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Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....
Persistent link: https://www.econbiz.de/10010271838
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...
Persistent link: https://www.econbiz.de/10010274279
Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so …
Persistent link: https://www.econbiz.de/10010318771
studies have shown and translate into substantial utility gains from the perspective of an investor with pronounced risk …
Persistent link: https://www.econbiz.de/10010318770
studies risk of collateralized debt obligations (CDOs) by investigating the evolution of tranche spread surfaces and base … better understanding of the risk associated with trading CDOs and other structured products. …
Persistent link: https://www.econbiz.de/10010318788
This paper addresses the open debate about the effectiveness and practical relevance of highfrequency (HF) data in portfolio allocation. Our results demonstrate that when used with proper econometric models, HF data offers gains over daily data and more importantly these gains are maintained...
Persistent link: https://www.econbiz.de/10010281594
Complex phenomena in environmental sciences can be conveniently represented by several inter-dependent random variables. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we consider a novel family of bivariate copulas, called...
Persistent link: https://www.econbiz.de/10010333211
It is commonly accepted that information is helpful if it can be exploited to improve a decision making process. In economics, decisions are often based on forecasts of up- or downward movements of the variable of interest. We point out that directional forecasts can provide a useful framework...
Persistent link: https://www.econbiz.de/10010271901
This study analyses credit default risk for firms in the Asian and Pacific region by applying two methodologies: a … accuracy the SVM has a lower model risk than the Logit on average and displays a more robust performance. This result holds …
Persistent link: https://www.econbiz.de/10010281539
Risk management and the thorough understanding of the relations betweenfinancial markets and the standard theory of … relative risk aversion) using stocks and options data... …
Persistent link: https://www.econbiz.de/10005854712