搜索结果: 16-30 共查到“经济学 financial markets”相关记录67条 . 查询时间(0.114 秒)
Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities
Modeling and Pricing of Covariance Correlation Swaps Financial Markets Semi-Markov Volatilities Pricing of Securities
2012/6/5
In this paper, we model financial markets with semi-Markov volatilities and price covarinace and correlation swaps for this markets. Numerical evaluations of vari- nace, volatility, covarinace and cor...
Hierarchical structure and time-lag correlation in Worldwide Financial Markets
Hierarchical structure time-lag correlation Worldwide Financial Markets Statistical Finance
2012/6/4
Recently, many studies indicated that the minimum spanning tree (MST) network whose metric distance is de?ned by using correlation coe?cients have strong implications on extracting infor- mation from ...
The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straight-
forwardly from the selection of biased stati...
The article focuses on the financial markets and federal funds rates of the U.S. federal funds market. The market participants believe that the federal funds rate will be closer to a level consistent ...
The article focuses on the money and financial markets in the United States. Implied yields from Eurodollar futures fell in August and September, 2005 suggesting that market participants expect the cu...
Understanding the Growth of African Financial Markets
financial market stock markets political risk
2011/9/16
This paper examines empirically the determinants of financial market development in Africa with an emphasis on banking systems and stock markets. The results show that income level, creditor rights pr...
Reserve Accumulation: Implications for Global Capital Flows and Financial Markets
monetary policy global financial markets central bank balance sheet
2011/9/12
Examines the accumulation of foreign currency reserve assets and explore its implications for monetary policy, global financial markets and the U.S. economy. Explanation on the simplified central bank...
In 2010, the Dodd-Frank Wall Street Reform and Consumer Protection Act created a new federal agency, the Consumer Financial Protection Bureau, to improve the functioning of consumer financial services...
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...
Strategies used as spectroscopy of financial markets reveal new stylized facts
spectroscopy Strategies financial markets
2011/7/25
Abstract: We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to op...
Shocks in financial markets, price expectation, and damped harmonic oscillators
modified damped harmonic price expectations reaction of financial markets
2011/3/30
Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order to do this, we gath...
Correlation of financial markets in times of crisis
eigenvalues financial market volatility
2011/3/23
Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correl...
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 ...
The Fundamental Theorem of Asset Pricing, the Hedging Problem and Maximal Claims in Financial Markets with Short Sales Prohibitions
The Fundamental Theorem Asset Pricing Hedging Problem
2011/1/4
This paper consists of two parts. In the first part, by building on the work of Jouini and Kallal in [26], Sch\"urger in [37], Frittelli in [15], Pham and Touzi in [34] and Napp in [33], we prove the ...
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consist...