In recent years the application of kernel smoothing methods in nonparametric regression framework to financial time-series analysis has become widespread. Kernel smoothing methods have not been applied, however, to a wide range of problems arising in time-series simulations and forecasting....

The Chicago Mercantile Exchange introduced E-mini Samp;P 500 index futures in September 1997, and E-mini Nasdaq 100 index futures in June 1999. This paper empirically examines the effects from the introduction of the E-mini futures contracts on the market quality of the original Samp;P 500 and...

We develop a theory for option pricing with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated over a time. This is accomplished by assuming that the underlying noise in the system is derived by an Ornstein-Uhlenbeck, rather than from a Wiener...

We explore the ability of alternative popular continuous-time diffusion and jump diffusion processes to capture the dynamics of implied volatility indices over time. The performance of the various models is assessed under both econometric and financial metrics. To this end, data are employed...

Financial market volatility is an important input for investment, option pricing and financial market regulation. In this review article, we compare the volatility forecasting findings in 93 papers published and written in the last two decades. This article is written for general readers in...

This is an introduction to a five-volume collection of papers on financial econometrics to be published by Edward Elgar Publishers in 2007. Financial econometrics is one of the fastest growing branches of economics today, both in academia and in industry. The increasing sophistication of...

This study evaluates a set of parametric and non-parametric value-at-risk (VaR) models that quantify the uncertainty in VaR estimates in form of a VaR distribution. We propose a new VaR approach based on Bayesian statistics in a GARCH volatility modeling environment. This Bayesian approach is...

Momentum trading strategies are thoroughly described in the academic literature and used in many trading strategies by hedge funds, asset managers, and proprietary traders. Baz et al. (2015) describe a momentum strategy for different asset classes in great detail from a practitioner's point of...

It is a common understanding that bankruptcy is not a sudden occurrence for any organizations. Macro and micro economic studies have suggested numerous influential factors, which have substantial evidence toward firm's performance (Bekeris, 2012) and survivability (Nehrebecka & Dzik, 2013). With...

This paper investigates the sources of macrofinancial fluctuations and turbulence within the framework of an approximate linear dynamic stochastic general equilibrium model of the world economy, augmented with structural shocks exhibiting potentially asymmetric generalized autoregressive...