Using smooth transition regression model analysis, we examine the non-linear predictability of Japanese and US stock market returns by a set of macroeconomic variables between 1981 and 2012. The theoretical basis for investigating non-linear behavior in stock returns can be based on the...

Anwendung der Extremwerttheorie zur Quantifizierung von Marktpreisrisiken – Test der Relevanz anhand vergangener Extrembelastungen von DAX und MSCI Europe Ein Verfahren, das gezielt entwickelt wurde, um Risiken mit sehr geringen Eintrittswahrscheinlichkeiten zu quantifizieren, stellt die...

We use exchange traded options on Canadian dollar futures to estimate the market's risk-neutral distribution for the Canadian dollar in the days before and after the Quebec sovereignty referendum. We employ a relatively new technique that places little a-priori structure on the estimated...

We show how distributions can be reduced to low-dimensional scenario trees. Applied to intertemporal distributions, the scenarios and their probabilities become time-varying factors. From S&P 500 options, two or three time-varying scenarios suffice to forecast returns, implied variance or...

The Extreme Value Theory is an approach designed with the objective to quantify risks which occur with a very low probability. The empirical application of the Extreme Value Theory in terms of the Peaks Over Threshold (POT)-Method to the index declines of the DAX and the MSCI Europe on 11.9.01,...

In order to study the volatility spillovers / the transfer of volatilities from spot and futures markets for the period 1st January 2001 to 30th November 2005 with high frequency data i.e., one minute intervals, we have used GARCH models to compute volatilities and VAR models for the returns of...

Prediction of corporate bankruptcy is a phenomenon of increasing interest to investors/creditors, borrowing firms, and governments alike. Timely identification of firms' impending failure is indeed desirable. By this time, several methods have been used for predicting bankruptcy but some of them...

In order to study the volatility spillovers / the transfer of volatilities from spot and futures markets for the period 1st January 2001 to 30th November 2005 with high frequency data i.e., one minute intervals, we have used GARCH models to compute volatilities and VAR models for the returns of...

We examine the impact of internationalization on the quality of Chinese iron ore and PTA futures markets, by comparing the trading activities, costs and volatilities before and after the event. Using a difference-in-difference framework, we find that internationalization improves the market...

Japan's markets for money, capital and foreign exchange are among the biggest worldwide. For many years, Tokyo's role as the leading financial center in Asia has been unchallenged. However, recently, other places in the region such as Singapore and Hong Kong have invested heavily to strengthen...