Journal of Mathematical Finance最新文献_第4页

Transition of the Feldstein-Horioka Puzzle 费尔德斯坦-堀冈之谜的转变

Journal of Mathematical Finance Pub Date : 2021-02-03 DOI: 10.4236/JMF.2021.111006

I. Ginama, Kazuhiko Hayakawa, Takahiro Kanmei

引用次数: 3

Pricing Pseudo Contingencies on Motion Picture Assets under No Free Lunch with Vanishing Risk 风险消失条件下电影资产的伪或有定价

Journal of Mathematical Finance Pub Date : 2020-10-10 DOI: 10.4236/jmf.2020.104032

Qiniso Dlamini, Sihle Precious Maseko, S. Sani, Firdausi Abdullahi

引用次数: 1

The Dynamics of Implicit Transactions Costs 隐性交易成本的动态

Journal of Mathematical Finance Pub Date : 2020-10-10 DOI: 10.4236/jmf.2020.104041

Ming Guo

引用次数: 1

Forecasting Value-at-Risk of Financial Markets under the Global Pandemic of COVID-19 Using Conditional Extreme Value Theory 基于条件极值理论的全球疫情下金融市场风险价值预测

Journal of Mathematical Finance Pub Date : 2020-10-10 DOI: 10.4236/jmf.2020.104034

Cyprian O. Omari, S. Mundia, Immaculate Ngina

{"title":"Forecasting Value-at-Risk of Financial Markets under the Global Pandemic of COVID-19 Using Conditional Extreme Value Theory","authors":"Cyprian O. Omari, S. Mundia, Immaculate Ngina","doi":"10.4236/jmf.2020.104034","DOIUrl":"https://doi.org/10.4236/jmf.2020.104034","url":null,"abstract":"The recent global pandemic of coronavirus (COVID-19) has had an enormous impact on the financial markets across the world. It has created an unprecedented level of risk uncertainty, prompting investors to impetuously dispose of their assets leading to significant losses over a very short period. In this paper, the conditional heteroscedastic models and extreme value theory are combined to examine the extreme tail behaviour of stock indices from major economies over the period before and during the COVID-19 pandemic outbreak. Daily returns data of stock market indices from twelve different countries are used in this study. The paper implements a dynamic method for forecasting a one-day ahead Value at Risk. As a first step, a comprehensive in-sample volatility modelling is implemented with skewed Student’s-t distribution assumption and their goodness of fit is determined using information selection criteria. In the second step, the VaR quantiles are estimated with the help of conditional Extreme Value Theory framework and then used to estimate the out-of-sample VaR forecasts. Backtesting results suggest that the conditional EVT based models consistently produce a better 1-day VaR performance compared with conditional models with asymmetric probability distributions for return innovations and maybe a better option in the estimation of VaR. This emphasizes the importance of modelling extreme events in stock markets using conditional extreme value theory and shows that the ability of the model to capture volatility clustering accurately is not sufficient for a correct assessment of risk in these markets.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131883386","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: 8

Adaptive Risk Hedging for Call Options under Cox-Ingersoll-Ross Interest Rates Cox-Ingersoll-Ross利率下看涨期权的自适应风险对冲

Journal of Mathematical Finance Pub Date : 2020-10-10 DOI: 10.4236/jmf.2020.104040

N. Ghorbani, A. Korzeniowski

引用次数: 18

Topology Data Analysis Using Mean Persistence Landscapes in Financial Crashes 金融崩溃中使用平均持久性景观的拓扑数据分析

Journal of Mathematical Finance Pub Date : 2020-10-10 DOI: 10.4236/jmf.2020.104038

Alejandro Aguilar, Katherine E. Ensor

{"title":"Topology Data Analysis Using Mean Persistence Landscapes in Financial Crashes","authors":"Alejandro Aguilar, Katherine E. Ensor","doi":"10.4236/jmf.2020.104038","DOIUrl":"https://doi.org/10.4236/jmf.2020.104038","url":null,"abstract":"Topological \u0000features in high dimensional time series are used to characterize changes in \u0000stock market dynamics over time. We explored the daily log returns of four \u0000major US stock market indices and 10 ETF sectors between January 2010-June 2020. Topological data analysis and \u0000persistence homology were used on two sequences of point cloud data sets the \u0000stock indices and the ETF sectors, \u0000respectively. Using these sequences, the daily log returns, persistence diagrams, \u0000persistence landscapes, and mean landscapes were used to quantify topological \u0000patterns in the multidimensional time series. For example, norms of the \u0000persistence landscapes were generated to detect critical transitions in the \u0000daily log returns. To measure statistical significance, we implemented three \u0000permutation tests with a significance level α = 0.05 to determine if \u0000topological features change within a particular time frame by comparing sliding \u0000windows in the sequence of point cloud data sets. We found that between July 1, \u00002019 and July 1, 2020, there is evidence of changing structure in the US stock \u0000market. Critical transitions are identified by the statistical properties of \u0000the norms of the persistence landscape between contiguous daily sliding windows \u0000of the stock indices and ETF sector \u0000series.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"62 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123273757","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: 1

Modeling Exchange Rate Volatility Dynamics of the Great Britain Pound to Ethiopian Birr Using the Semi-Parametric Non-Linear Fuzzy-EGARCH-ANN Model 用半参数非线性模糊egarch - ann模型建模英镑对埃塞俄比亚比尔汇率波动动态

Journal of Mathematical Finance Pub Date : 2020-10-10 DOI: 10.4236/jmf.2020.104035

