Showing 1 - 10 of 134
We revisit the apparent historical success of technical trading rules on daily prices of the DJIA from 1897 to 2008. We use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules and di- versies...
Persistent link: https://www.econbiz.de/10005222551
We revisit the apparent historical success of technical trading rules on daily prices of the Dow Jones Industrial Average index from 1897 to 2011, and we use the false discovery rate (FDR) as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more...
Persistent link: https://www.econbiz.de/10010587984
We prove that it eliminates asymptotically all spurious detections. Monte Carlo results show that it performs also well in nite samples. In Dow Jones stocks, spurious detections represent up to 50% of the jumps detected initially between 2006 and 2008. For the majority of stocks, jumps do not...
Persistent link: https://www.econbiz.de/10010680442
Persistent link: https://www.econbiz.de/10005523782
This paper offers an option pricing framework grouded in econometric microstructure modelling. We consider a model where stock price dynamics follow a pure jump process with constant jump size similar to a binomial setting with random time steps.
Persistent link: https://www.econbiz.de/10005486766
The aim of this paper is to analyze the sensitivity of Value at Risk (VaR) with respect to portfolio allocation. We derive analytical expresssions for the first and second derivatives of the Value at Risk, and explain how they can be used to simplify statistical inference and to perform a loval...
Persistent link: https://www.econbiz.de/10005486768
We analyze the joint convergence of sequences of discounted stock prices and Radon-Nicodym derivatives of the minimal martingale measure when interest rates are stochastic. Therefrom we deduce the convergence of option values in either complete or incomplete markets. We illustrate the general...
Persistent link: https://www.econbiz.de/10005390681
Macroeconomic time series often involve a threshold effect in their ARMA representation, and exhibit long memory features. In this paper we introduce a new class of threshold ARFIMA models to account for this. The threshold effect is introduced in the autoregressive and/or fractional integration...
Persistent link: https://www.econbiz.de/10005418207
Persistent link: https://www.econbiz.de/10004982613
The Ho and Lee model is the analogue for the study of the term structure of interest rates of the binomial tree introduced by Cox, Ross and Rubinstein in the one risky asset case. This model allows only for a small number of deformations of the term structure between two successive dates, and is...
Persistent link: https://www.econbiz.de/10004984998