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Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016
We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...
Persistent link: https://www.econbiz.de/10011538004
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A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
sets a series of non-parametric based tests utilising entropy based metrics. These suggest that the PDFs and CDFs of these … two return distributions change shape in various subsample periods. The entropy and MI statistics suggest that the degree … most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the two distributions …
Persistent link: https://www.econbiz.de/10010326508
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An information-theoretical analysis of budget-constrained nonpoint source pollution control
Kaplan, Jonathan D.; Howitt, Richard E.; Farzin, Y. Hossein - 2001
learning. To overcome the inherent ill-posed statistical problem in NPS pollution data the sequential entropy filter is applied …
Persistent link: https://www.econbiz.de/10011608793
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Growth of strategy sets, entropy and nonstationary bounded recall
Neyman, Abraham; Okada, Daijiro - 2005
This paper initiates the study of long term interactions where players' bounded rationality varies over time. Time dependent bounded rationality is reflected in part in the number $\psi(t)$ of distinct strategies in the first $t$-stages. We examine how the growth rate of $\psi_i(t)$ affects...
Persistent link: https://www.econbiz.de/10010266360
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Using transfer entropy to measure information flows between financial markets
Dimpfl, Thomas; Peter, Franziska J. - 2012
We use transfer entropy to quantify information flows between financial markets and propose a suitable bootstrap … procedure for statistical inference. Transfer entropy is a model-free measure designed as the Kullback-Leibler distance of …
Persistent link: https://www.econbiz.de/10010318778
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Relationship between Czech and European developed stock markets: DCC MV GARCH analysis
Princ, Michael - 2010
The study concentrates on an analysis of the Czech stock market performed by an application of DCC MV GARCH model of Engle (2002). Data sample including years from 1994 to 2009 is represented by daily returns of Prague Stock Exchange index and other 11 major stock indices. There is found an...
Persistent link: https://www.econbiz.de/10010322302
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Modelling general dependence between commodity forward curves
Zolotko, Mikhail; Okhrin, Ostap - 2012
This study proposes a novel framework for the joint modelling of commodity forward curves. Its key contribution is twofold. First, dynamic correlation models are applied in this context as part of the modelling scheme. Second, we introduce a family of dynamic conditional correlation models based...
Persistent link: https://www.econbiz.de/10010318781
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Efficiency of South Asian capital markets: An empirical analysis
Mishra, P. K. - In: Pakistan Journal of Commerce and Social Sciences (PJCSS) 6 (2012) 1, pp. 27-34
In recent years, especially in the aftermath of the global financial meltdown, the performance of South Asia capital markets has attracted the attention of the researchers and investors across the globe. The resilient shown provides the impetus to examine the efficient market hypothesis in these...
Persistent link: https://www.econbiz.de/10011938297
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Derivatives and Default Risk
Scholz, Sebastian - 2010
Upstream producers that possess market power, sell forwards with a lengthy duration to regional electricity companies (REC). As part of the liberalization of the electricity market, RECs have been privatized and exposed to a possible bankruptcy threat if spot prices have fallen below their...
Persistent link: https://www.econbiz.de/10010427577
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Estimating large-scale factor models for economic activity in Germany: Do they outperform simpler models?
Dreger, Christian; Schumacher, Christian - 2002
This paper discusses a large-scale factor model for the German economy. Following the recent literature, a data set of 121 time series is used via principal component analysis to determine the factors, which enter a dynamic model for German GDP. The model is compared with alternative univariate...
Persistent link: https://www.econbiz.de/10010295521