Conditional testing for unit - root bilinearity in financial time series: some theoretical and empirical results

Article Abstract:

A paper on the introduction of a t-ratio type test for detecting bilinearity in a stochastic unit root process is presented. The stochastic unit process is a realistic approximation for many economic and financial time series. The testing procedure is a two-step one. It is observed that under the null of no bilinearity, the test statistics are asymptomatically normally distributed and the two-step testing procedure is consistent, in the sense that the size of the step one test is not affected by the possible detection of bilinearity at step two. The testing hypothesis on 65 GARCH-adjusted stock market indices from mature and emerging markets indicates no unit root bilinearity for at least 70% of these markets.

Science & research, Research, Stochastic processes, Emerging markets

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Modeling financial reinsurance in the casualty insurance business via stochastic programming

Article Abstract:

The rationale for financial reinsurance that refers to the investment strategy, in the casualty insurance business is examined. The properties of optimal portfolios are compared with and without the possibility of financial reinsurance.

Insurance, Insurance Carriers and Related Activities, INSURANCE CARRIERS, Insurance industry, Investment management

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Self-organization and the persistence of noise in financial markets

Article Abstract:

Usage of a dynamic model to give correct information on price to predict future values and de-emphasize private information is presented.

Financial markets, Price fixing, Future value

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