Investments such as venture capital, buyouts, distressed debt or assimilated, have the peculiarity of being difficult to value due to their illiquid nature on the market. The lack of transparency is determined by the market value being either determined infrequently or estimated through an...

This paper introduces a new model called the buffered autoregressive model with generalized autoregressive conditional heteroskedasticity (BAR-GARCH). The proposed model, as an extension of the BAR model in Li et al. (2013), can capture the buffering phenomenon of time series in both conditional...

We introduce the price probability measure η(p;t) that defines the mean price p(1;t), mean square price p(2;t), price volatility σp2(t) and all price n-th statistical moments p(n;t) as ratio of sums of n-th degree values C(n;t) and volumes U(n;t) of market trades aggregated during certain time...

A time-changing volatility binomial tree to price European options is presented followed by an algorithm explaining how to implement the tree. Finally, the advantages of the model are listed and a simulation is carried out showing that the distribution of prices simulated along the tree is...

This is a theoretic and econometric assessment of Peter Ferderer’s seminal paper published in the Journal of Post Keynesian Economics with the same title in 1993. New data shows that high forecaster discords coincide with a decrease in Investment expenditure. Specifically, the forecaster...

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...

In the Schumpeterian creative disruption age, the authors firmly believe that an increasing application of electronic technologies in the finances opens a big number of new unlimited opportunities toward a new era of the ultra high frequency electronic trading in the foreign currencies exchange...

This paper investigates the degree and structure of interdependence between emerging (Asian and Latin American) and developed (USA and Japan) stock markets through the study of volatility spillovers for the period spanning from January 1, 1993 to October 13, 2010. Using both standard GARCH model...

This article investigates stock-forex markets interdependence in MENA countries for the period spanning from February 26, 1999 to June 30, 2014. The analysis has been performed through three competing models; the VAR-CCC-GARCH model, the VAR-BEKK-GARCH model and the VAR-DCC-GARCH model. Our...