Stylized facts

This paper employs an event study, the Global Financial Crisis. Episodes of inefficient pricing, the externality, are exploited as a measure of systemic risk. The theoretical asset pricing model, the martingale representation, is shown to be a valid algorithm to identify episodes of efficient and inefficient pricing in time series. Systemic risk metrics are derived from episodes of inefficient pricing, utilizing a shadow volatility metric. The algorithm is forward looking, deriving macro-foundation metrics from actual agent market behavior.

18p trinhthamhodang2 19-01-2020 35 1   Download

Popular models of finance, fall short of accounting for most empirically found stylized features of financial time series data, such as volatility clustering, skewness and leptokurtic nature of log returns. In this study we propose a general framework for modeling asset returns which account for serial dependencies in higher moments and leptokurtic nature of scaled GARCH filtered residuals. Such residuals are calibrated to normal inverse Gaussian and hyperbolic distribution.

14p chauchaungayxua2 19-01-2020 14 0   Download

This special issue aims to stimulate the investigation on the applications of KM principles, ideas and systems within an institutional context. Our editorial segment of this special edition proceeds as follows. The next section provides some stylized facts on KM and KM systems in general. Subsequently we examine two emerging areas in which KM in the context of its application is becoming vital – (i) in the area of ontology-based organizational memory and (ii) in the area of disaster management. We then provide a preview of the papers that were accepted in this special edition.

9p quenchua1 06-11-2019 14 0   Download

This chapter’s objectives are to: Examine the so-called stylized facts concerning the properties of economic timeseries data, introduce the basic ARCH and GARCH models, show how ARCH and GARCH models have been used to estimate inflation rate volatility,...

80p nomoney17 04-07-2017 48 3   Download

They exhibit the profile characteristic of being credit constrained with spending out of current income, while simultaneously choosing a “flat” profile for credit card spending over the pay period. This behavior suggests of the use of a mental account rule, and thus provides some indication that households in our sample are sophisticated, and able to use internal commitments to limit overspending. In summary, the two main stylized facts generated by this paper are difficult to explain in the standard economic framework.

452p bin_pham 06-02-2013 48 7   Download

Preliminary analysis of the data reveals some noteworthy similarities and differences between Chile and the other countries considered. Over this sample period, Chilean interest rates are on average higher, more volatile, and less persistent than the interest rates for the other countries. However, in Chile, the degree of co-movement between retail bank interest rates and the money market rate is essentially the same as in other countries. These “stylized facts” are highlighted in Tables 2 through 5, which report summary statistics for the interest series of all countries considered.

46p taisaovanchuavo 23-01-2013 54 5   Download

Our notion of what triggers a boom-bust cycle is very stylized: the signal occurs on a particular date and people learn that it is exactly false on another particular date. In more realistic scenarios, people form expectations based on an accumulation of various signals. If people’s expectations are in fact overoptimistic, they come to this realization only slowly and over time. Although the trigger of the boom-bust cycle in our analysis is in some ways simplistic, it has the advantage of allowing us to highlight a result that we think is likely to survive in more realistic settings..

34p bocapchetnguoi 06-12-2012 49 0   Download

Volatility forecasting is crucial for option pricing, risk management and portfolio management. Nowadays, volatility has become the subject of trading. There are now exchange-traded contracts written on volatility. Financial market volatility also has a wider impact on financial regulation, monetary policy and macroeconomy.

238p greengrass304 14-09-2012 75 22   Download