Econometrics: Applied Econometric Modeling in Financial Economics eJournal最新文献_第10页

Removing the 'Black Box' from the Black-Scholes Option Pricing Model 从布莱克-斯科尔斯期权定价模型中移除“黑匣子”

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2012-01-03 DOI: 10.2139/ssrn.1978649

E. Maberly, Raylene M. Pierce

引用次数: 1

Interest Rate Sensitivities Under the Vasicek and Cox-Ingersoll-Ross Models Vasicek和Cox-Ingersoll-Ross模型下的利率敏感性

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2011-12-31 DOI: 10.2139/ssrn.1977902

Y. Rakotondratsimba

{"title":"Interest Rate Sensitivities Under the Vasicek and Cox-Ingersoll-Ross Models","authors":"Y. Rakotondratsimba","doi":"10.2139/ssrn.1977902","DOIUrl":"https://doi.org/10.2139/ssrn.1977902","url":null,"abstract":"Benchmark models for the term structure and dynamic of the interest rate, having the instantaneous rate as the only state variable, were introduced by Vasicek (V) and Cox-Ingersoll-Ross (CIR). Then the measure of a zero-coupon bond price change with respect to any change of the short-term interest rate movement is made by a sensitivity parameter referred as a stochastic duration. Therefore this last notion is theoretically superior to the Macaulay's duration under which the yield-curve is assumed to have made a parallel shift. However, empirical tests on bond immunization performance have not demonstrated any actual superiority of the stochastic duration when compared to the simple classical duration. Consequently in the present paper, we introduce alternative zero-coupon sensitivities with respect to the one-factor shock related to the considered V/CIR model. They lead to a high accuracy level for the approximation of the bond change with respect to the short-term interest rate movement. Our finding allows to get pointwise estimates of a bond hedging error. This is economically more sounding than the standard variance approach. Moreover our result has an implication on stress-testing framework. Indeed we get explicit expressions which enable us to map a view on shocks onto a view on the future bond change. The approach, we introduce here, is suitable for the perspective of hedging or managing a global portfolio or hybrid products.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"153 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123785711","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

On the Efficiency of the EPEX Day-Ahead Spot Market 论EPEX日前现货市场的效率

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2011-12-22 DOI: 10.2139/ssrn.1973554

D. Wozabal, C. Graf

引用次数: 2

Term Structure Modeling with Structural Breaks: A Simple Arbitrage-Free Approach 具有结构断裂的期限结构建模:一种简单的无套利方法

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2011-12-17 DOI: 10.2139/ssrn.1974033

Wachi Bandara, Richard Munclinger

{"title":"Term Structure Modeling with Structural Breaks: A Simple Arbitrage-Free Approach","authors":"Wachi Bandara, Richard Munclinger","doi":"10.2139/ssrn.1974033","DOIUrl":"https://doi.org/10.2139/ssrn.1974033","url":null,"abstract":"Economic time-series are susceptible to infrequent but severe structural breaks that stem from banking crises, changes in government policy or shifts in consumer con fidence. We present an affine, arbitrage-free, regime-switching dynamic Nelson-Siegel model of the term structure that identifies structural breaks. We develop the model in continuous time and present a class of general affine hidden Markov models of the term structure. We highlight the assumptions that are necessary to reach tractable versions in this class such as the Dai, Singleton and Yang (2007) model and the arbitrage-free regime-switching Nelson and Siegel model. We estimate an arbitrage-free hidden Markov Nelson Siegel model on historical yield curve data via a multi-regime approximate Kalman filter. We contrast the model to single-regime alternatives and conclude that our model performs better in-sample. Using likelihood ratio tests, we show that regimes are driven by long term means, mean reversions, measurement and transition covariance matrices. The regimes conform to periods of expansionary and restrictive monetary policy, but do not coincide exactly with recessions. Our regimes capture the NBER recession dates, but persist long after the recessions have ended.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125661305","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

Implications for Hedging of the Choice of Driving Process for One-Factor Markov-Functional Models 单因素马尔可夫函数模型驱动过程选择的套期保值意义

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2011-12-15 DOI: 10.2139/ssrn.1972932

J. Kennedy, Duy Pham

引用次数: 2

A Hierarchical Model of Tail-Dependent Asset Returns 尾相关资产收益的层次模型

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2011-12-15 DOI: 10.2139/ssrn.1973040

