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Estimating the Value-at-Risk from High-frequency Data
Data augmentation Gibbs sampler Quadratic variation Time changed Brownian motion
2016/1/27
We present two alternative approaches for estimating VaR. Both approaches are based on the observation that each trading day is very diverse and we can observe K different phases of the trading day. W...
THE HIGH SENSITIVITY OF ECONOMIC ACTIVITY TO FINANCIAL FRICTIONS
HIGH SENSITIVITY ECONOMIC ACTIVITY FINANCIAL FRICTIONS
2015/7/20
A financial friction is a wedge between the return received by providers of financial capital–ultimately, consumers–and the cost of capital paid by businesses and consumers who use capital. I study tw...
High School Curriculum and Financial Outcomes:The Impact of Mandated Personal Finance and Mathematics Courses
Secondary Education Personal Finance Outcome or Result
2015/4/28
Financial literacy and cognitive capabilities are convincingly linked to the quality of financial decision-making. Yet, there is little evidence that education intended to improve financial decision-m...
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Analyzing the Spectrum Asset Returns Jump Volatility Components High Frequency Data
2014/3/13
This paper reports some of the recent developments in the econometric analysis of semimartingales estimated using high frequency financial returns. It describes a simple yet powerful methodology to de...
On Fiduciary Duty: Have We Set the Bar Too High?
ethical standards fiduciary duty A hypothetical example
2011/8/21
The article analyzes ethical standards for financial planners, focusing on the concept of fiduciary duty. A hypothetical example is presented to illustrate some of the dilemmas which can arise when at...
How to Have High-Impact Client Review Meetings
financial crisis financial plan financial condition
2011/8/20
The article offers information on the High-impact Client Review Meeting, a template that will guide financial planners in the conduct of a meeting review in the U.S. It says that after the 2008 global...
Uncovering Long Memory in High Frequency UK Futures
Long Memory APARCH High Frequency Futures
2011/3/31
Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper ...
The nature of price returns during periods of high market activity
price returns periods market activity
2010/10/22
By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evidence that the impact...
Is high-frequency trading inducing changes in market microstructure and dynamics?
financial markets algorithmic trading self-similarity
2010/10/20
Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent...
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
Minimum variance portfolio portfolio allocation risk assessment
2010/10/20
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (20...
High order discretization schemes for stochastic volatility models
High order discretization schemes stochastic volatility models
2010/11/2
In usual stochastic volatility models, the process driving the volatility of the asset price evolves accord-ing to an autonomous one-dimensional stochastic differential equation. We assume that the co...
Local Risk Decomposition for High-frequency Trading Systems
Financial Markets Risk Multi-scale Systems Complex Systems
2010/11/1
In the present work we address the problem of evaluating the historical performance of a trading strategy or a certain portfolio of assets. Common indicators such as the Sharpe ratio and the risk adju...
Financial correlations at ultra-high frequency: theoretical models and empirical estimation
Financial ultra-high frequency
2010/12/13
A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales - th...
Margin setting with high-frequency data1
Clearinghouse extreme value theory futures markets high-frequency data intraday dynamics margin requirements risk management
2011/3/31
Both in practice and in the academic literature, models for setting margin requirements in futures markets classically use daily closing price changes. However, as well documented by research on high-...