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Diffusion-Based Models for Financial Markets Without Martingale Measures

Fontana, Claudio - 2015

Local Martingale Measure, the financial market may still be viable, in the sense that strong forms of arbitrage are excluded … necessary and sufficient conditions for market viability in terms of the \emph{market price of risk} process and martingale … deflators. Regardless of the existence of a martingale measure, we show that the financial market may still be complete and …

Persistent link: https://www.econbiz.de/10013015958

Investing in Emerging Markets : An Asymmetric Stochastic Multivariate Volatility Model to Diversify Efficiently a Portfolio of Assets

Rannou, Yves - 2014

The asset allocation is a practical problem for most institutional and private investors, who routinely deal with a wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over time. Many studies find that the expected returns have...

Persistent link: https://www.econbiz.de/10013055149

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10009746573

Testing for alpha in linear factor pricing models with a large number of securities

Pesaran, M. Hashem; Yamagata, Takashi - 2017

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

Persistent link: https://www.econbiz.de/10011630054

Capital Market Expectations, Asset Allocation, and Safe Withdrawal Rates

Pfau, Wade D. - 2015

Most retirement withdrawal rate studies are either based on historical data or use a particular assumption about portfolio returns unique to the study in question. But planners may have their own capital market expectations for future returns from stocks, bonds, and other assets they deem...

Persistent link: https://www.econbiz.de/10013031119

Intermittency in Quantitative Finance

Schoeffel, Laurent - 2011

Factorial moments are convenient tools in nuclear physics to characterize the multiplicity distributions when phase-space resolution (Delta) becomes small. For uncorrelated particle production within Delta, Gaussian statistics holds and factorial moments Fq are equal to unity for all orders q....

Persistent link: https://www.econbiz.de/10013118786

About the Non-Random Content of Financial Markets

Schoeffel, Laurent - 2011

For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model is too small to be detected using traditional time series...

Persistent link: https://www.econbiz.de/10013118791

Evidence on the Importance of Volatility Density Forecasting for Financial Risk Management

Mukherjee, Arpita; Swanson, Norman R. - 2022

In this paper, we provide new empirical evidence of the relative usefulness of interval (density) and point forecasts of asset-return volatility, in the context of financial risk management using high frequency data. In our evaluation we use both statistical criteria (i.e., accuracy of...

Persistent link: https://www.econbiz.de/10013314352

Financial Market Simulation

Jacobs, Ph.D., Bruce I. - 2017

When they want to see how complex systems work, scientists often turn to asynchronous-time simulation, which allows processes to change sporadically over time, typically at irregular intervals. While rarely used in finance today, such models may turn out to be valuable tools for understanding...

Persistent link: https://www.econbiz.de/10012973137

Macroeconomic Disasters and the Equity Premium Puzzle : Are Emerging Countries Riskier?

Horvath, Jaroslav - 2019

Not necessarily. I provide evidence that advanced countries' equity premium and consumption growth differ significantly from those of emerging countries. I then estimate distinct disaster risk parameters for these two country groups. My Bayesian analysis demonstrates that in some aspects...

Persistent link: https://www.econbiz.de/10012902819