The paper studies the efficiency of the Indian equity and futures markets by applying statistical techniques to returns and volatility during trading and nontrading hours. Returns have been decomposed into trading and non-trading period returns by taking close to open, open to close and close to...

We propose a new measure to establish price leadership among multiple related price series using a Multivariate Markov Chain. This new measure, the Price Leadership Share (PLS), can easily be calculated when prices are related but not fully cointegrated or with more than two price series...

This paper addresses questions regarding the dimensionality of the stochastic discount factor and the selection of the best factors that enter it. We analyze these questions theoretically and empirically with a novel methodology which performs both (i) estimation of factor loadings and (ii) best...

This note is based on a recent confidence index introduced in the context of compensating probability factors for deviations of subjective probability measures from equivalent martingale measures. The index is adjusted for loss gain probability spreads, and it explains momentum in confidence. We...

This paper studies a Stieltjes-type moment problem defined by the generalized lognormal distribution, a heavy-tailed distribution with applications in economics, finance and related fields. It arises as the distribution of the exponential of a random variable following a generalized error...

This paper features the application of a novel and recently developed method of statistical and mathematical analysis to the assessment of financial risk: namely Regular Vine copulas. Dependence modeling using copulas is a popular tool in financial applications, but is usually applied to pairs...

Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact. In Chabi-Yo et al. (2008) simulation studies have been presented which suggest that this paradox might be caused by regime switching of stock prices in financial markets....

We consider a large trader seeking to liquidate a portfolio using both a transparent trading venue and a dark pool. Our model captures the price impact of trading in transparent traditional venues as well as the execution uncertainty of trading in a dark pool. The unique optimal execution...

This paper studies a Stieltjes-type moment problem defined by the generalized lognormal distribution, a heavy-tailed distribution with applications in economics, finance and related fields. It arises as the distribution of the exponential of a random variable following a generalized error...