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To assess how financial markets and commodities are inter-related, this paper introduces a ‘volatility surprise’ component into the asymmetric DCC with one exogenous variable (ADCCX) framework. We develop an econometric model in which returns and volatility allow to influence pairs of...
Persistent link: https://www.econbiz.de/10011205311
This paper presents a model to analyze the consequences of competition in order-flow between a profit maximizing stock exchange and an alternative trading platform on the decisions concerning trading fees and listing requirements. Listing requirements, set by the exchange, provide public...
Persistent link: https://www.econbiz.de/10010861379
After the seminal paper of Jarrow and Rudd (1982), several authors have proposed to use different statistical series expansion to price options when the risk-neutral density is asymmetric and leptokurtic. Amongst them, one can distinguish the Gram-Charlier Type A series expansion (Corrado and...
Persistent link: https://www.econbiz.de/10010745304
The main task of this paper is to confront two classical measures of default risk of the issuer, the rating and the spread. The first is attributed by agencies specialized in this activity (Standard and Poor's or Moody's) while the second results directly from the market price of the bond. This...
Persistent link: https://www.econbiz.de/10010707346
Exchange Traded Funds (ETF) are designed to track a benchmark. ETF facilitate asset management and contribute to reduce management fees and transaction costs, they are traded like stocks at current price on continuous markets and meet an increasing success. Initially, anETFwas a stock...
Persistent link: https://www.econbiz.de/10010707604
The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price rocesses. In the more...
Persistent link: https://www.econbiz.de/10010707894
Persistent link: https://www.econbiz.de/10010708213
The present article provides an unorthodox model exchange rate dynamics based on conventions that prevail among market participants. We build a theoretical model that highlights the mechanisms underlying the formation of market conventions. We then test this model empirically on the euro/dollar...
Persistent link: https://www.econbiz.de/10010708263
Several authors have proposed series expansion methods to price options when the risk-neutral density is asymmetric and leptokurtic. Among these, Corrado and Su (1996) provide an intuitive pricing formula based on a Gram-Charlier Type A series expansion. However, their formula contains a...
Persistent link: https://www.econbiz.de/10011071378
Testing for normality is of paramount importance in many areas of science since the Gaussian distribution is a key hypothesis in many models. As the use of semi–moments is increasing in physics, economics or finance, often to judge the distributional properties of a given sample, we propose a...
Persistent link: https://www.econbiz.de/10011072926