Titlebook: Econometrics of Risk; Van-Nam Huynh,Vladik Kreinovich,Komsan Suriya Book 2015 Springer International Publishing Switzerland 2015 Asset Pri

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From Mean and Median Income to the Most Adequate Way of Taking Inequality into Account poor people clearly improves the overall economy but does not change the median. In this paper, we use known techniques from group decision making—namely, Nash’s bargaining solution—to come up with the most adequate measure of “average” income: geometric mean. On several examples, we illustrate how this measure works.

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Belief Aggregation in Financial Markets and the Nature of Price Fluctuationsfind that asset prices depend on both Gaussian parameters mean and variance of the market belief, but argue that the latter changes slower than the former. Consequently, price fluctuations are dominated by the covariance matrix of the market participants’ subjective beliefs about expected asset returns.

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Asymmetric Volatility of Local Gold Prices in Malaysiand that the local gold returns demonstrate an inverted asymmetric reaction to positive and negative innovations respectively. Positive shock increases the gold returns volatility more than the negative shock in full sample as well as the stock market downside, thus supporting the hedge and safe haven properties of gold investment in Malaysia.

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世俗

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1860-949X tary material: .This edited book contains several state-of-the-art papers devoted to econometrics of risk. Some papers provide theoretical analysis of the corresponding mathematical, statistical, computational, and economical models. Other papers describe applications of the novel risk-related econo

Isthmus

Dirk Söhnholz,Sascha Rieken,Dieter G. Kaiser distinguish the absolute and relative ratings and explain how to identify their idiosyncratic and systematically persistent (resp. amplifying cycles) components. The methodology is illustrated by the analysis of hedge fund returns extracted from the TASS database for the period 1994–2008.

人类

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David Baglee,Michael Knowles,Chi-Yung Yauween complete dependence and independence copulas. A pointwise version of Kendall’s tau is also proposed and shown to distinguish between comonotonicity and countermonotonicity for complete dependence copulas.