article establishes a martingale representation for matching estimators. This representation allows the use of martingale …

simplest form implies that Bitcoin prices form a martingale. We derive conditions, under which Bitcoin speculation cannot …

This paper proposes a method of testing whether a time series is a martingale. The procedure develops an asymptotic …

a zero mean martingale difference against the alternative that it is linearly predictable. Under the null of no …

loss of information about the location and size of risks of loss due to default on a number of interlinked securities …, special purpose vehicles, and derivatives, all related to subprime mortgages. Subprime mortgages are a financial innovation … net) with derivatives. When the housing price bubble burst, this chain of securities, derivatives, and off-balance sheet …

affects their default risk, their systematic risk, and their stock prices. In a typical CDO transaction a bank retains through … a first loss piece a very high proportion of the default losses, and transfers only the extreme losses to other market … participants. The size of the first loss piece is largely driven by the average default probability of the securitized assets. If …