相关论文: On the correlation analysis of illiquid stocks

This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques of Hansen and Seo (2002), we show significant threshold…

Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable…

We present some stylized facts exhibited by the time series of returns of the Mexican Stock Exchange Index (IPC) and compare them to a sample of both developed (USA, UK and Japan) and emerging markets (Brazil and India). The period of study…

Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…

The classical discrete time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing for convex transaction…

This study presents contemporaneous modeling of asset return and price range within the framework of stochastic volatility with leverage. A new representation of the probability density function for the price range is provided, and its…

It has been recently shown in Jaworski, P., Jelito, D. and Pitera, M. (2024), 'A note on the equivalence between the conditional uncorrelation and the independence of random variables', Electronic Journal of Statistics 18(1), that one can…

We propose a discrete time algorithm for the valuation of employee stock options based on exponential indifference prices and taking into account both the possibility of partial exercise of a fraction of the options and the use of a…

Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that…

In an asset return series there is a conditional asymmetric dependence between current return and past volatility depending on the current return's sign. To take into account the conditional asymmetry, we introduce new models for asset…

We discuss the asymptotic behaviour of risk-based indifference prices of European contingent claims in discrete-time financial markets under volatility uncertainty as the number of intermediate trading periods tends to infinity. The…

We study the time dependent cross correlations of stock returns, i.e. we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect…

It is known that the impact of transactions on stock price (market impact) is a concave function of the size of the order, but there exists little quantitative theory that suggests why this is so. I develop a quantitative theory for the…

In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…

This letter explores the behavior of conditional correlations among main cryptocurrencies, stock and bond indices, and gold, using a generalized DCC class model. From a portfolio management point of view, asset correlation is a key metric…

While the use of volatilities is pervasive throughout finance, our ability to determine the instantaneous volatility of stocks is nascent. Here, we present a method for measuring the temporal behavior of stocks, and show that stock prices…

Price range contains important information about the asset volatility, and has long been considered an important indicator for it. In this paper, we propose to jointly model the [low, high] price range as a random interval and introduce an…

We consider goodness-of-fit methods for multivariate symmetric and asymmetric stable Paretian random vectors in arbitrary dimension. The methods are based on the empirical characteristic function and are implemented both in the i.i.d.…

In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially correlated. Under this assumption this procedure of scaling can…

Modelling financial time series as a time change of a simpler process has been proposed in various forms over the years. One of such recent approaches is called volatility homogenisation decomposition, and has been designed specifically to…