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We suggest two classes of multivariate GARCH--models which are both easy to estimate and perform well in forecasting the covariance matrix of more than one hundred stocks. We apply methods from random matrix theory (RMT) to determine the…
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on predictable variables and that the joint…
It is shown phenomenologically that the fractional derivative $\xi=D^\alpha u$ of order $\alpha$ of a multifractal function has a power-law tail $\propto |\xi| ^{-p_\star}$ in its cumulative probability, for a suitable range of $\alpha$'s.…
The numerical experiments of turbulence conducted by Gotoh et al. are analyzed precisely with the help of the formulae for the scaling exponents of velocity structure function and for the probability density function (PDF) of velocity…
We investigate multifractality in the Korean stock-market index KOSPI. The generalized $q$th order height-height correlation function shows multiscaling properties. There are two scaling regimes with a crossover time around $t_c =40$ min.…
This paper examines the possibility of using derivative-implied risk premia to explain stock returns. The rapid development of derivative markets has led to the possibility of trading various kinds of risks, such as credit and interest rate…
Financial markets provide an ideal frame for the study of crossing or first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered…
The volatility of financial instruments is rarely constant, and usually varies over time. This creates a phenomenon called volatility clustering, where large price movements on one day are followed by similarly large movements on successive…
Using the framework of factor models, we establish the general expression of the coefficient of tail dependence between the market and a stock (i.e., the probability that the stock incurs a large loss, assuming that the market has also…
We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ database. With a copula-based approach, we find that the…
We study the dynamical properties of the random transverse-field Ising chain at criticality using a mapping to free fermions, with which we can obtain numerically exact results for system sizes, L, as large as 256. The probability…
Macroscopic systems often display phase transitions where certain physical quantities are singular or self-similar at different (spatial) scales. Such properties of systems are currently characterized by some order parameters and a few…
We develop a theoretical framework that aims to link micro-level option hedging and stock-specific factor exposure with macro-level market turbulence and explain endogenous volatility amplification during gamma-squeeze events. By explicitly…
This paper develops a Bayesian procedure for estimation and forecasting of the volatility of multivariate time series. The foundation of this work is the matrix-variate dynamic linear model, for the volatility of which we adopt a…
We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate…
It is well known that the probability distribution of high-frequency financial returns is characterized by a leptokurtic, heavy-tailed shape. This behavior undermines the typical assumption of Gaussian log-returns behind the standard…
Local segmental relaxation properties of poly(methylmethacrylate) (PMMA) of varying molecular weight are measured by dielectric spectroscopy, and analyzed in combination the equation of state obtained from PVT measurements. The usual…
Volatility of financial stock is referring to the degree of uncertainty or risk embedded within a stock's dynamics. Such risk has been received huge amounts of attention from diverse financial researchers. By following the concept of…
Through a novel approach, this paper shows that substantial change in stock market behavior has a statistically and economically significant impact on equity risk premium predictability both on in-sample and out-of-sample cases. In line…
This study investigates the relationship between the market volatility of the iShares Asia 50 ETF (AIA) and economic and market sentiment indicators from the United States, China, and globally during periods of economic uncertainty.…