Large Vector Auto Regressions [PDF]
, 2011 One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor ...
Bickel, Peter J., Song, Song
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How Integrated are Credit and Equity Markets? Evidence from Index Options
The Journal of Finance, Volume 79, Issue 2, Page 949-992, April 2024.ABSTRACT We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit‐risk model with stochastic volatility and jumps using new results for pricing compound options via multivariate affine transform analysis. The
PIERRE COLLIN‐DUFRESNE +2 more
wiley +1 more source
Integration by parts formula for locally smooth laws and applications to sensitivity computations
, 2007 We consider random variables of the form $F=f(V_1,...,V_n)$, where $f$ is a smooth function and $V_i,i\in\mathbb{N}$, are random variables with absolutely continuous law $p_i(y) dy$.
Bally, Vlad +2 more
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Lie Symmetry Analysis for the Fractal Bond‐Pricing Model of Mathematical Finance
Journal of Mathematics, Volume 2024, Issue 1, 2024.The classical bond‐pricing models, as important financial tools, show strong vitality in bond pricing. However, these models also expose their theoretical defects, which leads to inconsistencies with the actual observation results and usually causes the theoretical prices of bonds to be lower than the actual market prices in the financial market.
Chao Yue, Chuanhe Shen, M. M. Bhatti
wiley +1 more source
Simultaneous nonparametric inference of time series
, 2010 We consider kernel estimation of marginal densities and regression functions of stationary processes. It is shown that for a wide class of time series, with proper centering and scaling, the maximum deviations of kernel density and regression estimates ...
Liu, Weidong, Wu, Wei Biao
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Specification analysis in regime-switching continuous-time diffusion models for market volatility [PDF]
, 2016 We examine model specification in regime-switching continuous-time diffusions for modeling S&P 500 Volatility Index (VIX). Our investigation is carried out under two nonlinear diffusion frameworks, the NLDCEV and the CIRCEV frameworks, and our focus is ...
Bu, R, Cheng, J, Hadri, K
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Properties, Bounds, and Estimation of Rényi Entropy in Consecutive k‐out‐of‐n:G Systems
Journal of Mathematics, Volume 2024, Issue 1, 2024.This study investigates the Renyi entropy properties of consecutive k‐out‐of‐n : G systems. Initially, a formula for the Renyi entropy of the lifetime of a consecutive k‐out‐of‐n:G system is derived, offering a thorough insight into its Renyi entropy characteristics.
Mansour Shrahili, Antonio Di Crescenzo
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Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan [PDF]
Our comments on Fan’s paper will concentrate on two issues that relate in important ways to the paper’s focus on misspecification and discretization bias and the role of nonparametric methods in empirical finance.
Jun Yu, Peter C. B. Phillips
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Comments on “A selective overview of nonparametric methods in financial econometrics†[PDF]
In recent years there has been increased interest in using nonparametric methods to deal with various aspects of financial data. The paper by Fan overviews some nonparametric techniques that have been used in the financial econometric literature ...
Jun Yu, Peter C. B. Phillips
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The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application [PDF]
The paper revisits dynamic term structure models (DTSMs) and proposes a new way in dealing with the limitation of the classical affine models. In particular, this paper expands the flexibility of the DTSMs by applying a fractional Brownian motion as the ...
Frederiksen, Per H., Høg, Espen P.
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