This paper theoretically analyses the measurement of capital flight scale, and the factors that affect capital flight. Then the basic equation of capital flight is improved by introducing three lemmas. -- capital flight ; equation ; capital control

This paper provides a short update of volatility research surveyed in Poon and Granger (2003). While the last few years saw major advancement in the theoretical and empirical studies of realised volatility and the dynamic relationship between stock price, volatility and jumps, the biggest...

Abstract Using the joint characteristic function of equity price and state variables, we can price contingent claims on both equity and VIX consistently. Based on linear approximation of jump size, we show that one factor models implies all VIX future contract of different maturities are...

We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic triggered by big negative stock returns. The stochastic variance and jump intensity, and their risk premium are estimated jointly from daily stock returns and option data over...

We propose a non-parametric procedure for estimating systemic co-jumps and independent idiosyncratic jumps, and study associated news reported in Factiva and Bloomberg for thirty five stock markets from 1988 to 2014. Our results suggest that it is important to distinguish between systemic...

In this paper we make a distinction between systemic co-jumps and independent idiosyncratic jumps, and examine the impact of their mis-specification on asset allocation. We discuss how jumps mis-specification may lead to jumps mis-estimation and to a suboptimal portfolio. Specifically, we...

In a crisis, when faced with insolvency, banks can sell stock in a dilutive offering in thestock market and borrow money in order to raise funds. We propose a simple model to find themaximum amount of new funds the banks can raise in these ways. To do this, we incorporatemarket confidence of the...