Dynamic Conditional Correlation between Electricity and Stock markets during...
Liberalization of electricity markets has increasingly created the need for understanding the volatility and correlation structure between electricity and financial markets. This work reveals the...
View ArticleForecasting day-ahead electricity prices in Europe: the importance of...
Motivated by the increasing integration among electricity markets, in this paper we propose three different methods to incorporate market integration in electricity price forecasting and to improve the...
View ArticleBehind the price: on the role of agent's reflexivity in financial market...
In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order...
View ArticleRelationship between Remittances and Macroeconomic Variables in Times of...
If Tunisia was hailed as a success story with its high rankings on economic, educational, and other indicators compared to other Arab countries, the 2011 popular uprisings demonstrate the need for...
View ArticleMarkov-Modulated Information Flows. (arXiv:1708.06948v1 [math.PR])
We model information flows in continuous time that are generated by a number of information sources that are switched on and off at random times. In a novel approach, we explicitly relate the discovery...
View ArticleVIX-linked fees for GMWBs via Explicit Solution Simulation Methods....
In a market with stochastic volatility and jumps, we consider a VIX-linked fee structure for variable annuity contracts with guaranteed minimum withdrawal benefits (GMWB). Our goal is to assess the...
View ArticleSystematic Noise: Micro-movements in Equity Options Markets....
Equity options are known to be notoriously difficult to price accurately, and even with the development of established mathematical models there are many assumptions that must be made about the...
View ArticleVolatility and Economic Growth in the Twentieth Century. (arXiv:1708.06792v1...
The twentieth century was a period of outstanding economic growth together with an unequal income distribution. This paper analyses the international distribution of growth rates and its dynamics...
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The New Rules of Marketing and PR: How to Use Social Media, Online Video,...
When it comes to marketing, anything goes in the Digital Age, right? Well, not quite. While marketing and public relations tactics do seem to change overnight, every smart businessperson knows that it...
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Building Resilience to Global Risks: Challenges for African Central Banks
BIS Papers No 93 by Benedicte Vibe Christensen and Christian Upper. The policy response of many African commodity exporting economies to the slump in commodity prices after mid-2014 has been markedly...
View ArticleEthics in Social Networking and Business 1: Theory, Practice and Current...
This book, the first of two volumes dedicated to ethics in social networking and business, presents the notions, theories and practical aspects related to ethics, morale and deontology in our...
View ArticleCFTC Charges South Carolina Resident Thomas Lanzana, Florida Resident Nikolay...
The U.S. Commodity Futures Trading Commission (CFTC) filed a civil enforcement action against Defendants Thomas Lanzana (d/b/a Unique Forex) and his company Blackbox Pulse, LLC, and Nikolay Masanko and...
View ArticleConsultative document on the implications of fintech for banks and...
Press release about the Basel Committee issuing a consultative document on the implications of fintech for banks and supervisors (31 August 2017)
View ArticleImplications of fintech developments for banks and bank supervisors -...
Base Committee document on "Implications of fintech developments for banks and bank supervisors - consultative document", August 2017.
View ArticleHow can financial modelling predict economic crises?
Profile: Nobel Laureate Robert F. Engle III - Can we avoid financial crises in the future? https://t.co/VHBhskcDzT â moneyscience (@moneyscience) August 31,â¦
View ArticleDay Trading in Wall Street’s Complex ‘Fear Gauge’ Proliferates
Day Trading in Wall Streetâs Complex âFear Gaugeâ Proliferates https://t.co/VG2eBRC9EY â moneyscience (@moneyscience) August 31, 2017
View ArticleHow important is the Global Financial Cycle? Evidence from capital flows
This study quantifies the importance of a Global Financial Cycle (GFCy) for capital flows. We use capital flow data disaggregated by direction and type between Q1 1990 and Q4 2015 for 85 countries, and...
View ArticleASA on Twitter
The Journal of Business & Economic #Statistics special issue looks at regime switching and threshold models. https://t.co/J9WtRuY5gOâ¦
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