We propose a new numerical scheme for a class of one-dimensional reflected stochastic differential equations (SDEs) by virtue of their explicit solutions, which enables us to carry out the simulation of this class of reflected SDEs by simulating some related SDEs without reflections. The new...

Cycles play an important role when analyzing market phenomena. In many markets, both overlaying (weekly, seasonal or business cycles) and time-varying cycles (e.g. asymmetric lengths of peak and off peak or variation of business cycle length) exist simultaneously. Identification of these market...

Pushing models to extremes can expose output biases that stem from underlying assumptions. In the case of industry standard option valuation models, long term, high volatility securities provide a stress test vehicle. For instance, in evaluating a stock with 60% volatility, industry standard...

The telegraph process X(t), tgt;0, (Goldstein, 1951) and the geometric telegraph process S(t) = s_0 *exp((mu - 0.5*sigma^2)*t + sigma * X(t)) with mu a known constant and sigmagt;0 a parameter are supposed to be observed at N+1 equidistant time points ti=i*DeltaN,i=0,1,..., N. For both models...

In this paper the author presents a comparative study between two methods of Analysis and Forecast of EU-15 Exports from 1996 to 2005: one of the methods is applied for the Analysis and Forecast of the Components' Evolution in an Aggregate Economic Phenomenon using their Weights while the other...

Using the top 1000 US firms from 2002 to 2015 as a tradable stock universe, we replicate and backtest five market-traded gender-diverse portfolios. We find evidence that gender-diverse firms have smaller volatility. Moreover, the gender-risk relationship is non-linear, with optimal female board...

Financial risk managers routinely use non-linear time series models to predict the downside risk of the capital under management. They also need to evaluate the adequacy of their model using so-called backtesting procedures. The latter involve hypothesis testing and evaluation of loss functions....

This paper investigates the forecasting performance for CDS spreads of both linear and nonlinear models by analysing the iTraxx Europe index during the financial crisis period which began in mid-2007. The statistical and economic significance of the models' forecasts are evaluated by employing...

This paper investigates the intraday electricity pricing of 15-minute contracts in night hours. We tailor a recently introduced econometric model with fundamental impacts, which is successful in describing the pricing of day contracts. Our estimation results show that mean reversion and the...

In many recent empirical studies of the Federal Open Market Committee's (FOMC's) interest rate rule, the parameters of the rule are allowed to change over time. However, within this literature, there is no consensus about the nature of the parameter change. Some authors, such as Sims and Zha...