Risk contagion under regular variation and asymptotic tail independence....
Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk contagion would be to...
View ArticleThe Mittag-Leffler Phillips Curve. (arXiv:1604.00369v1 [q-fin.EC])
In this paper, a mathematical model containing two-parameter Mittag-Leffler function in its definition is proposed to be used for the first time to fit the relation between unemployment rate and...
View ArticleCorruption and Wealth: Unveiling a national prosperity syndrome in Europe....
Data mining revealed a cluster of economic, psychological, social and cultural indicators that in combination predicted corruption and wealth of European nations. This prosperity syndrome of...
View ArticleSystemic Risks in CCP Networks. (arXiv:1604.00254v1 [q-fin.MF])
We propose a model for the credit and liquidity risks faced by clearing members of Central Counterparty Clearing houses (CCPs). This model aims to capture the features of: gap risk; feedback between...
View ArticleMarket Integration in the Prewar Japanese Rice Markets. (arXiv:1604.00148v1...
This paper examines the integration process of the Japanese major rice markets (Tokyo and Osaka) from 1881 to 1932. Using a non-Bayesian time-varying vector error correction (VEC) model, we argued that...
View ArticleOption pricing under fast-varying long-memory stochastic volatility....
Recent empirical studies suggest that the volatility of an underlying price process may have correlations that decay relatively slowly under certain market conditions. In this paper, the volatility is...
View ArticleDistinguished Economist Steven Joseph Davis Appointed MAS Term Professor At...
The National University of Singapore (NUS) and the Monetary Authority of Singapore (MAS) have jointly appointed Professor Steven Joseph Davis, William H. Abbott Professor of International Business and...
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HSBC Online Share Trading Joins mFund Service
HSBC Online Share Trading, part of HSBC Bank Australia Ltd, has today joined ASX’s mFund Settlement Service, bringing the number of mFund distribution partners to 18.read more...
View ArticleDGCX Breaks Several Records In The First Quarter Of 2016
First quarter volumes on the Dubai Gold & Commodities Exchange (DGCX) grew 37% from the same period last year, trading more than 4.5 million contracts - the highest quarterly volumes in the...
View ArticleBoerse Stuttgart Reports March Turnover In Region Of EUR 6.9 Billion -...
Based on the order book statistics, turnover at Boerse Stuttgart in March 2016 was around EUR 6.9 billion, roughly on a par with the total for February.read more...
View ArticleICAP To Become Official Title Sponsor Of LâEtape London By Le Tour De...
Human Race, the UK’s leading event organiser, announces that ICAP, a leading markets operator and provider of post-trade risk mitigation and information services, is to become Official Title Sponsor of...
View ArticleWarsaw Stock Exchange - Investor Activity On GPW Markets: March 2016
The value of trade in equities on the Electronic Order Book on the Main Market was PLN 16.7 billion in March 2016, representing a decrease of 13.4% year on year. The total value of trade in equities...
View ArticlePeregrine Guernsey Limited Appoints Northern Trust For Global Custody And...
Peregrine Guernsey Limited has appointed Northern Trust (Nasdaq: NTRS) to provide global custody and fund administration services for approximately US$725 million in assets.read more...
View ArticleCME Group Appoints Paul Houston As Global Head Of FX
CME Group, the world's leading and most diverse derivatives marketplace, today announced the appointment of Paul Houston as Executive Director, Global Head of FX.read more...
View ArticleACER Publishes Updated Q&As On REMIT And Additional Faqs On Transaction...
On 24 and 31 March 2016 ACER provided additional guidance on data collection under the EU Regulation on wholesale energy market integrity and transparency (REMIT), in particular having regard to the...
View ArticleLjubljana Stock Exchange: Monthly Statistical Report March 2016
Click here to download comprehensive monthly statistics of the Ljubljana Stock Exchange for March 2016.
View ArticleFinancial Dampening -- by Johannes F. Wieland, Mu-Jeung Yang
We propose a novel mechanism, "financial dampening," whereby loan retrenchment by banks attenuates the effectiveness of monetary policy. The theory unifies an endogenous supply of illiquid local loans...
View ArticleSupply-Side Policies in the Depression: Evidence from France -- by Jeremie...
The effects of supply-side policies in depressed economies are controversial. We shed light on this debate using evidence from France in the 1930s. In 1936, France departed from the gold standard and...
View ArticleOptimal Reserves in Financially Closed Economies -- by Olivier Jeanne,...
Financially closed economies insure themselves against current-account shocks using international reserves. We characterize the optimal management of reserves using an open-economy model of...
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