217 research outputs found
The shine of precious metals around the global financial crisis
No full textFiguerola-Ferretti thanks the Spanish Ministry of Education and Science for support under grants MICINN ECO2010-19357, ECO2012-36559 and ECO2013-46395, and McCrorie, The Carnegie Trust for the Universities of Scotland under grant no. 31935.We analyze the price behavior of the main precious metals – gold, silver, platinum and palladium – before, during and in the aftermath of the 2007–08 financial crisis. Using the mildly explosive/multiple bubble technology developed by Phillips, Shi and Yu (2015, International Economic Review 56(4), 1043–1133), we find significant, short periods of mildly explosive behavior in the spot and futures prices of all four metals. Fewer periods are detected using exchange-rate adjusted prices, and almost none when deflated prices are used. We assess whether these findings are indicative of bubble behavior. Convenience yield is shown to have little efficacy in this regard, while other fundamental proxy variables and position data offer only very limited evidence against prices having been anything other than fundamentals-driven. Possible exceptions are in gold in the run-up to the highpoint of the financial crisis, and in silver and palladium around the launch of specific financial products. Some froth, however, is reported and discussed for each metal.Peer reviewe
Numerical analysis and multi-precision computational methods applied to the extant problems of Asian option pricing and simulating stable distributions and unit root densities
No full textThis thesis considers new methods that exploit recent developments in computer technology to address three extant problems in the area of Finance and Econometrics. The problem of Asian option pricing has endured for the last two decades in spite of many attempts to find a robust solution across all parameter values. All recently proposed methods are shown to fail when computations are conducted using standard machine precision because as more and more accuracy is forced upon the problem, round-off error begins to propagate. Using recent methods from numerical analysis based on multi-precision arithmetic, we show using the Mathematica platform that all extant methods have efficacy when computations use sufficient arithmetic precision. This creates the proper framework to compare and contrast the methods based on criteria such as computational speed for a given accuracy. Numerical methods based on a deformation of the Bromwich contour in the Geman-Yor Laplace transform are found to perform best provided the normalized strike price is above a given threshold; otherwise methods based on Euler approximation are preferred.
The same methods are applied in two other contexts: the simulation of stable distributions and the computation of unit root densities in Econometrics. The stable densities are all nested in a general function called a Fox H function. The same computational difficulties as above apply when using only double-precision arithmetic but are again solved using higher arithmetic precision. We also consider simulating the densities of infinitely divisible distributions associated with hyperbolic functions. Finally, our methods are applied to unit root densities. Focusing on the two fundamental densities, we show our methods perform favorably against the extant methods of Monte Carlo simulation, the Imhof algorithm and some analytical expressions derived principally by Abadir. Using Mathematica, the main two-dimensional Laplace transform in this context is reduced to a one-dimensional problem
The role of Skorokhod space in the developmentof the econometric analysis of time series
No full textThis paper discusses the fundamental role played by Skorokhod space, through its
underpinning of functional central limit theory, in the development of the paradigm of unit
roots and co-integration. This paradigm has fundamentally affected the way economists
approach economic time series as was recognized by the award of the Nobel Memorial Prize
in Economic Sciences to Robert F. Engle and Clive W.J. Granger in 2003. Here, we focus on
how P.C.B. Phillips and others used the Skorokhod topology to establish a limiting
distribution theory that underpinned and facilitated the development of methods of estimation
and testing of single equations and systems of equations with possibly integrated regressors.
This approach has spawned a large body of work that can be traced back to Skorokhod's
conception of fifty years ago. Much of this work is surprisingly confined to the econometrics
literature
Estimating Continuous-time Models On the Basis of Discrete Data Via An Exact Discrete Analog
No full textThis paper offers a perspective on A.R. Bergstrom's contribution to continuous-time modeling, focusing on his preferred method of estimating the parameters of a structural continuous-time model using an exact discrete-time analog. Some inherent difficulties in this approach are discussed, which help to explain why, in spite of his prescience, the methods around his time were not universally adopted as he had hoped. Even so, it is argued that Bergstrom's contribution and legacy is secure and retains some relevance today for the analysis of macroeconomic and financial time series
Moments in Pearson’s four-step uniform random walk problem and other applications of very well-poised generalized hypergeometric series
No full textThis paper considers the representation of odd moments of the distribution of a four-step uniform random walk in even dimensions, which are based on both linear combinations of two constants representable as contiguous very well-poised generalized hypergeometric series and as even moments of the square of the complete elliptic integral of the first kind. Neither constants are currently available in closed form. New symmetries are found in the critical values of the L-series of two underlying cusp forms, providing a sense in which one of the constants has a formal counterpart. The significant roles this constant and its counterpart play in multidisciplinary contexts is described. The results unblock the problem of representing them in terms of lower-order generalized hypergeometric series, offering progress towards identifying their closed forms. The same approach facilitates a canonical characterization of the hypergeometry of the parbelos, adding to the characterizations outlined by Campbell, D'Aurozio and Sondow (2020, The American Mathematical Monthly 127(1) , 23-32). The paper also connects the econometric problem of characterizing the bias in the canonical autoregressive model under the unit root hypothesis to very well-poised generalized hypergeometric series. The confluence of ideas presented reflects a multidisciplinarity that accords with the approach and philosophy of Prasanta Chandra Mahalanobis.Peer reviewe
The role of Skorokhod space in the development of the econometric analysis of time series
No full textThis paper discusses the fundamental role played by Skorokhod space, through its underpinning of functional central limit theory, in the development of the paradigm of unit roots and co-integration. This paradigm has fundamentally affected the way economists approach economic time series as was recognized by the award of the Nobel Memorial Prize in Economic Sciences to Robert F. Engle and Clive W.J. Granger in 2003. Here, we focus on how P.C.B. Phillips and others used the Skorokhod topology to establish a limiting distribution theory that underpinned and facilitated the development of methods of estimation and testing of single equations and systems of equations with possibly integrated regressors. This approach has spawned a large body of work that can be traced back to Skorokhod's conception of fifty years ago. Much of this work is surprisingly confined to the econometrics literature.Skorokhod space, functional central limit theorems, non-stationary time series, unit roots and co-integration, Wiener functionals, econometrics.
