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Hidden Markov models with t components. Increased persistence and other aspects

Bulla, Jan - Volkswirtschaftliche Fakultät, … - 2009

Hidden Markov models have been applied in many different fields during the last decades, including econometrics and finance. However, the lion’s share of the investigated models is Markovian mixtures of Gaussian distributions. We present an extension to conditional t-distributions, including...

Persistent link: https://www.econbiz.de/10008543807

Markov-switching Asset Allocation: Do Profitable Strategies Exist?

Bulla, Jan; Mergner, Sascha; Bulla, Ingo; Sesboüé, André - Volkswirtschaftliche Fakultät, … - 2010

This paper proposes a straightforward Markov-switching asset allocation model, which reduces the market exposure to periods of high volatility. The main purpose of the study is to examine the performance of a regime-based asset allocation strategy under realistic assumptions, compared to a buy...

Persistent link: https://www.econbiz.de/10008592944

La spéculation contribue- t- elle à expliquer la dynamique des prix des produits alimentaires au Sénégal ?

Diagne, Youssoupha S; Fall, Alsim - Volkswirtschaftliche Fakultät, … - 2009

This paper deals with the role of speculation on food prices' fluctuations in Senegal. The analysis is based on a … the speculators who intervene on the food markets. The results corroborate the presence of speculation in food markets … advantageous to hold some stock to increase his profit. The model also evaluates the income loss for consumers due to speculation …

Persistent link: https://www.econbiz.de/10011107785

Financial Capital Overaccumulation

Hsu, Sara - Volkswirtschaftliche Fakultät, … - 2012

Overaccumulation of financial capital at the expense of the real sector resulted in falling wages as well as in the most recent global financial crisis. This is a topic of increasing interest, as the idea that some developed economies have reached a stage of overfinancialization has gained some...

Persistent link: https://www.econbiz.de/10011108924

Choosing put option parameters based on quantiles from the distribution of portfolio value

Bell, Peter Newton - Volkswirtschaftliche Fakultät, … - 2014

This paper explores how a put option changes the probability distribution of portfolio value. The paper extends the model introduced in Bell (2014) by allowing both the quantity and strike price to vary. I use the 5% quantile from the portfolio distribution to measure riskiness and compare...

Persistent link: https://www.econbiz.de/10011109243

An evidence of speculation in Indian commodity markets

Varadi, Vijay Kumar - Volkswirtschaftliche Fakultät, … - 2012

commodity markets and financialization i.e., financial investors (portfolio investment and speculation) attitude. This paper is … an attempt to investigate for the evidence and its impact of speculation on volatility of commodity prices in Indian … commodity markets. Overall, results show that speculation has played decisive role in the price bubble during the global crisis. …

Persistent link: https://www.econbiz.de/10011258424

A game theory model for currency markets stabilization

Musolino, Francesco; Carfì, David - Volkswirtschaftliche Fakultät, … - 2012

The aim of this paper is to propose a methodology to stabilize the currency markets by adopting Game Theory. Our idea is to save the Euro from the speculative attacks (due the crisis of the Euro-area States), and this goal is reached by the introduction, by the normative authority, of a...

Persistent link: https://www.econbiz.de/10011258452

Game theory model for European government bonds market stabilization: a saving-State proposal

Carfì, David; Musolino, Francesco - Volkswirtschaftliche Fakultät, … - 2012

only the speculative profits. We show that the above tax would probably be able to avert the speculation, and, even in case … of speculation on its government bonds, the State manages to pull itself out of the crisis. Finally, we also propose a …

Persistent link: https://www.econbiz.de/10011258488

The US financial system, the great recession, and the “speculative spread”

Hsu, Sara - Volkswirtschaftliche Fakultät, … - 2012

of the economy, with curbs on the worst practices of speculation, are necessary to provide long-term stability. We have … explored one way in which to measure speculation versus production, in what we call a “speculative spread,” and suggest that …

Persistent link: https://www.econbiz.de/10011259119

Speculation and regulation in commodity markets: The Keynesian approach in theory and practice

Marcuzzo, Maria Cristina - Volkswirtschaftliche Fakultät, … - 2012

in the project -The return to Keynes. Speculation and stabilization policies: money and commodities- financed by the … Italian Ministry of Education (PRIN 2008). They focus on four main areas of investigation: Keynes’s ideas on speculation, case …

Persistent link: https://www.econbiz.de/10011259254