We develop the Nelson-Siegel model in the context of option-implied volatility term structure and study the time-series of three volatility components in the model. We show that these components, corresponding to the level, slope and curvature of the volatility term structure, can be interpreted...

In this paper, we utilize a mean reverting stochastic process to model the dynamic behaviour of natural gas consumption, where a Brownian motion drives the noise. We employ daily data on natural gas consumption from Istanbul, Turkey to estimate our model and evaluate the forecast performance by...

This paper develops a simple macroeconomic model of systemic risk in the form of financial accelerator effects: adverse developments in financial markets and in the real economy mutually reinforce each other and lead to a feedback cycle of falling asset prices, deteriorating balance sheets and...

Köztudott, hogy az arbitrázsmentesség feltétele a befektetők preferenciáival kapcsolatban mindössze a monotonitást tételezi fel, azonban kevésbé ismert, hogy a folytonos idejű modellekben használatos nincs ingyenebéd és a nincs elhalványuló kockázat melletti ingyenebéd...

This chapter summarizes several empirical studies in finance, undertaken through the prism of the graph theory. In these studies, we built graphs in order to investigate integration and systemic risk in derivative markets. Several classes of underlying assets (i.e. energy products, metals,...

Purpose – This paper aims to analyze the statistical characteristics of changes in property forward prices. As highlighted in a survey conducted at the MIT Center for Real Estate in 2006, the relatively weak understanding in their prices is one of the most important barriers in their use. In...