We develop a multivariate dynamic term structure model, which takes into account the nonlinear (time-varying) relationship between interest rates and the state of the economy. In contrast to the classical term structure literature, where nonlinearities are captured by increasing the number of...

In this paper, we identify long-term prior return patterns in stock returns for Brazil, Russia, India, China, South Korea, and South Africa (BRICKS) markets from January 1993 to February 2008. While Brazil, Russia and South Africa report momentum behavior, India, China and South Korea exhibit...

An influential observation has the potential to render a model unsuitable for estimation with an OLS regression. This is well known in the statistics literature. However, the use of standard measures for detecting and managing influential observations is not common practice in empirical finance....

We analyze variations of three risk determinants of the Extended Merton structural corporate bond model. We consider three alternative non-Gaussian distributions, varying recovery rates, and the possibility of early default or default at maturity. We test a sample of 79 corporate bonds from 1987...

In this paper, I show that the variance of Fama-French factors, the variance of the momentum factor, as well as the correlation between these factors, predict an important fraction of the time-series variation in post-1990 aggregate stock market returns. This predictability is particularly...

As it can be seen from the literature the affine yield class of the term structure is very important for obtaining the fundamental properties of the zero-coupon bond yield. Therefore any new results about the properties the affine yield class are very desirable. The present paper is devoted to...

We introduce a functional volatility process for modeling volatility trajectories for high frequency observations in financial markets. The observed volatility of returns results from this underlying process in combination with a multiplicative white noise. The proposed representation enables us...

Momentum strategies have drawn great attention in investment management literature over last two decades. In this paper we examine three important propositions in Indian context (1) Do momentum profits persist for long time periods?, (2) Can these momentum profits be absorbed by risk models?,...

We construct a network-based turbulence score that proves useful for analyzing the relationship between financial interconnectedness, and global market risk, and for identifying systemically important markets, with the highest contribution to financial turbulence. We apply our measure to study...

Artificial Neural Networks (ANNs) have recently been proposed as accurate and fast approximators in various derivatives pricing applications. ANNs typically excel in fitting functions they approximate at the input parameters they are trained on, and often are quite good in interpolating between...