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on Financial Markets |
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Issue of 2012‒12‒15
two papers chosen by |
| By: | Denitsa Stefanova (VU University Amsterdam) |
| Abstract: | The paper proposes a model for the dynamics of stock prices that incorporates increased asset co-movements during extreme market downturns in a continuous-time setting. The model is based on the construction of a multivariate diffusion with a pre-speci ed stationary density with tail dependence. I estimate the model with Markov Chain Monte Carlo using a sequential inference procedure that proves to be well-suited for the problem. The model is able to reproduce stylized features of the dependence structure and the dynamic behaviour of asset returns. |
| Keywords: | tail dependence; multivariate di¤usion; Markov Chain Monte Carlo |
| JEL: | C11 C51 C58 |
| Date: | 2012–11–21 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:uvatin:20120125&r=fmk |
| By: | Kitov, Ivan |
| Abstract: | We have studied statistical characteristics of five share price time series. For each stock price, we estimated a best fit quantitative model for the monthly closing price as based on the decomposition into two defining consumer price indices selected from a large set of CPIs. It was found that there are two pairs of similar models (Bank of America/Morgan Stanley and Goldman Sachs/JPMorgan Chase) with a standalone model for Franklin Resources. From each pair, one can choose the company with the highest return depending on the future evolution of defining CPIs. |
| Keywords: | share price; modeling; CPI; prediction; USA; bankruptcy |
| JEL: | G1 G2 G3 E4 |
| Date: | 2012–12–05 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:43099&r=fmk |