MoneyScience News |
- Blog Post: TheFinancialServicesClub: The African bank crisis and remittances
- Published / Preprint: A Remark on the Structure of Expectiles. (arXiv:1307.5881v1 [math.PR])
- Published / Preprint: Correct usage of transmission coefficient for timing the market. (arXiv:1307.5975v1 [q-fin.GN])
- Published / Preprint: Are benefits from oil - stocks diversification gone? A new evidence from a dynamic copulas and high frequency data. (arXiv:1307.5981v1 [q-fin.ST])
- Published / Preprint: When terminal facelift enforces Delta constraints. (arXiv:1307.6020v1 [q-fin.PR])
- Published / Preprint: Mixed-correlated ARFIMA processes for power-law cross-correlations. (arXiv:1307.6046v1 [q-fin.ST])
| Blog Post: TheFinancialServicesClub: The African bank crisis and remittances Posted: 24 Jul 2013 01:08 AM PDT I’m on holiday in Africa to get away from it all, but just to show that banking is a global business, there’s an ongoing banking crisis relating to Africa.read more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: A Remark on the Structure of Expectiles. (arXiv:1307.5881v1 [math.PR]) Posted: 23 Jul 2013 05:39 PM PDT Expectiles were defined using a minimisation principle. They form a special class of coherent risk measures. We will describe the scenario set and we will show that there is a most severe commonotonic risk measure that is smaller than the given expectile. Visit MoneyScience for the Complete Article.    |
| Posted: 23 Jul 2013 05:39 PM PDT Traders and investors involved in an option contract having the underlying stock in range bound are likely to lose their initial investment. Timing in buying an option contract is of capital importance. In a recent article [1] the hypothesis of range bound market is used in conjunction to Black-Scholes equation to find the transmission coefficient relation that help market professionals to... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Jul 2013 05:39 PM PDT Oil is widely perceived as a good diversification tool for stock markets. To fully understand the potential, we propose a new empirical methodology which combines generalized autoregressive score copula functions with high frequency data, and allows us to capture and forecast the conditional time-varying joint distribution of the oil -- stocks pair accurately. Our realized GARCH with time-varying... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Jul 2013 05:39 PM PDT This paper deals with the super-replication of non path-dependent European claims under additional convex constraints on the number of shares held in the portfolio. The corresponding super-replication price of a given claim has been widely studied in the literature and its terminal value, which dominates the claim of interest, is the so-called facelift transform of the claim. We investigate under... Visit MoneyScience for the Complete Article.    |
| Posted: 23 Jul 2013 05:39 PM PDT We introduce a general framework of the Mixed-correlated ARFIMA (MC-ARFIMA) processes which allows for various specifications of univariate and bivariate long-term memory. Apart from a standard case when $H_{xy}={1}{2}(H_x+H_y)$, MC-ARFIMA also allows for processes with $H_{xy}<{1}{2}(H_x+H_y)$ but also for long-range correlated processes which are either short-range cross-correlated or simply... Visit MoneyScience for the Complete Article.    |
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