Results 121 to 130 of about 855,132 (178)
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
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
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 +2 more
wiley +1 more source
Market imperfections , equilibrium and arbitrage [PDF]
The theory of asset pricing, which takes its roots in the Arrow-Debreu model, the Black and Scholes formula, has been famalized in a framework by Harrison and Kreps (1979), harrison and Pliska (1979) and Kreps (1981).
Elyès Jouini
core
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 +3 more
wiley +1 more source
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 +3 more
wiley +1 more source
Factor Models With Sparse Vector Autoregressive Idiosyncratic Components
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT We reconcile dense and sparse modelling by exploiting the positive aspects of both. We employ a high‐dimensional, approximate static factor model and assume the idiosyncratic term follows a sparse vector autoregressive model (VAR). The estimation is articulated in two steps: (i) factors and loadings are estimated via principal component ...
Jonas Krampe, Luca Margaritella
wiley +1 more source
Spatial Price Integration and Spillover Linkages Between Regional Grain Markets in Nigeria
Review of Development Economics, EarlyView.ABSTRACT This paper aims to characterize the spatial set‐up of Nigeria's grain market integration from January 2002 to December 2013 across 19 Nigerian regions. Using market price data of maize, sorghum, and millet, two hypotheses are tested: (i) the law of one price across market pairs, and (ii) the leader market hypothesis in any network of market ...
Yacouba Kassouri, N' Zué Felix Fofana
wiley +1 more source
Global Natural Gas Market Integration: The Role of LNG Trade and Infrastructure Constraints
The World Economy, EarlyView.ABSTRACT This paper analyses the integration of global natural gas markets across North America, Europe, and Asia from 2016 to 2022. The analysis focuses on the impact of the United States emerging as a major liquefied natural gas (LNG) exporter and significant supply disruptions, including the sharp reduction in Russian pipeline supplies to Europe. We
Markos Farag +2 more
wiley +1 more source
Better than risk‐free: Reserve premiums and bank lending
Financial Review, Volume 60, Issue 2, Page 541-571, May 2025.Abstract When the Federal Reserve first paid interest on excess reserves (IOER) in October 2008, banks faced a choice to earn a “better than” risk‐free rate, or lend to earn a higher, riskier rate. Evidence suggests the “reserves‐lending puzzle” is not driven by endogeneity from reverse causality, flight to safety, or increased Treasury supply, but by ...
Raymond Kim
wiley +1 more source