Similar Search Results

Persistence Characteristics of Latin American Financial Markets

Zong, Sijing; Los, Cornelis A.; Kyaw, Nyonyo - EconWPA - 2004

The financial rates of return from Latin American stock and currency markets are found to be non-normal, non-stationary, non-ergodic and long-term dependent, i.e., they have long memory. The degree of long- term dependence is measured by monofractal (global) Hurst exponents from wavelet...

Persistent link: https://www.econbiz.de/10005125049

Long Memory Options: LM Evidence and Simulations

Jamdee, Sutthisit; Los, Cornelis A. - EconWPA - 2005

This paper demonstrates the impact of the observed financial market persistence or long term memory on European option valuation by simple simulation. Many empirical researchers have observed the non-Fickian degrees of persistence or long memory in the financial markets different from the...

Persistent link: https://www.econbiz.de/10005134830

Long Memory Options: Valuation

JAMDEE, SUTTHISIT; LOS, CORNELIS A. - EconWPA - 2004

This paper graphically demonstrates the significant impact of the observed financial market persistence, i.e., long term memory or dependence, on European option valuation. Many empirical researchers have observed non-Fickian degrees of persistence or long memory in the financial markets...

Persistent link: https://www.econbiz.de/10005561723

Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate

Jamdee, Sutthisit; Los, Cornelis A. - EconWPA - 2005

original empirical time series, but also with the simulated results from the corresponding Brownian Motion and GARCH processes … wavelet scalograms, we demonstrate that the MMAR outperforms both the GBM and GARCH(1,1) in time-frequency comparisons, in … attributes of the empirical distributions, while the simulated GBM and GARCH(1,1) processes cannot preserve the thick-tails, high …

Persistent link: https://www.econbiz.de/10005077018

Visualization of Chaos for Finance Majors

LOS, CORNELIS A. - EconWPA - 2004

Efforts to simulate turbulence in the financial markets include experiments with the logistic equation: x(t)=kappa x(t-1)[1-x(t-1)], with 0 x(t)1 and 0 = kappa 4. Visual investigation of the logistic equation show the various stability and instability regimes for the various value of the...

Persistent link: https://www.econbiz.de/10005077029

Dynamic Risk Profile of the US Term Structure by Wavelet MRA

JAMDEE, SUTTHISIT; LOS, CORNELIS A. - EconWPA - 2004

A careful examination of interest rate time series from different U.S. Treasury maturities by Wavelet Multiresolution Analysis (MRA) suggests that the first differences of the term structure of interest rate series are periodic or, at least, cyclic, non-stationary, long-term dependent, in...

Persistent link: https://www.econbiz.de/10005125063

Building a Better Fund of Hedge Funds: A Fractal and Alpha - Stable Distribution Approach

Olszewski, Yan - EconWPA - 2005

Markowitz’s (1952) portfolio theory has permeated financial institutions over the past 50 years. Assuming that returns are normally distributed, Markowitz suggests that portfolio optimization should be performed in a mean-variance framework. With the emergence of hedge funds and their...

Persistent link: https://www.econbiz.de/10005134811

Persistence Characteristics of the Chinese Stock Markets

Los, Cornelis A.; Yu, Bing - EconWPA - 2005

This paper identifies such fundamental characteristics as the lack of ergodicity, stationarity, and independence, and it identifies the degree of initial persistence of the Chinese stock markets when they were more regulated. The index series are from the Shanghai (SHI) stock market and Shenzhen...

Persistent link: https://www.econbiz.de/10005561572

Persistence Characteristics of Latin American Financial Markets

KYAW, NYO NYO A.; LOS, CORNELIS A.; ZONG, SIJING - EconWPA - 2004

Static time series models usually assume stationarity, normality, and independence for the increments of financial rates of return. This paper investigates the empirical characteristics of financial rates of return from Latin American stock and currency markets and documents that their empirical...

Persistent link: https://www.econbiz.de/10005561684

Why VAR Fails: Long Memory and Extreme Events in Financial Markets

Los, Cornelis A. - EconWPA - 2004

The Value-at-Risk (VAR) measure is based on only the second moment of a rates of return distribution. It is an insufficient risk performance measure, since it ignores both the higher moments of the pricing distributions, like skewness and kurtosis, and all the fractional moments resulting from...

Persistent link: https://www.econbiz.de/10005413041