Polyphony and the anxiety of influence in the fiction of Henry James
No full textJames's fiction, especially in the Middle Phase, centres
on the figure of the artist and is characterized by, the two
interrelated aspects which previous criticism has largely
overlooked: the Bakhtinian 'polyphonic' -creation of
'author-thinkers'; and the conflict between ephebes and
precursors, for which Harold-Bloom's concept of 'the-anxiety of
influence' is the most illuminating model. Polyphony is the
narrative mode, and influence is the intra-artistic, theme.
These, as the Introduction to the thesis makes clear, are
rehearsed in James's inaugural novel, Roderick Hudson. Rowland
Mallet is an author-thinker, and his failure is caused by
authorial limitations. His monologism -is impaired by his
mistaking empathy for the authorial sympathy. Likewise,
Hudson's failure does not arise from a mercurial temperament,
but from a polyphonic shortcoming: not possessing the power of
fiction to contain the fiction of power in, his mentor. And the
relationships among the three artists - Gloriani, Hudson and
Singleton - perfectly exemplify the Bloomian-theme. It is these
two concepts, polyphony and influence, which are the major
preoccupation in the Middle Phase; as, the works chosen
demonstrate. These are a novella, a novel, and a number of
short stories all of which have been unjustifiably neglected.
Chapter One, on The Aspern Papers, argues that Tina Bordereau,
far from being, the artless victim seen by many critics,
actually challenges and defeats the narrator by the very form
of her narrative. Her 'realist' discourse undermines his
language of 'romance', and shows up its internal unstability.
Chapter Two is an extensive study of the critical reception of
The Tragic Muse. The most common areas of critical attention
have been its contemporary topicality, its relation to previous
novels on similar themes, and the possible genealogy of Gabriel
Nash. Those have all missed the core of the work. - Chapter Three
demonstrates how polyphony and the anxiety of influence make
the novel what it really is. Influence arises from the
juxtaposition of, and the wrestling between, artistic ephebes
and their precursors (Nick and Nash,, Miriam and Madame Carre).
The dialogic quality defined by Bakhtin is crucial to the
proper, and even-handed, characterization of all, the conflicts
in the novel. And since most of James's tales in the eighties
and nineties -are about 'masters - and acolytes, the anxiety of
influence remains central. Chapter Four is a study of 'The
Author of Beltraffiol' and 'The Lesson of the Master'. Again the
characters' manipulations are a crucial focus in a way that
G6rard Genette's terminology helps to illuminate. The fact that
the ephebe is the author-thinker emphasizes the inextricability
of the Bakhtinian and the Bloomian in James. Just as
polyphony offers a different focus for explicating the poetics
of James's fiction; so the ephebal conflict provides the basis
for a fresh perception of James's own artistic struggle
The Likelihood of the Parameters of a Continuous Time Vector Autoregressive Model
No full textcontinuous time stochastic process, vector autoregressive model, likelihood function, time series analysis, application to economics,
IDENTIFICATION AND ESTIMATION OF EXCHANGE RATE MODELS WITH UNOBSERVABLE FUNDAMENTALS
No full textThis article is concerned with issues of model specification, identification, and estimation in exchange rate models with unobservable fundamentals. We show that the continuous-time model proposed by Gardeazabal, Reg�lez, and Vázquez ("International Economic Review" 38 (1997), 389-404) is not identified and that this property is characteristic of the discrete-time representation of the model that they used as the basis for estimation by simulated method of moments. We briefly discuss the implications of this result in the context of the asset-market model of exchange rates with unobservable fundamentals. Copyright 2006 by the Economics Department Of The University Of Pennsylvania And Osaka University Institute Of Social And Economic Research Association.
Testing for mild explosivity and bubbles in LME non-ferrous metals prices
No full textFiguerola-Ferretti thanks the Spanish Ministry of Education and Science for support under grants MICINN ECO2010-19357, ECO2012-36559 and ECO2013-46395, and McCrorie, The Carnegie Trust for the Universities of Scotland under grant no. 31935.This paper applies the mildly explosive/multiple bubbles testing methodology developed by Phillips, Shi and Yu (2015a, International Economic Review, forthcoming) to examine the recent time series behaviour of the main six London Metal Exchange (LME) non-ferrous metals prices. We detect periods of mild explosivity in the cash and three-month futures price series in each of copper, nickel, lead, zinc and tin, but not in aluminium. We argue that convenience yield, though the formal counterpart to dividend yield in commodity markets, is not a useful basis on which to assess whether observed explosivity is indicative of bubbles (namely, departures of prices from their fundamental values). We construct other measures that provide evidence that suggests the observed explosivity in the non-ferrous metals market can be associated with tight physical markets.Peer reviewe
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