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Editorial statement for mathematical finance
Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 2/18, pp. 1-3
Mathematics plays a vital role in many areas of finance and provides the theories and tools that have been widely used …
Persistent link: https://www.econbiz.de/10012173994
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Performance evaluation of judgemental directional exchange rate predictions
Pollock, Andrew C.; Macaulay, Alex; Thomson, Mary E.; … - 2005
A procedure is proposed for examining different aspects of performance for judgemental directional probability … the existing accuracy measures, enabling detailed comparisons of probability forecasts with ex-post empirical … directional probability exchange rate forecasts for the US Dollar/Swiss Franc from 23/7/96 to 7/12/99 and the findings are …
Persistent link: https://www.econbiz.de/10009435350
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The influence of the forecast horizon on judgemental probability forecasts of exchange rate movements
Thomson, Mary E.; Pollock, Andrew C.; Henriksen, Karen B.; … - 2004
models over three time horizons on a task involving probabilistic forecasts of exchange rate movements. Probability …
Persistent link: https://www.econbiz.de/10009435351
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Editorial statement for mathematical finance
Wong, Wing Keung - In: Journal of Risk and Financial Management 13 (2020) 2, pp. 1-3
Mathematics plays a vital role in many areas of finance and provides the theories and tools that have been widely used …
Persistent link: https://www.econbiz.de/10012611266
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Herd Behavior in Financial Markets; An Experiment with Financial Market Professionals
Cipriani, Marco; Guarino, Antonio - International Monetary Fund (IMF) - 2008
We study herd behavior in a laboratory financial market with financial market professionals. We compare two treatments, one in which the price adjusts to the order flow so that herding should never occur, and one in which event uncertainty makes herding possible. In the first treatment, subjects...
Persistent link: https://www.econbiz.de/10005263673
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Portfolio Credit Risk and Macroeconomic Shocks; Applications to Stress Testing Under Data-Restricted Environments
Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2006
, we propose the joint implementation of two new methodologies, namely the conditional probability of default (CoPoD …
Persistent link: https://www.econbiz.de/10005263920
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Can Markets Compute Equilibria?
Monroe, Hunter K. - International Monetary Fund (IMF) - 2009
Recent turmoil in financial and commodities markets has renewed questions regarding how well markets discover equilibrium prices, particularly when those markets are highly complex. A relatively new critique questions whether markets can realistically find equilibrium prices if computers cannot....
Persistent link: https://www.econbiz.de/10005264183
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On the Estimation of Term Structure Models and An Application to the United States
International Monetary Fund (IMF); International … - 2010
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...
Persistent link: https://www.econbiz.de/10008727797
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The Gini coefficient and discontinuity
Kristensen, Jens Peter - In: Cogent economics & finance 10 (2022) 1, pp. 1-16
This article reveals a discontinuity in the mapping from a Lorenz curve to the associated cumulative distribution function. The problem is of a mathematical nature-based on an analysis of the transformation between the distribution function of a bound random variable and its Lorenz curve. It...
Persistent link: https://www.econbiz.de/10013449382
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Crude Oil Prices; Trends and Forecast
Krichene, Noureddine - International Monetary Fund (IMF) - 2008
allowed significant probability for right tail events. Given explosive trends in other commodities prices, depreciating …
Persistent link: https://www.econbiz.de/10005825666