Nonparametric estimation of the bivariate survival function for one modified form of doubly censored data

Bivariate distribution, Left-censoring, Right-censoring,

Performance of Tail Hedged Portfolio with Third Moment Variation Swap

The third moment variation of a financial asset return process is defined by the quadratic covariation between the return and square return processes. The skew and fat tail risk of an underlying asset can be hedged using a third moment variation swap under which a predetermined fixed leg and the floating leg of the realized third moment variation are exchanged. The probability density function of the hedged portfolio with the third moment variation swap was examined using a partial differential equation approach. An alternating direction implicit method was used for numerical analysis of the partial differential equation. Under the stochastic volatility and jump diffusion stochastic volatility models, the distributions of the hedged portfolio return are symmetric and have more Gaussian-like thin-tails.clos

Nonparametric Bayesian Volatility Estimation

Given discrete time observations over a fixed time interval, we study a nonparametric Bayesian approach to estimation of the volatility coefficient of a stochastic differential equation. We postulate a histogram-type prior on the volatility with piecewise constant realisations on bins forming a partition of the time interval. The values on the bins are assigned an inverse Gamma Markov chain (IGMC) prior. Posterior inference is straightforward to implement via Gibbs sampling, as the full conditional distributions are available explicitly and turn out to be inverse Gamma. We also discuss in detail the hyperparameter selection for our method. Our nonparametric Bayesian approach leads to good practical results in representative simulation examples. Finally, we apply it on a classical data set in change-point analysis: weekly closings of the Dow-Jones industrial averages

Learning about the role of market micro-structure from high-frequency data on Asian banks

The role of banking and financial markets in facilitating regional development and growth is firmly embedded in economic theory, where the majority of arguments support the importance of financial markets in assisting and facilitating economic advance; see Levine (2005). At times, usually following a major regional crisis, there is discussion about the role of banking institutions and financial practices in precipitating crisis events, particularly focusing on poor governance, over-extended credit and reliance on potentially flighty international capital inflows. The discussions following the East Asian crisis of 1997-1998 provide good evidence of this perception in practice; see Fischer (2001) and Chang (2000). However, as Crafts and O'Rourke (2014) point out, other incidences such as the global financial crisis of 2008-2009 and the European problems after the Greek crisis of 2010 argue that financial crises can hit many different types of market at different stages of development. While emerg~ng markets may be more vulnerable to crises during the development of their financial markets-for example, the increased probability of crises in economies with less efficient structures; see Schaeck et al. (2009) and with exchange rates in transition between fixed and floating; see Fischer (2001)- the existing evidence confirms that strong growth opportunities are related to the availability and reliability of functioning banking and financial markets