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Large Deviations And The Distribution Of Price Changes, Laurent Calvet, Adlai Fisher, Benoit Mandelbrot Sep 1997

Large Deviations And The Distribution Of Price Changes, Laurent Calvet, Adlai Fisher, Benoit Mandelbrot

Cowles Foundation Discussion Papers

The Multifractal Model of Asset Returns (“MMAR,” see Mandelbrot, Fisher, and Calvet, 1997) proposes a class of multifractal processes for the modelling of financial returns. In that paper, multifractal processes are defined by a scaling law for moments of the processes’ increments over finite time intervals. In the present paper, we discuss the local behavior of multifractal processes. We employ local Hölder exponents, a fundamental concept in real analysis that describes the local scaling properties of a realized path at any point in time. In contrast with the standard models of continuous time finance, multifractal processes contain a multiplicity of …


Multifractality Of Deutschemark/Us Dollar Exchange Rates, Adlai Fisher, Laurent Calvet, Benoit Mandelbrot Sep 1997

Multifractality Of Deutschemark/Us Dollar Exchange Rates, Adlai Fisher, Laurent Calvet, Benoit Mandelbrot

Cowles Foundation Discussion Papers

This paper presents the first empirical investigation of the Multifractal Model of Asset Returns (“MMAR”). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997), is an alternative to ARCH-type representations for modelling temporal heterogeneity in financial returns. Typically, researchers introduce temporal heterogeneity through time-varying conditional second moments in a discrete time framework. Multifractality introduces a new source of heterogeneity through time-varying local regularity in the price path. The concept of local Hölder exponent describes local regularity. Multifractal processes bridge the gap between locally Gaussian (Itô) diffusions and jump-diffusions by allowing a multiplicity of Hölder exponents. This paper investigates multifractality in …


Yale Nurse, Yale School Of Nursing Sep 1997

Yale Nurse, Yale School Of Nursing

Yale School of Nursing Alumni Newsletters and Magazines

No abstract provided.


Depositor Protection Act, Act No. 5403, South Korean Government Aug 1997

Depositor Protection Act, Act No. 5403, South Korean Government

Documents

No abstract provided.


What Lessons Can Be Learned From Recent Financial Crises The Swedish Experience, Urban Backstrom Aug 1997

What Lessons Can Be Learned From Recent Financial Crises The Swedish Experience, Urban Backstrom

Documents

No abstract provided.


Ratings Of S.Korea Banks Won't Improve Immediately., Jean Yoon Aug 1997

Ratings Of S.Korea Banks Won't Improve Immediately., Jean Yoon

Documents

No abstract provided.


Press Release: Imf Approves Stand-By Credit For Thailand, International Monetary Fund (Imf) Aug 1997

Press Release: Imf Approves Stand-By Credit For Thailand, International Monetary Fund (Imf)

Documents

Press release highlighting that the IMF approved stand-by aid to Thailand.


Imf Thailand Letter Of Intent, Thailand: Government Of Thailand Aug 1997

Imf Thailand Letter Of Intent, Thailand: Government Of Thailand

Documents

No abstract provided.


Thailand Letter Of Intent, August 14, 1997, Thanong Biyada, Chaiyawat Wibulswasdi Aug 1997

Thailand Letter Of Intent, August 14, 1997, Thanong Biyada, Chaiyawat Wibulswasdi

Documents

Letter of Intent for Thailand's 34-month SBA with the IMF, dated August 14, 1997.


And She Thought Soros Was No. #1, Verra Prateepchaikul Aug 1997

And She Thought Soros Was No. #1, Verra Prateepchaikul

Documents

Editorial criticizing the FIDF for administering secret liquidity support to unhealthy institutions


Erring Executives Face Punishments, Yuwadee Tunyasiri Aug 1997

Erring Executives Face Punishments, Yuwadee Tunyasiri

Documents

newspaper article describing the reactions of public figures such as the Prime Minister to the admission that the FIDF had lent hundreds of millions of baht to suspended finance companies


Bot Starts Credit Line, Deposit Guarantee For Finance Sector, Harish Mehta Aug 1997

Bot Starts Credit Line, Deposit Guarantee For Finance Sector, Harish Mehta

Documents

news article describing the admission by the BOT that the FIDF had liabilities in excess of one trillion baht cite as: Mehta, Harish. 1997. “BOT Starts Credit Line, Deposit Guarantee for Finance Sector."Business Times Singapore, August 9, 1997. Stbt000020011003dt89000h8. Factiva.


Deposits Guaranteed; Tv Warned On News Coverage, Patrick Mcdowell Aug 1997

Deposits Guaranteed; Tv Warned On News Coverage, Patrick Mcdowell

Documents

No abstract provided.


Establishment Of Financial Institutions To Supplement Liquidity, Jarung Noo-Kwan Aug 1997

Establishment Of Financial Institutions To Supplement Liquidity, Jarung Noo-Kwan

Documents

No abstract provided.


Thailand Closes 42 Finance Companies Reckless Lending To Developers Crushes Weak Players Under Mountain Of Bad Debt, Paul M. Sherer Aug 1997

Thailand Closes 42 Finance Companies Reckless Lending To Developers Crushes Weak Players Under Mountain Of Bad Debt, Paul M. Sherer

Documents

No abstract provided.