Natalia Tente

{"title":"A Hierarchical Model of Tail-Dependent Asset Returns","authors":"Natalia Tente","doi":"10.2139/ssrn.1973040","DOIUrl":"https://doi.org/10.2139/ssrn.1973040","url":null,"abstract":"This paper introduces a multivariate pure-jump Levy process which allows for skewness and excess kurtosis of single asset returns and for asymptotic tail dependence in the multivariate setting. It is termed Variance Compound Gamma (VCG). The novelty of my approach is that, by applying a two-stage stochastic time change to Brownian motions, I derive a hierarchical structure with different properties of inter- and intra-sector dependence. I investigate the properties of the implied static copula families and come to the conclusion that they are ordered with respect to their parameters and that the lower-tail dependence of the intra-sector copula is increasing in the absolute values of skewness parameters. Furthermore, I show that the joint characteristic function of the VCG asset returns can be explicitly given as a nested Archimedean copula of their marginal characteristic functions. Applied to credit portfolio modelling, the framework introduced results in a more conservative tail risk assessment than a Gaussian framework with the same linear correlation structure, as I show in a simulation study. To foster the simulation efficiency, I provide an Importance Sampling algorithm for the VCG portfolio setting.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"72 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124441426","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

An Estimated DSGE Model: Explaining Variation in Term Premia 一个估计的DSGE模型:解释定期保费的变化

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2011-12-14 DOI: 10.2139/ssrn.1972911

Martin M. Andreasen

引用次数: 2

A Transformation-Based Nonparametric Estimator of Multivariate Densities with an Application to Global Financial Markets 基于变换的多元密度非参数估计及其在全球金融市场中的应用

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2011-12-07 DOI: 10.2139/ssrn.1969208

Meng-Shiuh Chang, Ximing Wu

{"title":"A Transformation-Based Nonparametric Estimator of Multivariate Densities with an Application to Global Financial Markets","authors":"Meng-Shiuh Chang, Ximing Wu","doi":"10.2139/ssrn.1969208","DOIUrl":"https://doi.org/10.2139/ssrn.1969208","url":null,"abstract":"We propose a probability-integral-transformation-based estimator of multivariate densities. Given a sample of random vectors, we first transform the data into their corresponding marginal distributions. We then estimate the density of the transformed data via the exponential series estimator. The density of the original data is constructed as the product of the density of the transformed data and marginal densities of the original data. This construction coincides with the copula decomposition of multivariate densities. We decompose the Kullback-Leibler Information Criterion (KLIC) between the true and estimated densities into the KLIC of the marginal densities and that between the true copula density and a variant of the estimated copula density. This result is of independent interest in itself, and facilitates our asymptotic analysis. We derive the large sample properties of the proposed estimator, and further propose a hierarchical model specification method guided by stepwise preliminary subset selections. Monte Carlo simulations demonstrate the superior performance of the proposed method. We employ the proposed method to explore the joint distribution of four major stock markets and some conditional distributions of interest. The estimated copula density function, a by-product of our estimation, provides useful insight into the conditional dependence structure between the US and UK markets, and suggests a certain resilience against financial contagions originated from the Asian market.","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125708401","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

Macroeconomic News Effects on the Stock Markets 宏观经济新闻对股市的影响

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2011-12-01 DOI: 10.2139/ssrn.2019995

Barbara Będowska-Sójka

引用次数: 0

A Quantile Analysis of Default Risk for Speculative and Emerging Companies 投机和新兴公司违约风险的分位数分析

Econometrics: Applied Econometric Modeling in Financial Economics eJournal Pub Date : 2011-12-01 DOI: 10.2139/ssrn.1967310

R. Powell, D. Allen, A. Kramadibrata, Abhay K. Singh

{"title":"A Quantile Analysis of Default Risk for Speculative and Emerging Companies","authors":"R. Powell, D. Allen, A. Kramadibrata, Abhay K. Singh","doi":"10.2139/ssrn.1967310","DOIUrl":"https://doi.org/10.2139/ssrn.1967310","url":null,"abstract":"Using quantile regression, this article examines default risk of emerging and speculative companies in Australia and the United States as compared to established investment entities. We use two datasets for each of the two countries, one speculative and one established. In the US we compare companies from the S&P 500 to those on the Speculative Grade Liquidity Ratings list (Moody's Investor Services, 2010). For Australia, we compare entities from the S&P/ASX 200 to those on the S&P/ASX Emerging Companies Index (EMCOX). We also divide the datasets into GFC and Pre-GFC periods to examine default risk over different economic circumstances. Quantile Regression splits the data into parts or quantiles, thus allowing default risk to be examined at different risk levels. This is especially useful in measuring extreme risk quantiles, when corporate failures are most likely. We apply Monte Carlo simulation to asset returns to calculate Distance to Default using a Merton structural credit model approach. In both countries, the analysis finds substantially higher default risk for speculative as compared to established companies. The spread between speculative company and established company default risk is found to remain constant in Australia through different economic circumstances, but to increase in the US during the GFC as compared to pre-GFC. These findings are important to lenders in understanding, and providing for, default risk for companies of different grades through varying economic cycles.Classification-JEL:","PeriodicalId":431629,"journal":{"name":"Econometrics: Applied Econometric Modeling in Financial Economics eJournal","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132904140","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