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  • Hidden markov multi-asset price model, A 

    Author(s):Elliott, Robert J.; Tao, L.; Miao, Hong
    Date Issued:2007-01
    Format:born digital; articles
    Prices for some real world tradable assets, for instance natural gas and oil, are correlated, and the price dynamics for those assets are different in different economic environments. In this paper we extend the mean ...
  • Is the price of crude responsive to macroeconomic news? A test of the stock-flow hypothesis 

    Author(s):Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay
    Date Issued:2011-01-21
    Format:born digital; articles
    A recent study indicates that the daily price of crude oil is mostly unresponsive to macroeconomic news, at times exhibiting response-coefficients that carry the “wrong sign”. The study concludes that the price of crude ...
  • Dynamic functional regression with application to the cross-section of returns 

    Author(s):Kokiszka, Piotr; Miao, Hong; Reimherr, Matthew; Taoufik, Bahaeddine
    Date Issued:2017-08-28
    Format:born digital; articles
    Motivated by testing the significance of risk factors for a cross-section of returns, we develop an inferential framework which involves function-on-scalar regression. Asymptotic theory is developed assuming the factors ...
  • Fractional differencing in discrete time 

    Author(s):Elder, John; Elliott, Robert J.; Miao, Hong
    Date Issued:2011-07-23
    Format:born digital; articles
    This paper consists of two parts, a theoretical followed by an empirical contribution. We first give a new framework for fractional differencing in discrete time and show how the definition of fractional differencing that ...
  • Currency jumps, cojumps and the role of macro news 

    Author(s):Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay; Villupuram, Sriram
    Date Issued:2013-05
    Format:born digital; articles
    This study investigates the impact of macro news on currency jumps and cojumps. The analysis uses intra-day data, sampled at 5-min frequency, for four currencies for the period 2005–2010. Results indicate that currency ...
  • Jumps in oil prices: the role of economic news 

    Author(s):Elder, John; Miao, Hong; Ramchander, Sanjay
    Date Issued:2012-12
    Format:born digital; articles
    Previous research has been unable to identify a strong link between crude oil prices and economic news. We reexamine this relationship using high frequency intraday data and relatively new methodology to estimate jumps in ...
  • S&P 500 index‐futures price jumps and macroeconomic news 

    Author(s):Miao, Hong; Ramchander, Sanjay; Zumwalt, J. Kenton
    Date Issued:2013-06-24
    Format:born digital; articles
    This study examines the influence of macroeconomic news on price discontinuities in the S&P 500 index futures. Results document a strong association between macro news and price jumps. Over three‐fourths of the price jumps ...
  • Crude oil moments and PNG stock returns 

    Author(s):Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay
    Date Issued:2014-04-24
    Format:born digital; articles
    We examine the risk-neutral moments of crude oil and their relationship to stock returns in the Petroleum and Natural Gas (PNG) industry. We find substantial overlaps in the association between returns and S&P 500- and ...
  • Price discovery in crude oil futures 

    Author(s):Elder, John; Miao, Hong; Ramchander, Sanjay
    Date Issued:2014-09-15
    Format:born digital; articles
    This study examines price discovery among the two most prominent price benchmarks in the market for crude oil, WTI sweet crude and Brent sweet crude. Using data on the most active futures contracts measured at the one-second ...
  • Short-term options: clienteles, market segmentation, and event trading 

    Author(s):Chatrath, Arjun; Christie-David, Rohan A.; Miao, Hong; Ramchander, Sanjay
    Date Issued:2015-09-10
    Format:born digital; articles
    We compare clientele and information share in weekly- (Weeklys) and monthly-expiring options (Monthlys) on the S&P 500 index. Striking dissimilarities between the two instruments are found, most apparent being the much ...
  • Functional dynamic factor model for intraday price curves 

    Author(s):Kokoszka, Piotr; Miao, Hong; Zhang, Xi
    Date Issued:2015-02-21
    Format:born digital; articles
    This article proposes a functional dynamic factor model for the evaluation of the impact of scalar– and curve–valued factors on the shapes of intraday price curves. The asymptotic theory leads to practically useful confidence ...
  • Investment timing with regime switching 

    Author(s):Elliott, Robert J.; Miao, Hong; Yu, Jin
    Date Issued:2008-01-17
    Format:born digital; articles
    We investigate the optimal investment timing strategy in a real option framework. Depending on the state of the economy, whose changes are modeled by a Markov chain, the investment cost can take one of two values. The ...
  • Model for energy pricing with stochastic emission costs, A 

    Author(s):Elliott, Robert J.; Lyle, Matthew R.; Miao, Hong
    Date Issued:2009-07-23
    Format:born digital; articles
    We use a supply-demand approach to value energy products exposed to emission cost uncertainty. We find closed form solutions for a number of popularly traded energy derivatives such as: forwards, European call options ...
  • VaR and expected shortfall: a non-normal regime switching framework 

    Author(s):Elliott, Robert J.; Miao, Hong
    Date Issued:2009-09
    Format:born digital; articles
    We have developed a regime switching framework to compute the Value at Risk and Expected Shortfall measures. Although Value at Risk as a risk measure has been criticized by some researchers for lack of subadditivity, it ...
  • Impact of macroeconomic news on metal futures 

    Author(s):Elder, John; Miao, Hong; Ramchander, Sanjay
    Date Issued:2011-06-07
    Format:born digital; articles
    This paper uses intra-day data for the period 2002 through 2008 to examine the intensity, direction, and speed of impact of U.S. macroeconomic news announcements on the return, volatility and trading volume of three important ...
  • Corporate bonds, macroeconomic news, and investor flows 

    Author(s):Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay; Villupuram, Sriram
    Date Issued:2012-06-30
    Format:born digital; articles
    This article examines the impact of macroeconomic announcements on corporate bond prices and investor migrations across various types of bonds over time. In addition, the authors compare the responses of investor-grade ...
  • Risk-shifting, equity risk, and the distress puzzle 

    Author(s):Li, Keming; Lockwood, Jimmy; Miao, Hong
    Date Issued:2017-06
    Format:born digital; articles
    Higher default probabilities are associated with lower future stock returns. The anomaly cannot be explained by strategic shareholder actions, traditional risk factors, characteristics, or mispricing, but, instead, is ...
  • Viterbi-based estimation for markov switching GARCH model 

    Author(s):Elliott, Robert J.; Lau, John W.; Miao, Hong; Kuen Siu, Tak
    Date Issued:2011-08-22
    Format:born digital; articles
    We outline a two-stage estimation method for a Markov-switching Generalized Autoregressive Conditional Heteroscedastic (GARCH) model modulated by a hidden Markov chain. The first stage involves the estimation of a hidden ...
  • Life insurer cost of equity with asymmetric risk factors 

    Author(s):Bajtelsmit, Vickie L.; Villupuram, Sriram V.; Wang, Tianyang
    Date Issued:2015-07-16
    Format:born digital; articles
    This study presents an improved model for estimating life insurer cost of capital with the inclusion of upside and downside risk factors and controlling for life insurer characteristics. Although various asymmetric measures ...
  • Robust multi-period portfolio model based on prospect theory and ALMV-PSO algorithm 

    Author(s):Liu, Jiahe; Jin, Xiu; Wang, Tianyang; Yuan, Ying
    Date Issued:2015-11-15
    Format:born digital; articles
    The studies of behavioral finance show that the cognitive bias plays an important role in investors’ decision-making process. In this paper, based on the robust theory and prospect theory, a robust multi-period portfolio ...

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