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Multiple-Curve Valuation with One-Factor Hull-White Model
Zhu, Jun - 2014
It is shown that the one-factor Hull-White model can be used in the modern derivative multiple-curve valuation framework. For vanilla instruments such as caps and European swaptions, closed-form pricing formulae are derived
Persistent link: https://www.econbiz.de/10013066173
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'Quantum Equilibrium-Disequilibrium' : Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons
Halperin, Igor - 2019
We propose a simple non-equilibrium model of a financial market as an open system with a possible exchange of money with an outside world and market frictions (trade impacts) incorporated into asset price dynamics via a feedback mechanism. Using a linear market impact model, this produces a...
Persistent link: https://www.econbiz.de/10012898637
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Beauty Contests Under Private Information and Diverse Beliefs : How Different?
Kurz, Mordecai - 2007
The paper contrasts theories that explain diverse belief by asymmetric private information (in short PI) with theories which postulate agents use subjective heterogenous beliefs (in short HB). We focus on problems where agents forecast aggregates such as profit rate of the Samp;P500 and our...
Persistent link: https://www.econbiz.de/10012775716
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A bibliometric analysis of machine learning econometrics in asset pricing
Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17
Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...
Persistent link: https://www.econbiz.de/10013475217
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One-factor-Garch models for German stocks: Estimation and forecasting
Kaiser, Thomas - 1996
This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
Persistent link: https://www.econbiz.de/10010435583
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One-factor-Garch models for German stocks : estimation and forecasting
Kaiser, Thomas - 1996
This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
Persistent link: https://www.econbiz.de/10010407100
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The memory of beta factors
Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - 2019
Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory properties. For the vast majority of stocks,...
Persistent link: https://www.econbiz.de/10012105362
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Measuring skewness premia
Langlois, Hugues - 2018
We provide a new methodology to empirically investigate the respective roles of systematic and idiosyncratic skewness in explaining expected stock returns. Using a large number of predictors, we forecast the cross-sectional ranks of systematic and idiosyncratic skewness which are easier to...
Persistent link: https://www.econbiz.de/10012111147
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Do the FAMA and FRENCH five-factor model forecast well using ANN?
Jan, Muhammad Naveed; Ayub, Usman - In: Journal of business economics and management 20 (2019) 1, pp. 168-191
Forecasting the stock returns in the emerging markets is challenging due to their peculiar characteristics. These … markets exhibit linear as well as nonlinear features and Conventional forecasting methods partially succeed in dealing with … which caters both the linear and nonlinear markets. This paper investigates the forecasting ability of ANN by using Fama and …
Persistent link: https://www.econbiz.de/10012175006
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Asset Price Trend Theory : Reframing Portfolio Theory from the Ground Up
Dubois, Robert - 2013
Traditional portfolio optimization models specify placement of capital as rather irrevocably and fully at risk through investment horizon(s) or continuously. Under this constraint, asset class allocation typically serves as primary mode of diversification, pursuing risk moderation by seeking to...
Persistent link: https://www.econbiz.de/10013084090