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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

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

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

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

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

On time-scaling of risk and the square–root–of–time rule

Danielsson, Jon; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2003

quantile of a return distribution is scaled to a lower frequency by the square-root of the time horizon. The aim of this paper …

Persistent link: https://www.econbiz.de/10010745168

A risk assessment model for banks

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

The objective of this paper is to propose a model to assess risk for banks. Its main innovation is to incorporate endogenous interaction between banks, recognising that the actual risk to which an individual bank is exposed also depends on its interaction with other banks and other private...

Persistent link: https://www.econbiz.de/10010745460

Market liquidity and funding liquidity

Brunnermeier, Markus K.; Pedersen, Lasse Heje - London School of Economics (LSE) - 2007

We provide a model that links an asset's market liquidity; i.e., the ease with which it is traded; and traders' funding liquidity, i.e. the ease with which they can obtain funding. Traders provide market liquidity, and their ability to do so depends on their availability of funding. Conversely,...

Persistent link: https://www.econbiz.de/10010745945

Equilibrium asset pricing with systemic risk

Danielsson, Jon; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2006

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/10010746199

Mark-to-market accounting and systemic risk: evidence from the insurance industry

Ellul, Andrew; Jotikasthira, Chotibhak; Lundblad, … - London School of Economics (LSE) - 2013

One of the most contentious issues raised during the recent crisis has been the potentially exacerbating role played by mark-to-market accounting. Many have proposed the use of historical cost accounting, promoting its ability to avoid the amplification of systemic risk. We caution against...

Persistent link: https://www.econbiz.de/10011171756