In this paper we propose to use Markov chain Monte Carlo methods to estimate the parameters of stochastic volatility models with several factors varying at different time scales. The originality of our approach, in contrast with classical factor models is the identification of two factors...

Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility models that uses opening and closing prices along with...

Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility models that uses opening and closing prices along with...

In this paper, we study the supply-demand drivers of the price of oil over the last two decades. We address the problem of endogeneity using a novel SVAR approach, which allows us to incorporate technological restrictions that occur at the micro level in the production of crude oil to solve the...

Risk neutral measures are defined such that the basic random assets in a portfolio are martingales. Hence, when the market model is complete, to value any instrument having the basic assets as underlying is, in principle, an easy task. For the determination of the risk neutral measure, it is...

Portfolio insurance strategies that control benchmark-underperformance risk require estimating the maximum multiplier of the risk budget, which determines the allocation to the performance-seeking asset (PSA) at each point in time. We explore the implications of taking into account the expected...

Research productivity has been linked to a country’s intellectual and economic wealth. Further analysis is needed to assess the association between the distribution of research across disciplines and the economic status of countries.Methods: By using 55 years of data, spanning 1962 to 2017, of...