Swiss Finance Institute Research Paper Series最新文献_第6页

Studies and Financial Observations on the Romanian Economic Context: Before and After EU Accession 关于罗马尼亚经济背景的研究和财政观察:加入欧盟前后

Swiss Finance Institute Research Paper Series Pub Date : 2019-01-29 DOI: 10.2139/ssrn.3324912

I. Robu

引用次数: 0

An Assessment of the Effects of Monetary Policy Shocks in the Face of Local and International Banks in Perspective 货币政策冲击对本地和国际银行影响的评估

Swiss Finance Institute Research Paper Series Pub Date : 2019-01-26 DOI: 10.2139/ssrn.3323506

Frederick Anning

引用次数: 0

Direct Versus Iterated Multi-Period Volatility Forecasts 直接与迭代的多周期波动预测

Swiss Finance Institute Research Paper Series Pub Date : 2019-01-11 DOI: 10.2139/ssrn.3326606

Eric Ghysels, Alberto Plazzi, Rossen Valkanov, Antonio Rubia Serrano, Asad Dossani

{"title":"Direct Versus Iterated Multi-Period Volatility Forecasts","authors":"Eric Ghysels, Alberto Plazzi, Rossen Valkanov, Antonio Rubia Serrano, Asad Dossani","doi":"10.2139/ssrn.3326606","DOIUrl":"https://doi.org/10.2139/ssrn.3326606","url":null,"abstract":"Multi-period-ahead forecasts of returns’ variance are used in most areas of applied finance where long horizon measures of risk are necessary. Yet, the major focus in the variance forecasting literature has been on one-period-ahead forecasts. In this paper, we compare several approaches of producing multi-period-ahead forecasts within the GARCH and RV families – iterated, direct, and scaled short-horizon forecasts. We also consider the newer class of mixed data sampling (MIDAS) methods. We carry the comparison on 30 assets, comprising of equity, Treasury, currency, and commodity indices. While the underlying data is available at high-frequency (5-minutes), we are interested at forecasting variances 5, 10, 22, 44, and 66 days ahead. The empirical analysis, which is carried in-sample and out-of-sample with data from 2005 to 2018, yields the following results. For GARCH, iterated GARCH dominates the direct GARCH approach. In the case of RV, the direct RV is preferred to the iterated RV. This dichotomy of results emphasizes the need for an approach that uses the richness of high-frequency data and, at the same time produces a direct forecast of the variance at the desired horizon, without iterating. The MIDAS is such an approach and, unsurprisingly, it yields the most precise forecasts of the variance, in and out-of-sample. More broadly, our study dispels the notion that volatility is not forecastable at long horizons and offers an approach that delivers accurate out-of-sample predictions.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2019-01-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133392113","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

Dominant Currency Debt 主导货币债务

Swiss Finance Institute Research Paper Series Pub Date : 2018-11-27 DOI: 10.2139/ssrn.3236660

Egemen Eren, S. Malamud

引用次数: 26

Large Financial Markets, Discounting, and No Asymptotic Arbitrage 大型金融市场、贴现和无渐近套利

Swiss Finance Institute Research Paper Series Pub Date : 2018-11-07 DOI: 10.2139/ssrn.3280855

D. Bálint, M. Schweizer

引用次数: 3

The Agency of CoCos: Why Contingent Convertible Bonds Aren't for Everyone CoCos代理:为何或有可转换债券并不适合所有人

Swiss Finance Institute Research Paper Series Pub Date : 2018-11-01 DOI: 10.2139/ssrn.3067909

Roman Goncharenko, S. Ongena, Asad Rauf

引用次数: 22

Are CoCo Bonds a Good Substitute for Equity? Evidence from European Banks CoCo债券是股票的好替代品吗?来自欧洲银行的证据

Swiss Finance Institute Research Paper Series Pub Date : 2018-10-16 DOI: 10.2139/ssrn.3270815

H. Hau, Gabriela Hrasko

引用次数: 3

Representation of Probability Distributions With Implied Volatility and Biological Rationale 用隐含波动率表示概率分布和生物学原理

Swiss Finance Institute Research Paper Series Pub Date : 2018-09-23 DOI: 10.2139/ssrn.3213650

F. Polyakov

{"title":"Representation of Probability Distributions With Implied Volatility and Biological Rationale","authors":"F. Polyakov","doi":"10.2139/ssrn.3213650","DOIUrl":"https://doi.org/10.2139/ssrn.3213650","url":null,"abstract":"Economic and financial theories and practice essentially deal with uncertain future. Humans encounter uncertainty in different kinds of activity, from sensory-motor control to dynamics in financial markets, what has been subject of extensive studies. Representation of uncertainty with normal or lognormal distribution is a common feature of many of those studies. For example, proposed Bayessian integration of Gaussian multisensory input in the brain or log-normal distribution of future asset price in renowned Black-Scholes-Merton (BSM) model for pricing contingent claims.<br><br>Standard deviation of log(future asset price) scaled by square root of time in the BSM model is called implied volatility. Actually, log(future asset price) is not normally distributed and traders account for that to avoid losses. Nevertheless the BSM formula derived under the assumption of constant volatility remains a major uniform framework for pricing options in financial markets. I propose that one of the reasons for such a high popularity of the BSM formula could be its ability to translate uncertainty measured with implied volatility into price in a way that is compatible with human intuition for measuring uncertainty.<br><br>The present study deals with mathematical relationship between uncertainty and the BSM implied volatility. Examples for a number of common probability distributions are presented. Overall, this work proposes that representation of various probability distributions in terms of the BSM implied volatility profile may be meaningful in both biological and financial worlds. Necessary background from financial mathematics is provided in the text.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121797156","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Disentangling the Impact of Securitization on Bank Profitability 分析证券化对银行盈利能力的影响

Swiss Finance Institute Research Paper Series Pub Date : 2018-09-14 DOI: 10.2139/ssrn.3388959

Mohamed Bakoush, Rabab Abouarab, S. Wolfe

引用次数: 12

The Endo-Exo Problem in High Frequency Financial Price Fluctuations and Rejecting Criticality 金融价格高频波动中的Endo-Exo问题及拒绝临界性

Swiss Finance Institute Research Paper Series Pub Date : 2018-08-24 DOI: 10.2139/ssrn.3239443

Spencer Wheatley, Alexander Wehrli, D. Sornette

{"title":"The Endo-Exo Problem in High Frequency Financial Price Fluctuations and Rejecting Criticality","authors":"Spencer Wheatley, Alexander Wehrli, D. Sornette","doi":"10.2139/ssrn.3239443","DOIUrl":"https://doi.org/10.2139/ssrn.3239443","url":null,"abstract":"The endo-exo problem lies at the heart of statistical identification in many fields of science, and is often plagued by spurious strong-and-long memory due to improper treatment of trends, shocks and shifts in the data. A class of models that has shown to be useful in discerning exogenous and endogenous activity is the Hawkes process. This class of point processes has enjoyed great recent popularity and rapid development within the quantitative finance literature, with particular focus on the study of market microstructure and high frequency price fluctuations. We show that there are important lessons from older fields like time series and econometrics that should also be applied in financial point process modelling. In particular, we emphasize the importance of appropriately treating trends and shocks for the identification of the strength and length of memory in the system. We exploit the powerful Expectation Maximization (EM) algorithm and objective statistical criteria (BIC) to select the flexibility of the deterministic background intensity. With these methods, we strongly reject the hypothesis that the considered financial markets are critical at univariate and bivariate microstructural levels.","PeriodicalId":269529,"journal":{"name":"Swiss Finance Institute Research Paper Series","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-08-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130819841","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 7