: https://www.econbiz.de/10010928727

How to gamble against all odds

Peretz, Ron; Bavly, Gilad - London School of Economics (LSE) - 2014

A decision maker observes the evolving state of the world while constantly trying to predict the next state given the history of past states. The ability to benefit from such predictions depends not only on the ability to recognize patters in history, but also on the range of actions available...

Persistent link: https://www.econbiz.de/10011126199

On a semiparametric survival model with flexible covariate effect

Nielsen, Jens P.; Linton, Oliver; Bickel, Peter J. - London School of Economics (LSE) - 1998

A semiparametric hazard model with parametrized time but general covariate dependency is formulated and analyzed inside the framework of counting process theory. A profile likelihood principle is introduced for estimation of the parameters: the resulting estimator is n1/2-consistent,...

Persistent link: https://www.econbiz.de/10010928597

Model risk of risk models

Danielsson, Jon; James, Kevin R.; Valenzuela, Marcela; … - London School of Economics (LSE) - 2014

This paper evaluates the model risk of models used for forecasting systemic and market risk. Model risk, which is the potential for different models to provide inconsistent outcomes, is shown to be increasing with and caused by market uncertainty. During calm periods, the underlying risk...

Persistent link: https://www.econbiz.de/10011163510

The value of insolvency safe harbours

Paech, Philipp - London School of Economics (LSE) - 2015

‘Safe harbour’ is shorthand for a bundle of privileges in insolvency which are typically afforded to financial institutions. They are remotely comparable to security interests as they provide a financial institution with a considerably better position as compared to other creditors should...

Persistent link: https://www.econbiz.de/10011264787

Regulating financial market infrastructures

Ferrarini, Guido; Saguato, Paolo - London School of Economics (LSE) - 2014

This paper focuses on the impact of financial market infrastructures (FMIs) and of their regulation on the post-crisis transformation of securities and derivatives markets. It examines, in particular, the role that trading and post-trading FMIs, and their new regulatory regime, are playing in...

Persistent link: https://www.econbiz.de/10011125895

Systemic losses due to counterparty risk in a stylized banking system

Birch, Annika; Aste, Tomaso - London School of Economics (LSE) - 2014

We report a study of a stylized banking cascade model investigating systemic risk caused by counterparty failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally operating or distressed and the state of a bank changes from...

Persistent link: https://www.econbiz.de/10011125937

Equilibrium asset pricing with systemic risk

Danielsson, Jon; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2008

We provide an equilibrium multi-asset pricing model with micro- founded systemic risk and heterogeneous investors. Systemic risk arises due to excessive leverage and risk taking induced by free-riding externalities. Global risk-sensitive financial regulations are introduced with a view of...

Persistent link: https://www.econbiz.de/10011126632

The determinants of systemic importance

Moore, Kyle; Zhou, Chen - London School of Economics (LSE) - 2014

This paper empirically analyses the determinants of banks’ systemic importance. With applying a novel measure on the systemic importance to US bank holding companies in 2000–2010, we show that size is an important determinant of systemic importance, but banks with size above a certain...

Persistent link: https://www.econbiz.de/10011126741

A time series analysis of financial fragility in the UK banking system

Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004

This paper extends the model proposed by Goodhart, Sunirand, and Tsomocos (2003, 2004a, b) to an infinite horizon setting. Thus, we are able to assess how the model conforms with the time series data of the U.K. banking system. We conclude that, since the model performs satisfactorily, it can be...

Persistent link: https://www.econbiz.de/10010744867