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An Improved Generalized Spectral Test For Conditional Mean Models In Time Series With ...
Dynamic economic theories generalized spectral derivative model misspecifications
2011/4/2
Dynamic economic theories usually have implications on and only on the conditional mean dynamics of economic processes. Using a generalized spectral derivative approach, Hong and Lee (2005, Review of ...
The fine structure of spectral properties for random correlation matrices: an application to financial markets
financial correlation matrices eigenvalue factor models
2011/3/23
We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have ...
Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
Spectral Decomposition Option Prices Fast Mean-Reverting Stochastic Volatility Models
2010/10/21
Using spectral decomposition techniques and singular perturbation theory, we develop a systematic method to approximate the prices of a variety of options in a fast mean-reverting stochastic volatilit...
A Spectral Analysis of Business Cycle Patterns in UK Sectoral Output
Spectral Analysis Business Cycle Patterns UK Sectoral Output
2010/10/18
This paper studies business cycle patterns in UK sectoral output. It analyzes the distinction between white noise processes and their non-white noise counterparts in the frequency domain and further e...
Spectral densities of Wishart-Levy free stable random matrices: Analytical results and Monte Carlo validation
Spectral densities Analytical results Monte Carlo validation
2010/10/29
Random matrix theory is used to assess the significance of weak correlations and is well established for Gaussian statistics. However, many complex systems, with stock markets as a prominent example, ...
In the first quarter of 2006 Chicago Board Options Exchange (CBOE) introduced, as
one of the listed products, options on its implied volatility index (VIX). This created the challenge of developing a...
Spectral Risk Measures: Properties and Limitations
coherent risk measures spectral risk measures exponential utility power utility
2011/3/31
Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little guidance on the choice of utility function underlying them. This paper address...
Exponential Spectral Risk Measures
spectral risk measures risk aversion functions exponential utility function parametric bootstrap
2011/3/31
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an e...
Spectral Risk Measures and the Choice of Risk Aversion Function
coherent risk measures spectral risk measures risk aversion functions
2011/3/31
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice...
Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements
Spectral risk measures Expected Shortfall Value at Risk GARCH clearinghouse
2011/3/31
This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional distributions of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts.
Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements
Spectral risk measures Expected Shortfall Value at Risk Extreme Value clearinghouse
2011/3/31
This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts.
Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional...
Economic theories underlying economic variables nuisance parameter free
2011/4/2
Economic theories in time series contexts usually have implications on and only on the conditional mean dynamics of underlying economic variables. We propose a new class of specification tests for tim...