Rebalancing, Conditional Value at Risk, and t-Copula in Asset Allocation
By Irving Wang Traditional asset allocation methods for modeling the trade between risk and return do not fully reflect empirical distributions. Thus, recent research has moved away from assumptions of normality to account for risk by looking at fat tails and asymmetric distributions. Other studies have also considered multiple period frameworks to include asset rebalancing. […]
Extreme Value Theory with High-Frequency Financial Data
By Abhinay Sawant Extreme Value Theory (EVT) is one of the most commonly applied models in financial risk management for estimating the Value at Risk of a portfolio. However, the EVT model is practical for estimation only when data is independent and identically distributed, which usually does not characterize financial returns data. This paper aims […]
Spurious Jump Detection and Intraday Changes in Volatility
By Matthew Rognile We investigate the properties of several non-parametric tests for jumps in financial markets. We derive a theoretical property of these tests not observed in any of the previous literature: when they are applied to finitely sampled data, they are generally biased toward finding too many jumps. This results from bias in finite-sample […]
Determinants of Migration: A Case Study of Nang Rong, Thailand
By Monitra Mohinchai The increasing flows of internal migrants resulted from urbanization in developing countries is of great interest to policy makers. This study examines the individual-level and household-level social surveys the Nang Rong Project in 1994-1995 and 2000-2001. Individual characteristics such as gender, age, and years of schooling, and household characteristic such as family […]
Assessing the Effects of Earnings Surprise on Returns and Volatility with High Frequency Data
By Sam Lim This paper aims to explore how “earnings surprise”—the difference between earnings estimates and the actual announced earnings—affects a stock’s volatility and returns using high frequency data. The results show that earnings surprise is significantly correlated with volatility and overnight returns. Furthermore, an earnings surprise is significantly correlated with an increase in volatility […]
Currency Crisis Early Warning Systems: Robust Adjustments to the Signal-Based Approach
By Andrew Kindman This research proposes and tests several novel strategies for enhancing the strength of conventional, signal-based currency crisis Early Warning Systems (EWS). Using country level, monthly macroeconomic time-series data, it develops an algorithmic process for identifying periods of elevated currency crisis risk and achieves robust results. The proposed changes to current EWS include: […]
Forecasting Existing Home Sales using Google Search Engine Queries
By Brian Humphrey This paper employs OLS regressions to determine whether Google search query data improves national and local existing home sales forecasts. The local dataset features metropolitan statistical area data from Texas. Initially, the national and local regressions are estimated without macroeconomic variables. Macroeconomic variables are subsequently included in order to determine if Google […]
Oil Price Shocks and the Monetary Policy
By Ying-te Huang Essentially all US recessions have been preceded by oil price shocks and subsequently tighter monetary policies. (Bernanke, Gertler and Watson, 1997). Whereas some scholars, including Herrera and Hamilton (2001) claimed that such oil price shocks contributed to the recession that followed, others, including, Bernanke et al. (1997), believed that the Fed‘s endogenous […]
Movements in the Digital Divide
By Benjamin Berg I explore how the “Digital Divide” in the United States manifests during the period from 2000 to 2007. I find that the digital divide is decreasing with home computer and Internet use. But a new divide has emerged with high-speed Internet. Even though the income gap is closing with home computer use, […]
A Model of Speculative Attacks and Devaluations in Korea and Indonesia
By Austin Lin Since the beginning of the Bretton Woods era, currency crises and speculative attacks have affected the world economy. This paper presents a model, originally derived by Blanco and Garber, that predicts one-period ahead probabilities of a currency devaluation and the expected exchange rate conditional on a devaluation. The analysis is then applied […]
