We show that a simple equilibrium model with uncertain growth is able to simultaneously generate patterns in implied volatility and risk aversion that are similar to the ones observed in the data.

Motivated by a central banker with a symmetric but non-quadratic loss function, we show in this note that the approximations of two plausible loss functions of this type will include a quartic term. For skewed distributions, we establish that such a loss function implies a systematic inflation...

In this study, we use the newly developed momentum threshold unit root and cointegration tests advanced by Enders and Granger (1998), and Enders and Siklos (2001) to investigate if there is any asymmetric adjustment in long-run prices and dividends in Taiwan¡¦s stock market during June...

A new method for detecting low dimensional chaos in small sample sets is presented. The method is applied to financial data on low frequency (annual and monthly) for which few observations are available.

This paper investigates the performances of GMM estimates using kernel methods with and without prewhitening and the VARHAC method in a representative agent exchange economy. A Monte Carlo study is conducted to evaluate the issues of estimating the spectral density functions, e.g., parametric...

Based on the well-established trade relations between the U.S. and its major trading partners, this paper examines the robustness of the trade relation hypothesis which, in some recent studies, argues that difference in trade relations among countries can significantly explain difference in the...

I investigate the impact of the Global Financial Crisis (GFC) on the returns and volatilities of eleven major European share markets, and test the proposition that the GFC developed over two stages: a subprime mortgage crisis (pre-Lehman), and a more severe global liquidity shortage phase...

In this paper we use a copula-based GARCH model to estimate conditional variances and covariances of the bivariate relationships between U.S. market with Brazilian, Argentinean and Mexican markets. To that we used daily prices of S&P500, Ibovespa, Merval and IPC from January 2009 to December...

We estimate in this paper a non probabilistic Markovien model of stock prices with an evolutionary selection of heterogeneous strategies. It is a model proposed by Brock and Hommes (1997, 1998) and improved later by Boswijk and al. (2007). Indeed, the latter propose one of the few estimations...

In this paper, we test the weak-form stock market efficiency for the Tunisian stock market (TSE). Our empirical approach is founded on the analysis of the behaviour over time of the Hurst's exponent. Thus, we computed the Hurst's exponent using a “rolling sample†with a time window of...