Financial basics and intuition stresses the importance of investment horizon for risk management and asset allocation. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction is due to the assumption of long-term independence...

As a natural extension to León and Vivas (2010) and León and Reveiz (2010) this paper briefly describes the Cholesky method for simulating Geometric Brownian Motion processes with long term dependence, also referred as Fractional Geometric Brownian Motion (FBM). Results show that this method...

Whilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite the fact than financial literature provides evidence of long-term memory existence, serial-independence assumption prevails. This document's long-term dependence...

Whilst emphasis has been given to short-term dependence of financial returns, long term dependence remains overlooked. Despite financial literature provides evidence of long-term's memory existence, serial-independence assumption prevails. This document's long-term dependence assessment relies...

As a result of the most recent global financial crisis literature has embraced size, connectedness and substitutability as key indicators for financial institutions' systemic importance. Despite the intuitiveness of these concepts, identifying systemic important institutions remain a non-trivial...