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inference based on their lower dimensional representation. We apply DSFM to estimate the dynamic structure of risk neutral …
Persistent link: https://www.econbiz.de/10012966268
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 … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …
Persistent link: https://www.econbiz.de/10009665551
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 … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …
Persistent link: https://www.econbiz.de/10012999402
Motivated by the conjectured existence of trends in the intensity of tropical storms, this paper proposes new inferential methodology to detect a trend in the annual pattern of environmental data. The new methodology can be applied to data which can be represented as annual curves which evolve...
Persistent link: https://www.econbiz.de/10010529335
Motivated by the conjectured existence of trends in the intensity of tropical storms, this paper proposes new inferential methodology to detect a trend in the annual pattern of environmental data. The new methodology can be applied to data which can be represented as annual curves which evolve...
Persistent link: https://www.econbiz.de/10013020054
The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described …
Persistent link: https://www.econbiz.de/10005860758
The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described …
Persistent link: https://www.econbiz.de/10005677887
The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described …
Persistent link: https://www.econbiz.de/10012966254
The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described … level in 2002 and at 10% significance level in 2000. -- Risk Aversion ; Pricing kernel …
Persistent link: https://www.econbiz.de/10003635940
-term contracts. On the other hand, recent focus is on whether long memorycan affect the measurement of market risk in the context of … Value-at-Risk (VaR). In this paper, we evaluate the Value-at-Risk (VaR) and Expected Shortfall (ESF) in financial markets … under such conditions. We examine one equity portfolio, the British FTSE100 and three stocks of the German DAX index …
Persistent link: https://www.econbiz.de/10005860751