Geleta T. Mohammed, J. Aduda, Ananda O. Kube

引用次数: 1

Discussion on the Effectiveness of the Copula-GARCH Method to Detect Risk of a Portfolio Containing Bitcoin Copula-GARCH方法检测比特币投资组合风险的有效性探讨

Journal of Mathematical Finance Pub Date : 2020-10-10 DOI: 10.4236/jmf.2020.104030

Ting-Yu Chen, Leh-chyan So

{"title":"Discussion on the Effectiveness of the Copula-GARCH Method to Detect Risk of a Portfolio Containing Bitcoin","authors":"Ting-Yu Chen, Leh-chyan So","doi":"10.4236/jmf.2020.104030","DOIUrl":"https://doi.org/10.4236/jmf.2020.104030","url":null,"abstract":"Since it was invented by Satoshi Nakamoto in 2008, Bitcoin has drawn considerable attention both from the financial industry and government supervisory departments, and there is no unanimity on Bitcoin’s nature in the academic field. Some people may think Bitcoin is more like an asset than a currency. And investors’ motivations for incorporating Bitcoin into their portfolios may vary. Might there be a better way to deal with the risk-detection issue associated with such a unique and ambiguous object? The copula-GARCH method has been proven in much of the literature to be a better way than the traditional ways to estimate the value at risk (VaR) of portfolios. When it comes to a portfolio containing Bitcoin, can it still maintain its superiority? In this study, gold and Ethereum were each used to construct a portfolio with Bitcoin. We collected a total of 2,246 daily adjusted closing prices from July 23, 2010, to March 12, 2019. As for the copula-GARCH model, we selected four constant and two time-varying copula models combined with GARCH Student-t residuals to fit the joint distribution of the two assets in the portfolios. The traditional methods refer to the historical simulation, the variance-covariance method, the EWMA method, and the univariate GARCH VaR method. We adopted each method to compute corresponding one-day VaRs. Our results indicated that for the portfolios containing Bitcoin and Ethereum, the copula-GARCH method performed better than traditional methods, while for the portfolio consisting of Bitcoin and gold, traditional methods performed better. Our results may suggest that the copula-GARCH method may not be suitable in the extremely low correlation case.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115132724","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: 0

Correlation Risk in the Context of Market Turbulences during the COVID-19 Pandemic and BCBS Stress Testing Principles 新冠肺炎大流行期间市场动荡背景下的关联风险与BCBS压力测试原则

Journal of Mathematical Finance Pub Date : 2020-10-10 DOI: 10.4236/jmf.2020.104036

F. Tata

{"title":"Correlation Risk in the Context of Market Turbulences during the COVID-19 Pandemic and BCBS Stress Testing Principles","authors":"F. Tata","doi":"10.4236/jmf.2020.104036","DOIUrl":"https://doi.org/10.4236/jmf.2020.104036","url":null,"abstract":"Correlations play an important role in the risk management of banks. Changes of correlation are an important element of an adverse (stress) scenario in the BCBS framework. The purpose of this paper is to show how correlation is plagued by a number of issues that include volatility, directionality and autocorrelation. To that end, we analyze to which degree directionality and autocorrelation of correlation remove diversification benefits when they are most needed, i.e. in a crisis, and how autocorrelation amplifies correlation and makes it more persistent, creating the illusion of stable, reliable correlation levels. Furthermore, we exemplify changing correlations during the COVID-19 pandemic looking at a number of different markets. Our results suggest that prudent bank risk management should be cautious when calibrating its risk models to historical correlation levels. Market price-based stress tests should include various levels of assumed correlation as inputs to the statistical models used to assess a bank’s viability. We propose how banking supervisors and macro prudential authorities should challenge banks’ correlation assumptions and assess the rigor of applying them.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126435702","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: 0

Cointegration Analysis of the Relationship between the Prices of Crude Oil and Its Petroleum Products in Ghana 加纳原油价格与成品油价格关系的协整分析

Journal of Mathematical Finance Pub Date : 2020-10-10 DOI: 10.4236/jmf.2020.104042

L. Brew, Belinda Koasiba Ettih, E. N. Wiah

{"title":"Cointegration Analysis of the Relationship between the Prices of Crude Oil and Its Petroleum Products in Ghana","authors":"L. Brew, Belinda Koasiba Ettih, E. N. Wiah","doi":"10.4236/jmf.2020.104042","DOIUrl":"https://doi.org/10.4236/jmf.2020.104042","url":null,"abstract":"This paper investigates the relationship between prices of crude oil and its petroleum products such as Gasoline, Gas oil, Residual fuel oil (RFO) and premix fuel in Ghana. The monthly data of Brent crude oil and the prices of petroleum products for the period from January 2009 to June 2019 were used. The Autoregressive Distributed Lag (ARDL) Bounds cointegration test was employed to show the existence of a long run relationship between crude oil prices and the prices of petroleum products. An ARDL-based error correction model (ECM) was used to estimate the short and long run effect between the variables. Results from the cointegration test revealed the inexistence of a long run relationship between the prices of crude oil and premix fuel prices. It was established that while crude oil prices have both short and the long run effects on the prices of Gasoline, Gas oil and Residual fuel oil, inflation had significant positive effect on only the prices of residual fuel. Exchange rate had significant negative effects on the prices of Gasoline, Gasoil and Residual fuel oil in both the short and long run. Results from the Wald’s Granger Causality test indicated a uni-causal relationship running from Crude oil to Gasoline, Gas oil and RFO. There is no causal relationship between Inflation rate and Gasoline, Gas oil.","PeriodicalId":299894,"journal":{"name":"Journal of Mathematical Finance","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129419201","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: 0