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Time-changed Lévy jump processes with GARCH model on reverse convertibles

Simi, Wei W.; Wang, Xiaoli - In: Review of Financial Economics 22 (2013) 4, pp. 206-212

For decades, financial institutions have been very motivated in creating structured high-yield financial products, especially in the economic environment of lower interest rates. Reverse convertible notes (RCNs) are the type of financial instruments, which in recent years first in Europe and...

Persistent link: https://www.econbiz.de/10010875045

Rethinking risk and return: part 2 – some felicitous Fourier frequencies

Powers, Michael R. - In: Journal of Risk Finance 10 (2009) May, pp. 205-209

Purpose – This editorial, the second of a two-part series, proposes a new measure of risk for analyzing highly non-normal (i.e. asymmetric and long-tailed) random variables in the context of both investment and insurance portfolios. The proposed measure replaces the p-norm-based definition of...

Persistent link: https://www.econbiz.de/10004979812

Empirical Bayes estimation by wavelet series

Pensky, Marianna; Alotaibi, Mohammed - In: Statistics & Decisions 23 (2005) 3, pp. 181-198

-correlating property of wavelets which is not instrumental for the former wavelet-based EB techniques. As a result, estimation of wavelet …

Persistent link: https://www.econbiz.de/10014621307

Realized wavelet-based estimation of integrated variance and jumps in the presence of noise

Baruník, Jozef; Vácha, Lukáš - Institut für Volkswirtschaftslehre, … - 2014

-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the realized …

Persistent link: https://www.econbiz.de/10010986553

Gold, Oil, and Stocks

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - Institut für Volkswirtschaftslehre, … - 2014

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Persistent link: https://www.econbiz.de/10010986556

A wavelet approach for factor‐augmented forecasting

Rua, António - In: Journal of Forecasting 30 (2011) 7, pp. 666-678

It has been acknowledged that wavelets can constitute a useful tool for forecasting in economics. Through a wavelet … wavelets has mainly focused on univariate modelling. On the other hand, in a context of growing data availability, a line of … area countries. The results show that the forecasting performance is enhanced when wavelets and factor‐augmented models are …

Persistent link: https://www.econbiz.de/10010990712

Decomposing Time-Frequency Relationship between Interest Rates and Share Prices in India through Wavelets - La scomposizione della relazione di frequenza temporale tra tassi di int...

Tiwari, Aviral Kumar - In: Economia Internazionale / International Economics 66 (2013) 4, pp. 515-531

The study analyses Granger-causality between interest rate (IR) and share prices (SP) for India by using monthly data covering the period of 1990M1 to 2009M3. The time-frequency relationship between IR and SP was decomposed through continuous wavelet approach for the first time in the study. We...

Persistent link: https://www.econbiz.de/10010991460

Forecasting Urban Water Demand Via Wavelet-Denoising and Neural Network Models. Case Study: City of Syracuse, Italy

Campisi-Pinto, Salvatore; Adamowski, Jan; Oron, Gideon - In: Water Resources Management 26 (2012) 12, pp. 3539-3558

Forecasting urban water demand can be of use in the management of water utilities. For example, activities such as water-budgeting, operation and maintenance of pumps, wells, reservoirs, and mains require quantitative estimations of water resources at specified future dates. In this study, we...

Persistent link: https://www.econbiz.de/10010997289

An iterative algorithm for sparse and constrained recovery with applications to divergence-free current reconstructions in magneto-encephalography

Loris, Ignace; Verhoeven, Caroline - In: Computational Optimization and Applications 54 (2013) 2, pp. 399-416

We propose an iterative algorithm for the minimization of a ℓ <Subscript>1</Subscript>-norm penalized least squares functional, under additional linear constraints. The algorithm is fully explicit: it uses only matrix multiplications with the three matrices present in the problem (in the linear constraint, in the...</subscript>

Persistent link: https://www.econbiz.de/10010998285

Can we Improve Understanding of the Financial Market Dependencies in the Crisis by their Decomposition?

Barunik, Jozef - In: ACTA VSFS 7 (2013) 1, pp. 6-30

estimation to the time-frequency domain for the first time. Usage of wavelets allows us to decompose the correlation measures …

Persistent link: https://www.econbiz.de/10010860166

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