Results 281 to 290 of about 37,249 (382)

S&P 500 microstructure noise components: empirical inferences from futures and ETF prices

Journal of Time Series Analysis, EarlyView.
By studying the differences between futures prices and exchange‐traded fund prices for the S&P 500 index, original results are obtained about the distribution and persistence of the microstructure noise component created by positive bid‐ask spreads and discrete price scales.
Stephen J. Taylor
wiley   +1 more source

Macroeconomic Variables as Common Pervasive Risk Factors and Empirical Content of the Arbitrage Pricing Theory in Pakistan

, 2001
Ali Ataullah
openalex   +1 more source

A Stochastic Tree for Bubble Asset Modelling and Pricing

Journal of Time Series Analysis, EarlyView.
ABSTRACT We introduce a new stochastic tree representation of a strictly stationary submartingale process for modelling, forecasting, and pricing speculative bubbles on commodity and cryptocurrency markets. The model is compared to other trees proposed in the literature on bubble asset modelling and stochastic volatility approximation. We show that the
Christian Gourieroux, Joann Jasiak
wiley   +1 more source

Cross-section without factors: a string model for expected returns. [PDF]

Quant Finance
Distaso W, Mele A, Vilkov G.
europepmc   +1 more source

Quantitative Fundamental Theorem of Asset Pricing

Mathematical Finance, EarlyView.
ABSTRACT In this paper, we provide a quantitative analysis of the concept of arbitrage, that allows us to deal with model uncertainty without imposing the no‐arbitrage condition. In markets that admit “small arbitrage,” we can still make sense of the problems of pricing and hedging.
Beatrice Acciaio, Julio Backhoff‐Veraguas, Gudmund Pammer   +2 more
wiley   +1 more source

Dynamic characteristics of expectations of short-term interest rate and a generalized Vasicek model. [PDF]

Heliyon
Guan Y, Fang Z, Wang X, Wang X, Yu T.
europepmc   +1 more source

Rough PDEs for Local Stochastic Volatility Models

Mathematical Finance, EarlyView.
ABSTRACT In this work, we introduce a novel pricing methodology in general, possibly non‐Markovian local stochastic volatility (LSV) models. We observe that by conditioning the LSV dynamics on the Brownian motion that drives the volatility, one obtains a time‐inhomogeneous Markov process. Using tools from rough path theory, we describe how to precisely
Peter Bank, Christian Bayer, Peter K. Friz, Luca Pelizzari   +3 more
wiley   +1 more source

The effects of unified pooling arrangement on health inequity in China: a DID-RIF approach. [PDF]

BMC Health Serv Res
Wu J, Liu Y, Wang C, Liu L, Lu J.
europepmc   +1 more source

Testing for Threshold Effects in the Presence of Heteroskedasticity and Measurement Error With an Application to Italian Strikes

Oxford Bulletin of Economics and Statistics, EarlyView.
Abstract We address the issue of testing for threshold nonlinearity in the conditional mean in the presence of conditional heteroskedasticity. We propose a supremum Lagrange multiplier approach to test a linear ARMA‐GARCH model versus a TARMA‐GARCH model.
Francesco Angelini, Massimiliano Castellani, Simone Giannerini, Greta Goracci   +3 more
wiley   +1 more source

A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims. [PDF]

R Soc Open Sci
Carr P, Cirillo P.
europepmc   +1 more source