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A new approach to portfolio analysis of financial market risks by random set tools is considered. Despite many attempts, the consistent and global modeling of financial markets remains an open problem. In particular it remains a challenge to find a simple and tractable economic and probabilistic...
Persistent link: https://www.econbiz.de/10005037758
financial sector risk. …
Persistent link: https://www.econbiz.de/10010576473
We address the general issue of econometric specifications of dynamic asset pricing models, which cover the modern literature on conditionally heteroskedastic factor models as well as equilibrium-based asset pricing models with an intertemporal specification of preferences and market fundamentals.
Persistent link: https://www.econbiz.de/10005641165
In this paper, we characterize the asymmetries of the smile through multiple leverage effects in a stochastic dynamic asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent state variables.
Persistent link: https://www.econbiz.de/10005486770
This paper studies bivariate tail comovements on financial markets that are of crucial importance for the world economy: the S&P 500, US bonds, and currencies. We propose to study that form of dependence under the lens of cojump identification in a bivariate Brownian semimartingale with...
Persistent link: https://www.econbiz.de/10010939657
towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical …
Persistent link: https://www.econbiz.de/10005780758
Persistent link: https://www.econbiz.de/10004310203
This lecture is about how best to evaluate economic theories in macroeconomics and finance, and the lessons that can be learned from the past use and misuse of evidence. It is argued that all macro/finance models are ‘false’ so should not be judged solely on the realism of their...
Persistent link: https://www.econbiz.de/10011133568
We perform the Multifractal Detrended Fluctuation Analysis (MF-DFA) method to investigate the multifractal properties of the Moroccan All Shared Index (MASI) and the Moroccan Most Active Shares Index (MADEX) from the Casablanca Stock Exchange (CSE). By applying the MF-DFA method we first...
Persistent link: https://www.econbiz.de/10011108137
We use annual, quarterly and monthly data from the US to show that the correlation between housing prices and transaction volume (number of existing houses sold) differs across different frequencies. While the correlation is high at low frequencies it declines to the levels close to zero at high...
Persistent link: https://www.econbiz.de/10011109394