Thailand Aims To Stem Run On Banks -- Government Guarantees Deposits, Urges Calm, Lee Miller Aug 1997

Thailand Aims To Stem Run On Banks -- Government Guarantees Deposits, Urges Calm, Lee Miller

Documents

Bloomberg article outlining the Thai government's announcement of a blanket guarantee and other crisis response measures.


Bank Of Thailand - Plan To Guarantee Ailing Firms' Notes Reversed, Cholada Ingsrisawang Aug 1997

Bank Of Thailand - Plan To Guarantee Ailing Firms' Notes Reversed, Cholada Ingsrisawang

Documents

No abstract provided.


Measures To Strengthen Confidence In The Financial Institution System, Bank Of Thailand, Thailand: Government Of Thailand Aug 1997

Measures To Strengthen Confidence In The Financial Institution System, Bank Of Thailand, Thailand: Government Of Thailand

Documents

No abstract provided.


Thailand/Imf Bailout/Amplifier-3: To Guarantee Deposits, Dow Jones Newswires Aug 1997

Thailand/Imf Bailout/Amplifier-3: To Guarantee Deposits, Dow Jones Newswires

Documents

No abstract provided.


Thailand Details Measures On Financial Institution., Anchalee Koetsawang Aug 1997

Thailand Details Measures On Financial Institution., Anchalee Koetsawang

Documents

No abstract provided.


The Introduction Of Pharmaceutical Product Patents In India: Heartless Exploitation Of The Poor And Suffering, Jean O. Lanjouw Aug 1997

The Introduction Of Pharmaceutical Product Patents In India: Heartless Exploitation Of The Poor And Suffering, Jean O. Lanjouw

Discussion Papers

No abstract provided.


Labor Market Dynamics In Russia, Mark C. Foley Aug 1997

Labor Market Dynamics In Russia, Mark C. Foley

Discussion Papers

No abstract provided.


Three Lectures On The Walrasian Hypotheses For Exchange Economies, Donald J. Brown Aug 1997

Three Lectures On The Walrasian Hypotheses For Exchange Economies, Donald J. Brown

Discussion Papers

No abstract provided.


Determinants Of Unemployment Duration In Russia, Mark C. Foley Aug 1997

Determinants Of Unemployment Duration In Russia, Mark C. Foley

Discussion Papers

No abstract provided.


Multiple Job Holding In Russia During Economic Transition, Mark C. Foley Aug 1997

Multiple Job Holding In Russia During Economic Transition, Mark C. Foley

Discussion Papers

No abstract provided.


Simple Counterexample To The Bootstrap, Donald W.K. Andrews Aug 1997

Simple Counterexample To The Bootstrap, Donald W.K. Andrews

Cowles Foundation Discussion Papers

The bootstrap of the maximum likelihood estimator of the mean of a sample of iid normal random variables with mean µ and variance one is not asymptotically correct to first order when the mean is restricted to be nonnegative. The problem occurs when the true value of the mean µ equals zero. This counterexample to the bootstrap generalizes to a wide variety of estimation problems in which the true parameter may be on the boundary of the parameter space. We provide some alternatives to the bootstrap that are asymptotically correct to first order. We consider two types of bootstrap percentile …


A Stochastic Infinite-Horizon Economy With Secured Lending, Or Unsecured Lending And Bankruptcy, Ioannis Karatzas, Martin Shubik, William D. Sudderth Aug 1997

A Stochastic Infinite-Horizon Economy With Secured Lending, Or Unsecured Lending And Bankruptcy, Ioannis Karatzas, Martin Shubik, William D. Sudderth

Cowles Foundation Discussion Papers

Modeling problems for a monetary economy are discussed and some examples are presented in the context of an infinite-horizon economy with one or two types of traders, who use fiat money to buy a single perishable consumption good. Three instances are considered, all with transactions in fiat money. The first model has no borrowing or lending. The second model permits both borrowing and lending, but all loans are secured. The third model has borrowing and unsecured lending, and takes into account the presence of debtors who are unable to honor their debts and go bankrupt. Borrowing and depositing take place …


A Model Of A Predatory State, Boaz Moselle, Ben Polak Aug 1997

A Model Of A Predatory State, Boaz Moselle, Ben Polak

Cowles Foundation Discussion Papers

We provide a model of a primitive state whose rulers extort taxes for their own ends. This ‘predatory’ state can result in lower levels of both output and popular welfare than either organized banditry or anarchy. The predatory state may provide public goods, such as protection or irrigation, and hence may superficially resemble a contractual state. But, the ability to provide such goods can actually reduce popular welfare after allowing for tax changes. We compare the revenues raised by taxation with those from banditry to get an idea when primitive states are likely to emerge. We then consider interactions between …


The Experiment In Applied Econometrics, James Tobin Aug 1997

The Experiment In Applied Econometrics, James Tobin

Cowles Foundation Discussion Papers

No abstract provided.


Act On The Efficient Disposal Of Nonperforming Assets, Etc. Of Financial Companies And The Establishment Of Korea Asset Management Corporation, South Korean Government Aug 1997

Act On The Efficient Disposal Of Nonperforming Assets, Etc. Of Financial Companies And The Establishment Of Korea Asset Management Corporation, South Korean Government

Documents

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