Narrow search
Showing 1 - 10 of 1,584
Cover Image
Deep learning, jumps, and volatility bursts
Bashchenko, Oksana; Marchal, Alexis - 2020
We develop a new method that detects jumps nonparametrically in financial time series and significantly outperforms the … generated by a process that experiences both jumps and volatility bursts. As a result, the network learns how to disentangle the …: we obtain fewer spurious detection and identify a larger number of true jumps. When applied to real data, our approach …
Persistent link: https://www.econbiz.de/10012181300
Cover Image
Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010407524
Cover Image
Currency Hedging Strategies, Strategic Benchmarks and the Global and Euro Sovereign Financial Crises
Caporin, Massimiliano - 2013
This paper investigates dynamic currency hedging benefits, with a further focus on the impact of currency hedging before and during the recent financial crises originated from the subprime and the Euro sovereign bonds. We take the point of view of a Euro-based institutional investor who...
Persistent link: https://www.econbiz.de/10013074792
Cover Image
Responding to the global financial and economic crisis : meeting the challenges in Asia
Arner, Douglas W.; Schou-Zibell, Lotte - 2010
Based on a review of international and regional responses to the global financial and economic crisis and its implications for finance in Asia, Douglas Arner and Lotte Schou-Zibell draw lessons for Asian financial systems with regard to the scope of regulation; financial standards; supervision,...
Persistent link: https://www.econbiz.de/10011283429
Cover Image
Financial Markets, Bloated Governments and the Misallocation of Capital
Savvides, Savvakis C. - 2012
Through this paper the author discusses the phenomenon of excessive Government borrowing and the factors that lead Governments to be so dependent on financial markets. It is argued that the combined effect of unregulated financial intermediaries, hedge funds and Credit Rating Agencies in...
Persistent link: https://www.econbiz.de/10013105904
Cover Image
Wind-Down of Bank Trading Books
Santoni, Alessandro; Rossignol, Ghislain; Akhouen, Richard - 2023
This article focuses on some of the operational aspects of winding down a bank’s trading book portfolio and discusses the hidden exit costs that can sometimes exist. The article provides a deep dive on valuation principles and exit strategies currently considered by industry practitioners when...
Persistent link: https://www.econbiz.de/10014350584
Cover Image
Mutual excitation in eurozone sovereign CDS
Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana - 2014 - This Version: May 14, 2014
). The feedback between jump events and the intensity of these jumps is the key element of the model. We derive closed …
Persistent link: https://www.econbiz.de/10010357304
Cover Image
Testing for volatility co-movement in bivariate stochastic volatility models
Chen, Jinghui; Kobayashi, Masahito; McAleer, Michael - 2017 - Revised: February 2017
The paper considers the problem of volatility co-movement, namely as to whether two financial returns have perfectly correlated common volatility process, in the framework of multivariate stochastic volatility models and proposes a test which checks the volatility co-movement. The proposed test...
Persistent link: https://www.econbiz.de/10011602570
Cover Image
Volatility Forecasts Embedded in the Prices of Crude-Oil Options
Gilder, Dudley - 2020
This paper evaluates and compares the ability of alternative option-implied volatility measures to forecast the monthly realized volatility of crude-oil returns. We find that a corridor implied volatility measure that aggregates information from a narrow range of option contracts consistently...
Persistent link: https://www.econbiz.de/10012835335
Cover Image
On the Performance of Cryptocurrency Funds
Bianchi, Daniele - 2020
We investigate the performance of funds that specialise in cryptocurrency markets. In doing so, we contribute to a growing literature that aims to understand the role of digital assets as an investment. Methodologically, we implement a novel panel bootstrap approach that samples jointly the...
Persistent link: https://www.econbiz.de/10012838990