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How much do negative probabilities matter in option pricing? : a case of a lattice-based approach for stochastic volatility models

Tseng, Chung-Li; Miao, Daniel Wei-Chung; Chung, San-Lin; … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-32

In this paper, we focus on two-factor lattices for general diffusion processes with state-dependent volatilities. Although it is common knowledge that branching probabilities must be between zero and one in a lattice, few methods can guarantee lattice feasibility, referring to the property that...

Persistent link: https://www.econbiz.de/10012587779

Crypto-coins and credit risk : modelling and forecasting their probability of death

Fantazzini, Dean - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-34

This paper examined a set of over two thousand crypto-coins observed between 2015 and 2020 to estimate their credit risk by computing their probability of death. We employed different definitions of dead coins, ranging from academic literature to professional practice; alternative forecasting...

Persistent link: https://www.econbiz.de/10013370404

Impacts of infectious disease outbreaks on firm performance and risk : the forest industries during the COVID-19 pandemic

Størdal, Ståle; Lien, Gudbrand; Trømborg, Erik - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-13

pricing model. Our event-study analysis of the forest products industry shows that the forestry subsector was impacted more … the systematic risk for the forestry subsector tended to increase during 2020, until October. Again, this effect was most …

Persistent link: https://www.econbiz.de/10012626086

The influence of domestic and foreign shocks on portfolio diversification gains and the associated risks

Narayan, Seema - In: Journal of risk and financial management : JRFM 12 (2019) 4/160, pp. 1-26

dynamic conditional correlations (DCCs) between international stock markets and correlation volatility, respectively. The … correlations between markets have implications for the gains from portfolio diversification, while correlation volatilities can be … the size effects of shocks, dominated as a determinant of correlation volatility (or risks to portfolio diversification …

Persistent link: https://www.econbiz.de/10012172980

Generalized mean-reverting 4/2 Factor Model

Cheng, Yuyang; Escobar, Marcos; Gong, Zhenxian - In: Journal of risk and financial management : JRFM 12 (2019) 4/159, pp. 121

This paper proposes and investigates a multivariate 4/2 Factor Model. The name 4/2 comes from the superposition of a CIR term and a 3/2-model component. Our model goes multidimensional along the lines of a principal component and factor covariance decomposition. We find conditions for...

Persistent link: https://www.econbiz.de/10012172988

Time-scale relationship between securitized real estate and local stock markets : some wavelet evidence

Liow, Kim Hiang; Zhou, Xiaoxia; Li, Qiang; Huang, Yuting - In: Journal of risk and financial management : JRFM 12 (2019) 1/16, pp. 1-23

relationship between the two asset markets is time–frequency varying. The average long run real estate–stock correlation fails to … outweigh the average short run correlation, indicating the real estate markets examined may have become increasingly less …

Persistent link: https://www.econbiz.de/10011961522

Multiscale partial correlation clustering of stock market returns

Michis, Antonis A. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-22

This study proposes a wavelet procedure for estimating partial correlation coefficients between stock market returns …

Persistent link: https://www.econbiz.de/10012813576

A cryptocurrency spectrum short analysis

Șcheau, Mircea Constantin; Crăciunescu, Simona Liliana; … - In: Journal of risk and financial management : JRFM 13 (2020) 8/184, pp. 1-16

Technological development brings about economic changes that affect most citizens, both in developed and undeveloped countries. The implementation of blockchain technologies that bring cryptocurrencies into the economy and everyday life also induce risks. Authorities are continuously concerned...

Persistent link: https://www.econbiz.de/10012321949

COVID-19 outbreak and CO2 emissions : macro-financial linkages

Chevallier, Julien - In: Journal of risk and financial management : JRFM 14 (2021) 1/12, pp. 1-18

In the Dynamic Conditional Correlation with Mixed Data Sampling (DCC-MIDAS) framework, we scrutinize the correlations …

Persistent link: https://www.econbiz.de/10012404280

Do the determinants of non-performing loans have a different effect over time? : a conditional correlation approach

Fallanca, Mariagrazia; Forgione, Antonio Fabio; … - In: Journal of risk and financial management : JRFM 14 (2021) 1/21, pp. 1-15

derived in terms of correlation coefficients evaluated in certain time spans, which represent a sort of average level of … an empirical exercise using dynamic conditional correlation models, with constant and time-varying parameters. Applying … find that the correlation is often negligible in this period except during periods of economic crises, in particular the …

Persistent link: https://www.econbiz.de/10012416891