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RECENT ADVANCES IN FINANCIAL ENGINEERING 2009:
Kijima, Masaaki (contributor); Hara, Chiaki (contributor);  … - World Scientific Publishing Co. Pte. Ltd.
This book consists of 11 papers based on research presented at the KIER-TMU International Workshop on Financial Engineering, held in Tokyo in 2009. The Workshop, organised by Kyoto University's Institute of Economic Research (KIER) and Tokyo Metropolitan University (TMU), is the successor to the...
Persistent link: https://www.econbiz.de/10008691678
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Introductory Course on Financial Mathematics
Tretyakov, M V - World Scientific Publishing Co. Pte. Ltd.
Price Evolution</li> <li>Elements of Probability Theory</li> <li>Discrete-Time Stochastic Processes</li> <li …
Persistent link: https://www.econbiz.de/10011156385
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Recent Advances in Financial Engineering 2012:Proceedings of the International Workshop on Finance 2012
Takahashi, Akihiko (contributor);  … - World Scientific Publishing Co. Pte. Ltd.
<i>Recent Advances in Financial Engineering 2012</i> is the Proceedings of the International Workshop on Finance 2012, which was held at the University of Tokyo on October 30 and 31, 2012. This workshop was organized by the Center for Advanced Research in Finance (CARF), Graduate School of Economics,...
Persistent link: https://www.econbiz.de/10011156389
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ADVANCED ASSET PRICING THEORY
Ma, Chenghu - World Scientific Publishing Co. Pte. Ltd.
This book provides a broad introduction of modern asset pricing theory with equal treatments for both discrete-time and … continuous-time modeling. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated … include microeconomic foundation of asset pricing theory, the no-arbitrage principle and fundamental theorem, risk measurement …
Persistent link: https://www.econbiz.de/10011143724
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In Search of Coincident and Leading Indicators of Economic Activity in Argentina
Simone, Alejandro - International Monetary Fund (IMF) - 2001
Time series on economic activity in developing countries, in particular real GDP, are reported with important lags. Therefore, it is useful to construct indicators that coincide or lead the actual direction and level of economic activity. A general methodology to construct these indicators is...
Persistent link: https://www.econbiz.de/10005604906
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Early and Late Reformers: Long-Term Trends of Public Expenditure in 21 OECD Countries
Osterkamp, Rigmar - In: CESifo DICE Report 1 (2003) 1, pp. 46-47
Persistent link: https://www.econbiz.de/10005037349
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The Efficiency of the Japanese Equity Market
Nagayasu, Jun - International Monetary Fund (IMF) - 2003
Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH)....
Persistent link: https://www.econbiz.de/10005825859
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Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises
González-Hermosillo, Brenda; Martin, Vance; Dungey, Mardi - International Monetary Fund (IMF) - 2003
The effects of unanticipated movements in global risk on nine emerging bond markets are investigated. The components of global risk are volatility, credit, and liquidity risks. Country and contagion risks are also studied individually. A historical decomposition of bond spreads is used to...
Persistent link: https://www.econbiz.de/10005768985
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Using the Scaling Analysis to Characterize Financial Markets
Matteo, T. Di; Aste, T.; Dacorogna, Michel M. - EconWPA - 2004
The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of daily Foreign Exchange rates, Stock Market indices and...
Persistent link: https://www.econbiz.de/10005134766
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Empirical evidence for alternative growth models : time series results.
Gundlach, Erich - Kiel Institute for the World Economy - 1993
Persistent link: https://www.econbiz.de/10008520134