Financial Times Series such as stock price and exchange rates are, often, non-linear and non-stationary. Use of decomposition models has been found to improve the accuracy of predictive models. The paper proposes a hybrid approach integrating the advantages of both decomposition model (namely,...

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...

The US Treasury effectively ”owns” about 24% of the stocks held by high income US taxable investors. Through the capital gains tax, Uncle Sam has an effective exposure of more than $1 trillion of equities. And this huge-but-silent investor might be about to get a lot bigger if capital gains...

The news impact curve of EGARCH captures the asymmetric impact of negative news on volatility. It also captures the impact of large shocks, negative and positive. The interpretation of the curve is complicated by its composition, making it difficult to interpret its coefficients and the...

We give a set of identifying conditions for simultaneous equation systems (SES) with heteroskedasticity in the framework of the Gaussian quasi maximum likelihood (QML) approach. Our conditions rely on the presence of heteroskedasticity rather than exclusion restrictions. The QML estimators are...

We give a set of identifying conditions for simultaneous equation systems (SES) with heteroskedasticity in the framework of the Gaussian quasi maximum likelihood (QML) approach. Our conditions rely on the presence of heteroskedasticity rather than exclusion restrictions. The QML estimators are...

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...

The bedrock of financial economics is that there should be a tradeoff between risk and reward: an investment with low risk should have a low expected return, while one that could make you rich should also be one which could lose you a lot of money. A lot of research in finance is focused on...

This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron...