Open Access. Powered by Scholars. Published by Universities.®
Finance and Financial Management Commons™
Open Access. Powered by Scholars. Published by Universities.®
- Keyword
- Publication Type
Articles 1 - 2 of 2
Full-Text Articles in Finance and Financial Management
Estimation Of Multivariate Asset Models With Jumps, Angela Loregian, Laura Ballotta, Gianluca Gianluca Fusai, Marcos Fabricio Perez
Estimation Of Multivariate Asset Models With Jumps, Angela Loregian, Laura Ballotta, Gianluca Gianluca Fusai, Marcos Fabricio Perez
Business Faculty Publications
We propose a consistent and computationally efficient two-step methodology for the estimation of multidimensional non-Gaussian asset models built using Levy processes. The proposed framework allows for dependence between assets and different tail behaviors and jump structures for each asset. Our procedure can be applied to portfolios with a large number of assets as it is immune to estimation dimensionality problems. Simulations show good finite sample properties and significant efficiency gains. This method is especially relevant for risk management purposes such as, for example, the computation of portfolio Value at Risk and intra-horizon Value at Risk, as we show in detail …
Agents Of Change: The Role Of Foreign Financial Institutions In China’S Financial Transformation Since The Early 1990s, Anton Malkin
Agents Of Change: The Role Of Foreign Financial Institutions In China’S Financial Transformation Since The Early 1990s, Anton Malkin
Theses and Dissertations (Comprehensive)
What role have foreign financial institutions (FFIs) played in China’s financial evolution since the early 1990s? My research finds that FFIs, which include foreign commercial and investment banks, as well as private equity (PE) firms, have played a role in China’s financial evolution in three respects. First, US financial institutions have leveraged their influence in the US government, their ties to other business groups, and mobilized connections with the Chinese elite, to help China to join the World Trade Organization in 2001. This outcome created a relatively open formal, legal environment to foreign actors—helping in the cause of liberalizing China’s …