Journal ArticleDOI
Managing financial risk in Chinese stock markets: Option pricing and modeling under a multivariate threshold autoregression
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TLDR
In this article, a multivariate threshold autoregressive (TAR) process is used to model the non-linear relationship between the two markets and the model may help fund managers better plan or execute their risk management decisions, as it captures the difference in investment return behavior when one market significantly outperforms the other.About:
This article is published in International Review of Economics & Finance.The article was published on 2015-11-01. It has received 7 citations till now. The article focuses on the topics: Stock exchange & Stock market index.read more
Citations
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Journal ArticleDOI
Advances in financial risk management and economic policy uncertainty: An overview☆
TL;DR: In this article, the authors highlight some areas of research in which novel econometric, financial econometrics and empirical finance methods have contributed significantly to the analysis of financial risk management when there is economic uncertainty, especially the power of print.
Journal ArticleDOI
A self-exciting threshold jump–diffusion model for option valuation
TL;DR: In this article, a self-exciting threshold jump-diffusion model for option valuation is studied, which can incorporate regime switches without introducing an exogenous stochastic factor process.
Journal ArticleDOI
Stationary Threshold Vector Autoregressive Models
Galyna Grynkiv,Lars Stentoft +1 more
TL;DR: In this paper, the steady state properties of the threshold vector autoregressive model were examined and necessary and sufficient conditions for the existence of a stationary distribution were derived for locally explosive models, where the stationary distribution exists though the model is explosive in one regime.
Journal ArticleDOI
Pricing European vanilla options under a jump-to-default threshold diffusion model
TL;DR: Using the probabilistic approach, the Laplace-transform-based analytical solutions to the pricing problem of European vanilla options are obtained and the impact of jump-to-default risk and threshold effect is shown.
Journal ArticleDOI
Organization Evolution of Fuzzy System Based on Financial Risk Degree of Commercial Banks
TL;DR: In this article, the authors systematically combine the factors influencing the financial risk of commercial banks, which can identify the main sources of financial risk in this complex way of financing and clarify the effects of the transfer of financial risks between different participants.
References
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Book
Analysis of Financial Time Series
TL;DR: The author explains how the Markov Chain Monte Carlo Methods with Applications and Principal Component Analysis and Factor Models changed the way that conventional Monte Carlo methods were applied to time series analysis.
Book
Threshold models in non-linear time series analysis
TL;DR: This chapter discusses SETAR Modelling, Threshold Models and Discrete-Time Non-Linear Vibrations, and some Advantages and Some Limitations of Arma Models.
Journal ArticleDOI
Modeling Multiple Time Series with Applications
George C. Tiao,George E. P. Box +1 more
TL;DR: An approach to the modeling and analysis of multiple time series is proposed and properties of a class of vector autoregressive moving average models are discussed.
Journal Article
Option pricing by Esscher transforms.
Hans U. Gerber,Shiu E.S.W. +1 more
TL;DR: In this article, the authors show that the Esscher transform is also an efficient technique for valuing derivative securities if the logarithms of the prices of the primitive securities are governed by certain stochastic processes with stationary and independent increments.
Journal ArticleDOI
Testing and modeling multivariate threshold models
TL;DR: In this article, the authors use predictive residuals to construct a test statistic for detecting threshold nonlinearity in a vector time series and propose a procedure for building a multivariate threshold model.