Hurst (1951) developed Rescaled range analysis to determine long-memory effects and fractal Brownian motion in time series. Rescaled range (R/S) analysis measures how the distance covered by a particle increases as we look at longer and longer time scales. For Brownian motion the distance...

In this paper we present compelling evidence from a detailed analysis of historical prepayment data to demonstrate that a mortgage cohort remembers the level of the previous mortgage rate troughs experienced by the cohort. This is a general property, observed ubiquitously, that inescapably leads...

Stock market valuation and Treasury yield determination are consistent with the Fisher effect (1896) as generalized by Darby (1975) and Feldstein (1976). The U.S. stock market (S&P 500) is priced to yield ex-ante a real after-tax return directly related to real long-term GDP/capita growth (the...

The paper presents a new and comprehensive data set of all bonds issued by the sixteen German federal states (Länder) since 1992. It thus provides a complete picture of a capital market comparable in size to the combined corporate bond and commercial paper market in Germany. The quantitative...

Although global investors have been paying more heed than ever to Corporate Governance for the last decade, the evolving premium risk stemming from variegated governance issues has not been factored yet into the expected return of any investor’s portfolio. From a theoretical standpoint, this...

De acuerdo a la literatura el precio de un activo (financiero o real) experimenta una burbuja si su precio de mercado se encuentra desajustado de manera persistente en el tiempo con respecto a su valor "intrínseco" o fundamental. En un contexto de racionalidad y eficiencia es difícil aceptar...

This paper seeks to provide a framework for separation portfolios when they are used not only as synthetics of a matching security but also as building blocks of arbitrage portfolios, in a background provided by the CAPM world. Firstly, synthetics are defined by means of a vectorial framework...

In this paper, we introduce regime-switching in a two-factor stochastic volatility model to explain the behavior of short-term interest rates. The regime-switching stochastic volatility (RSV) process for interest rates is able to capture all possible exogenous shocks that could be either...

This paper expands on the extent of the gap between how academic teaching view market transactions and how the market professionals actually work, offering a sensible way of closing as much as possible such a gap. Firstly, transaction costs will be analysed from both the demand and supply sides...

La courbe de structure des taux d'interet est une des composantes fondamentales de la theorie economique et financiere. Celle-ci, en etablissant une relation entre les taux d'interet et les maturites, permet d'evaluer de nombreux actifs financiers. Or, les methodes de revelation sont nombreuses...