Results 51 to 60 of about 299,746 (223)
Structural Breaks in the Mexico's Integration into the World Stock Market [PDF]
arXiv, 2009 This article investigates the evolution of the Mexican stock market integration into the world market. First, we estimate the time-varying Mexican degree of market integration using an international conditional version of the CAPM with segmentation effects. Second, we study the structural breaks in this series.
arxiv
A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
Energy Economics, 2020 Abstract This paper develops a methodology for estimating a time-varying conditional version of the CAPM with regime changes in conditional variance dynamics. Our research goal is related to documenting the power of the beta when it is estimated dynamically.
Urom, Christian +2 more
openaire +5 more sources
Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics
The Journal of Finance, Volume 80, Issue 2, Page 783-832, April 2025.ABSTRACT We empirically analyze firm‐level uncertainty generated from extreme weather events, guided by a theoretical framework. Stock options of firms with establishments in a hurricane's (forecast) landfall region exhibit large implied volatility increases, reflecting significant uncertainty (before) after impact.
MATHIAS S. KRUTTLI +2 more
wiley +1 more source
Scope for Credit Risk Diversification [PDF]
, 2005 This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity.
Anthony Saunders +46 more
core +2 more sources
Revista Finanzas y Política Económica, 2015 RESUMEN La creación de fondos de inversión inmobiliaria en Colombia ha abierto posibilidades de diversificación de portafolio a agentes que deseen invertir en el sector inmobiliario sin tener que comprar y administrar finca raíz de forma directa.
Leonardo Santana Viloria
doaj +1 more source
Active Portfolio Management, Positive Jensen-Jarrow Alpha, and Zero Sets of CAPM [PDF]
arXiv, 2012 We present conditions under which positive alpha exists in the realm of active portfolio management- in contrast to the controversial result in Jarrow (2010, pg. 20) which implicates delegated portfolio management by surmising that positive alphas are illusionary. Specifically, we show that the critical assumption used in Jarrow (2010, pg.
arxiv
Forecasting Beta Using Ultra High Frequency Data
Journal of Forecasting, Volume 44, Issue 2, Page 485-496, March 2025.ABSTRACT This paper examines if using ultra high frequency (UHF, e.g., tick‐by‐tick) data could improve the accuracy of beta forecasts compared with using only moderately high frequency (MHF, minute‐level) data. We propose a novel two‐step paired t‐test for performance evaluation.
Jian Zhou
wiley +1 more source
A statistical inference method for the stochastic reachability analysis. [PDF]
, 2005 The main contribution of this paper is the characterization of reachability problem associated to stochastic hybrid systems in terms of imprecise probabilities. This provides the connection between reachability problem and Bayesian statistics.
Bujorianu, L.M.
core +3 more sources
Instantaneous Arbitrage and the CAPM [PDF]
arXiv, 2019 This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta pricing relation in place of the market.
arxiv
Tsallis Relative entropy from asymmetric distributions as a risk measure for financial portfolios [PDF]
arXiv, 2022 In an earlier study, we showed that Tsallis relative entropy (TRE), which is the generalization of Kullback-Leibler relative entropy (KLRE) to non-extensive systems, can be used as a possible risk measure in constructing risk optimal portfolios whose returns beat market returns.
arxiv