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STATE-DEPENDENT OR TIME-DEPENDENT PRICING: DOES IT MATTER FOR RECENT U.S. INFLATION?
Depend on depends on the time pricing inflation
2015/7/20
STATE-DEPENDENT OR TIME-DEPENDENT PRICING: DOES IT MATTER FOR RECENT U.S. INFLATION.
Study of statistical correlations in intraday and daily financial return time series
Study of statistical correlations intraday daily financial return time series Statistical Finance
2012/4/28
The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the "seasonalities" and market evolution. Using the intraday data of t...
Identifying financial crises in real time
Time series analysis fluctuation phenomena interdisciplinary physics econophysics financial markets fractals
2012/4/28
In this work we develop a new measure to study the behavior of stochastic time series, which permits to distinguish events which are different from the ordinary, like financial crises. We identify fro...
Comparing the reliability of a discrete-time and a continuous-time Markov chain model in
discrete-time transition matrix the default probability the empirical results
2011/8/30
This article compares the reliability of a discrete-time and a continuous-time Markov chain model for estimating credit risk and for investigating loans of Chiao Tung Bank in Taiwan. The continuous-ti...
CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION
credit derivative Credit risk default probability first passage time
2011/8/22
Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatil...
A two-stage dynamic credit scoring model, based on customers’ profile and time horizon
credit scoring model logistic regression survival analysis
2011/8/22
As credit card usage has expanded rapidly worldwide, credit scoring has become a very important task for banks, which can benefit from reducing possible risks of default. Credit scoring models help de...
Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data
forward-looking Taylor rule Greenbook Parameter instability time-varying parameter model
2011/8/21
Despite the large amount of empirical research on monetary policy rules, there is surprisingly little consensus on the nature or even the existence of changes in the conduct of U.S. monetary policy. T...
Measuring the Time Inconsistency of US Monetary Policy
alternative explanation inflation monetary policy asymmetric preferences implicit target
2011/8/21
This paper offers an alternative explanation for the great inflation of the 1970s by measuring a novel source of monetary policy time inconsistency. In the presence of asymmetric preferences, the mone...
Hey Buddy, Do You Have the Correct Time (Horizon)?
practicing financial service professionals investment time horizon five standardized time-horizon definitions financial portfolio
2011/8/21
This paper describes a method used to clarify what practicing financial service professionals (FSPs) mean by the term "investment time horizon." Based on 22 FSPs who participated in focus group discus...
Scaling properties of first-passage time probabilities in financial markets
Scaling properties first-passage time probabilities financial markets
2011/7/19
Financial markets provide an ideal frame for the study of first-passage time events of non-
Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures...
Statistical Inference for Time-changed Brownian Motion Credit Risk Models
Credit risk structural model rst passage problem Levy process fast Fourier transform credit default spread maximum likelihood estimation
2011/3/23
We consider structural credit modeling in the important special case where the log-leverage ratio of the firm is a time-changed Brownian motion (TCBM) with the time-change taken to be an independent i...
Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes
Heat Kernel Interest Rate Models Time-Inhomogeneous Markov Processes
2011/1/4
We consider a heat kernel approach for the development of stochastic pricing kernels. The kernels are constructed by positive propagators, which are driven by time-inhomogeneous Markov processes. We m...
Non-existence of Markovian time dynamics for graphical models of correlated default
Markovian time dynamics graphical models correlated default
2010/10/21
Filiz et al. (2008) proposed a model for the pattern of defaults seen among a group of firms at the end of a given time period. The ingredients in the model are a graph, where the vertices correspond...
Applications of time-delayed backward stochastic differential equations to pricing, hedging and management of financial and insurance risks
backward stochastic differential equations participating contracts
2010/10/20
In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise when we want to find a ...
We consider portfolio selection when decisions based on a dynamic risk measure are affected by the use of a moving horizon, and the possible inconsistencies that this creates. By giving a formal treat...