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Risk measurement with a safety belt : Pareto meets Chebyshev
Tödter, Karl-Heinz - In: Kredit und Kapital 45 (2012) 2, pp. 175-187
Persistent link: https://www.econbiz.de/10009580916
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Possible effects of the stock market movements on interest rates, output and inflation : empirical evidence from the emerging markets of Europe
Ozcelebi, Oguzhan - In: Global business & economics review 16 (2014) 2, pp. 179-201
Persistent link: https://www.econbiz.de/10010495835
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Cheap TIPS or Expensive Inflation Swaps? Mispricing in Real Asset Markets
To, Thuy Duong - 2019
Inflation risks are explicit in either (i) the nominal pricing of real payoffs in which prices are denominated in … involves over-the-counter inflation-indexed contracts of real asset market, the latter involves exchange-traded and highly … markets. The model obtains a liquidity-free distribution of future inflation using new price data of T-note futures in nominal …
Persistent link: https://www.econbiz.de/10012893904
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Explaining Asset Mispricing Using the Resale Option and Inflation Illusion
Hayunga, Darren K. - 2010
We investigate the overconfidence theory and inflation-illusion hypothesis of asset mispricing. Both concepts address … markets. Further, we find that asset turnover subsumes expected inflation in certain specifications; suggesting that …
Persistent link: https://www.econbiz.de/10013146535
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Inflation and stock returns at B3
Chaves, Carlos; Silva, André C. - In: Revista Brasileira de Finanças : RBFin 16 (2018) 4, pp. 521-544
Persistent link: https://www.econbiz.de/10012125437
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Bayesian combinations of stock price predictions with an application to the Amsterdam Exchange index
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2011
We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative...
Persistent link: https://www.econbiz.de/10011386476
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The Informational Content of Prices When Policy Makers React to Financial Markets
Siemroth, Christoph - 2018
When can policy makers use policy-relevant information from financial market prices and how does policy affect price informativeness? I analyze a novel setting with noise where a policy maker tries to infer information about a state variable from prices to improve policy decisions, and policy in...
Persistent link: https://www.econbiz.de/10012937900
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Estimation of risk neutral measure for Polish stock market
Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 2, pp. 28-37
In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...
Persistent link: https://www.econbiz.de/10010468362
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Extreme financial risks : from dependence to risk management
Malevergne, Yannick; Sornette, Didier - 2006
Persistent link: https://www.econbiz.de/10003042066
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Systemic tail risk: high-frequency measurement, evidence and implications
Erdemlioglu, Deniz; Neely, Christopher J.; Yang, Xiye - 2023
Persistent link: https://www.econbiz.de/10014320683