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In general multi-asset models of financial markets, the classic no-arbitrage concepts NFLVR and NUPBR have the serious … and allows us to generalise both NFLVR (by dynamic share efficiency) and NUPBR (by dynamic share viability). These new …
Persistent link: https://www.econbiz.de/10011899592
The publication of a projected path of future policy decisions by central banks is a controversially debated method to improve monetary policy guidance. This paper suggests a new approach to evaluate the impact of the guidance strategy on the predictability of monetary policy. Using the example...
Persistent link: https://www.econbiz.de/10010319202
This paper looks at some recent work on estimating quadratic variation using realized variance (RV) - that is, sums of M squared returns. This econometrics has been motivated by the advent of the common availability of high-frequency financial return data. When the underlying process is a...
Persistent link: https://www.econbiz.de/10009441446
In this article we provide an asymptotic distribution theory for some nonparametric tests of the hypothesis that asset prices have continuous sample paths. We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behavior. We...
Persistent link: https://www.econbiz.de/10009441541
Persistent link: https://www.econbiz.de/10005395697
We provide three characterizations of the minimal martingale measure P associated to a given d- dimensional semimartingale X. In each case, P is shown to be the unique solution of an optimization problem where one minimizes a certain functional over a suitable class of signed local martingale...
Persistent link: https://www.econbiz.de/10004968216
We review the main results in the theory of quadratic hedging in a general incomplete model of continuous trading with semimartingale price process. The objective is to hedge contingent claims by using portfolio strategies. We describe two types of criteria: the so-called (local)...
Persistent link: https://www.econbiz.de/10010999770
is established that all wealth processes are semimartingales, and that the closure of the wealth-process set in the Emery …
Persistent link: https://www.econbiz.de/10010745612
-Unbounded-Profit-with-Bounded-Risk (NUPBR) condition, we establish that asset-prices have to be semimartingales, as well as a weakened version of the …
Persistent link: https://www.econbiz.de/10005041729
Persistent link: https://www.econbiz.de/10005028501