Exchange rates typically exhibit time-varying patterns in both means andvariances. The histograms of such series indicate heavy tails. In thispaper we construct models which enable a decision-maker to analyze theimplications of such time series patterns for currency risk management.Our approach...

We used advances in data envelopment analysis (DEA) techniques to examine efficiency scores and investigate the issue of convergence and divergence in a cross-country analysis. Specifically, we used bootstrapping techniques to examine a data set of 52 developed and developing countries. We found...

Exploiting the fact that most arrival processes exhibit cyclic behaviour, we propose a simple procedure for estimating the intensity of a non-homogeneous Poisson process. The estimator is the super-resolution analogue to Shao 2010 and Shao & Lii 2011, which is a sum of p sinusoids where p and...

We investigate whether alternative asset classes should be included in optimal portfolios of the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We develop a stochastic spanning...

We are familiar with the maximum score estimator of (Manski, C.F., 1975, Journal of Econometrics 3, 205-228). A generalization of the maximum score estimator is the maximum profit estimator of (Skouras, S., 2003, Computational Statistics and Data Analysis 42, 349-361). The general case is the...

Modern Algorithmic Trading ("Algo") allows institutional investors and traders to liquidate or establish big security positions in a fully automated or low-touch manner. Most existing academic or industrial Algos focus on how to "slice" a big parent order into smaller child orders over a given...

We explore the efficiency in the oil industry employing a sample of around 300 companies operating in Europe over 2010-2019. We construct efficiency scores by means of DEA non-parametric techniques. Average efficiency in the sample is modest, 0.27 and decreasing over time. We examine the...

One of the main drawbacks of the original CreditRisk+ methodology is that it models the default rates of the sectors (e.g. industry) as independently distributed random variables. Such an assumption has been considered as unrealistic and various approaches have been proposed in order to overcome...

Using equations that arise in quantum mechanics, this paper describes a way to more accurately and efficiently represent non-Gaussian return distributions than the standard method of invoking skewness and kurtosis. Then, it provides a new single intuitive number, defined here as the “crash...

In this paper, we develop a new nonparametric approach for estimating the risk-neutral density of asset price and reformulate its estimation into a double-constrained optimization problem. We implement our approach in R and evaluate it using the S&P 500 market option prices from 1996 to 2015. A...