In this paper we aim to address two questions faced by a long-term investor with a power-type utility at high levels of wealth: one is whether the turnpike property still holds for a general utility that is not necessarily differentiable or strictly concave, the other is whether the error and...

This study examines the exposures of cross-sectional anomalies to volatility risk in different economic and market cycles. The study shows that cross-sectional anomalies exposures can change dramatically. Most notably, the exposure of the value factor to volatility risk changed completely from...

A credit default swap (CDS) is a financial contract in which the holder of the instrument will be compensated in the event of a loan default. When available, CDS's are used to monitor the credit risk of countries and companies. In this work we develop a closed form procedure to value a CDS in...

The aim of this article is to describe the banking union and its importance for the EU, its pillars, and principles on which it is based, its goal and contribution to the stronger financial system in Europe. We focus especially on the supervision system in the EU and possibilities of financing...

This article is devoted to the banking sector regulation in the European Union and worldwide. The banking regulation is used to control banking risk activities and sustainable portfolio growth. Basel Committee on Banking Supervision (BCBS) coordinates this regulation process and supervision in...

There is a need to focus on electricity derivative trading, because this is an important and expanding field. The aim of this paper is long-term forecasting of the daily futures prices. Two approaches were used for this, namely the use of spot price forecasting to model the future prices and...

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC Metropolis-Hastings sampling algorithm is proposed to estimate the model´s parameters and latent state variables (jumps and stochastic volatilities) given observed returns. The...

The paper studies the impact of bank specific, industry specific and macroeconomic factors affecting profitability of Indian Banks in a dynamic model framework. The persistence of bank profits and endogeneity of the factors have been accounted for using Generalised Method of Moments (GMM) as...

This paper provides a survey of the theoretical and empirical literature on financial development and its impact on the level of openness and the pattern of international trade. Financial development may be more important in promoting certain industries that requires large amounts of external...

In this study that we are conducting, the end goal is to undertake a comparative analysis of the stock markets of Russia, China, South Africa, Argentina and Brazil.