2,259 research outputs found

    Properties of centered random walks on locally compact groups and Lie groups

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    The basic aim of this paper is to study asymptotic properties of the convolution powers K^(n) = K * K * ... * K of a possibly non-symmetric probability density K on a locally compact, compactly generated group G. If K is centered, we show that the Markov operator T associated with K is analytic in L^p(G) for 1<p<\infty, and establish Davies-Gaffney estimates in L^2 for the iterated operators T^n. These results enable us to obtain various Gaussian bounds on K^(n). In particular, when G is a Lie group we recover and extend some estimates of Alexopoulos and of Varopoulos for convolution powers of centered densities and for the heat kernels of centered sublaplacians. Finally, in case G is amenable, we discover that the properties of analyticity or Davies-Gaffney estimates hold only if K is centered.Comment: 52 pages. Accepted in 2006 for publication in Revista Matematica Iberoamerican

    International Shocks and the Role of Domestic Policy in Australia

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    VAR, open economy, monetary policy

    Cojumping: Evidence from the US Treasury Bond and Futures Market

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    The basis between spot and future prices will be affected by jump behavior in each asset price, challenging intraday hedging strategies. Using a formal cojumping test this paper considers the cojumping behaviour of spot and futures prices in high frequency US Treasury data. Cojumping occurs most frequently at shorter maturities and higher samling frequencies. We find that the presence of an anticipated macroeconomic news announcement is sufficient to change the probability of observing cojumps. Moreover, news surprises in non-farm payrolls, CPI, GDP and retail sales play a leading role in changing the probabilities of cojumps. However, surprises in non-farm payrolls also increase the probability of the cojumping tests being unable to determine whether jumps in spots and futures occur contemporaneously. On these occasions the market does not clearly signal its short term pricing behavior

    Empirical Modelling of Contagion: A Review of Methodologies

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    The existing literature promotes a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods, and shows how they are related in a unified framework. A number of extensions are also suggested which allow for multivarite testing, endogeneity issues and structural breaks.Contagion, Financial Crises

    Testing for contagion using correlations: some words of caution

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    Tests for contagion in financial returns using correlation analysis are seriously affected by the size of the “noncrisis” and “crisis” periods. Typically the crisis period contains relatively few observations, which seriously affects the power of the test.Financial crises ; Financial markets
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