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The Evolution of Complex Systems Theory and the Advancement of Econophysics Methods in the Study of Stock Markets Crashes

Joe, Ho Yew - 2017

This paper traces the origin and development of the complex systems theory over the course of history, up to its latest … advancement in the study of stock market crashes. The trail of the theory's fuzzy evolution is expansive that covers the ground of … complex systems theory from another seemingly overlapping theory of the chaos systems. The paper recounts how researchers from …

Persistent link: https://www.econbiz.de/10012966774

Asset Return Dynamics Under Habits and Bad-Environment-Good Environment Fundamentals

Bekaert, Geert - 2019

We introduce a “bad environment-good environment” (BEGE) technology for consumption growth in a consumption-based asset pricing model with external habit formation. The model generates realistic non-Gaussian features of consumption growth and fits standard salient features of asset prices...

Persistent link: https://www.econbiz.de/10012904045

Have Financial Markets Become More Informative?

Bai, Jennie - 2017

The finance industry has grown, financial markets have become more liquid, information technology has been revolutionized. But have financial market prices become more informative? We derive a welfare-based measure of price informativeness: the predicted variation of future cash flows from...

Persistent link: https://www.econbiz.de/10012974835

Seller financing of consumer durables

Sen, Arijit - In: Journal of economics & management strategy : JEMS 7 (1998) 3, pp. 435-460

Persistent link: https://www.econbiz.de/10001247583

Consuming durable goods when stock markets jump : a strategic asset allocation approach

Matos, João Amaro de; Silva, Nuno - In: Journal of economic dynamics & control 42 (2014), pp. 86-104

Persistent link: https://www.econbiz.de/10010429970

Measuring financial asset return and volatilty spillovers, with application to global equity markets

Diebold, Francis X.; Yılmaz, Kamil - 2008

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

Persistent link: https://www.econbiz.de/10003831195

Return and volatility spillovers to industry returns : does EMU play a role?

Kaltenhäuser, Bernd - 2002

Within a two step GARCH framework we estimate the time-varying spillover effects from European and US return innovations to 10 economic sectors within the euro area, the United States, and the United Kingdom. We use daily data from January 1988 - March 2002. At the beginning of our sample...

Persistent link: https://www.econbiz.de/10009767119

Return and Volatility Spillovers in Hong Kong Financial Markets

Fung, Laurence; Yu, Ip-wing - 2009

This paper studies the return and volatility spillovers between the stock market, the Exchange Fund Notes market and the Hong Kong dollar forward exchange market. Based on a bivariate GARCH model that specifies exogenous influences in the conditional mean and variance equations, this study...

Persistent link: https://www.econbiz.de/10014211097

Allowing for Jump Measurements in Volatility : A High-Frequency Financial Data Analysis of Individual Stocks

Papavassiliou, Vassilios G. - 2016

Following recent advances in the non-parametric realized volatility approach, we separately measure the discontinuous jump part of the quadratic variation process for individual stocks and incorporate it into heterogeneous autoregressive volatility models. We analyze the distributional...

Persistent link: https://www.econbiz.de/10013004411

Carry

Koijen, Ralph S. J. - 2016

We apply the concept of carry, which has been studied almost exclusively in currency markets, to any asset. A security's expected return is decomposed into its “carry” – an ex-ante and model-free characteristic – and its expected price appreciation. Carry predicts returns...

Persistent link: https://www.econbiz.de/10013007354

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