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The tale of two tails and stock returns for two major emerging markets
In this study, we examine the relationship between tail measures and stock return for China and India using data from 2000 to 2021. For both the...
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Discussion of the Application Results
This chapter summarizes and discusses the facts discovered through the application of the previous chapter. In the case of the application of FFSM to...
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Application to ICT System Failures
This chapter first introduces the various tools that will be utilized when the meta-methodology SOSF is specifically applied. These are the...
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Dynamic Linkages and Temporal Relationships Between Spot and Future Index Prices: Empirical Evidence from India Using Non-linear GARCH–BEKK
This study empirically examines price discovery and volatility spillover between the spot and futures markets for India using both daily and intraday...
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Air Pollution, Investor Sentiment and Excessive Returns
This paper extends the asset pricing literature by offering a proprietary index of negative investor sentiment linked to carbon monoxide (CO),...
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Green Bonds: Shades of Green and Brown
We analyse the existence of a green bond premium and find a negative premium of 8 to 14 basis points. We are further interested in the influence of...
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Expected and Realized Returns on Stocks with High- and Low-ESG Exposure
Empirically, stocks with a good environmental, social, or governance (ESG) rating tend to earn higher returns than stocks with a low rating. In...
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Does Marginal VaR Lead to Improved Performance of Managed Portfolios: A Study of S&P BSE 100 and S&P BSE 200
In order to improve upon the performance of a managed portfolio, we propose the use of Marginal Value-at-Risk (MVaR) to ascertain the desirability of...
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A Summing Up
Multiple-interest-rate analysis is considered in the context of twentieth-century economics and finance, and potential applications and new avenues...
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An Accurate Formula Is Derived for the Impact of a Shift in Yield on the Price of a Bond
A new formula for the duration of a bond is derived. The formula is wholly real and provides accurate results. The formula gives the concept of...
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Four Key Results of Multiple-Interest-Rate Analysis
This chapter explains the use and meaning of all interest rates solving the TVM equation by means of four results, two concerning the use of all...
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Modelle für Programmentscheidungen bei Sicherheit
Bei der Investitionsprogrammplanung sind simultan die Art und die Zahl unterschiedlicher Investitionsobjekte auszuwählen, die realisiert werden...
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Options: Trading Basics
The world of options is a labyrinth of poorly understood rules and jargon, often characterized as high risk and exotic.
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New solvable stochastic volatility models for pricing volatility derivatives
In this paper we discuss a new approach to extend a class of solvable stochastic volatility models (SVM). Usually, classical SVM adopt a CEV process...
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A two price theory of financial equilibrium with risk management implications
Financial primitives are introduced to define acceptable loss exposures when demands and supplies are defined on differing event spaces. Acceptable...
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The αVG model for multivariate asset pricing: calibration and extension
Luciano and Semeraro proposed a class of multivariate asset pricing models where the asset log-returns are modeled by a multivariate Brownian motion...
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Regime-switching measure of systemic financial stress
In this paper, I propose an approach to measuring systemic financial stress. In particular, abrupt and large changes in the volatility of financial...
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More punishment, less default?
The extent of lender recourse following contractual default varies greatly across economies. Intuitively, one would expect these differences to...
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Joint econometric modeling of spot electricity prices, forwards and options
We propose a joint modeling of spot electricity prices, forwards prices and other derivative prices, using recent developments in discrete time asset...
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Bewertung in der Bankbilanz nach den Vorschriften des HGB
Sie werden die Vorschriften im HGB zum Thema Bewertung kennen lernen. Ihnen werden die unterschiedlichen Wertansätze bei der Bewertung des...