Continuation in Daily Returns and Slow Diffusion of Information

2013 ◽  
Author(s):  
Dermot Murphy ◽  
Ramabhadran S. Thirumalai
Keyword(s):  
Diffusion Of Information ◽  
Slow Diffusion ◽  
Daily Returns

Properties of the beta coefficient of the global minimum variance portfolio

2020 ◽  
Vol 8 (1) ◽  
pp. 11-21
Author(s):  
S. M. Yaroshko ◽  
◽  
M. V. Zabolotskyy ◽  
T. M. Zabolotskyy ◽  
◽  
...  
Keyword(s):  
Confidence Interval ◽  
Asymptotic Distribution ◽  
Global Minimum ◽  
Asset Returns ◽  
Minimum Variance ◽  
Benchmark Portfolio ◽  
Beta Coefficient ◽  
Minimum Variance Portfolio ◽  
Global Minimum Variance Portfolio ◽  
Daily Returns

The paper is devoted to the investigation of statistical properties of the sample estimator of the beta coefficient in the case when the weights of benchmark portfolio are constant and for the target portfolio, the global minimum variance portfolio is taken. We provide the asymptotic distribution of the sample estimator of the beta coefficient assuming that the asset returns are multivariate normally distributed. Based on the asymptotic distribution we construct the confidence interval for the beta coefficient. We use the daily returns on the assets included in the DAX index for the period from 01.01.2018 to 30.09.2019 to compare empirical and asymptotic means, variances and densities of the standardized estimator for the beta coefficient. We obtain that the bias of the sample estimator converges to zero very slowly for a large number of assets in the portfolio. We present the adjusted estimator of the beta coefficient for which convergence of the empirical variances to the asymptotic ones is not significantly slower than for a sample estimator but the bias of the adjusted estimator is significantly smaller.

Streaks in Daily Returns

2020 ◽  
Author(s):  
Alexander Klos ◽  
Alexandra Koehl ◽  
Simon Rottke
Keyword(s):  
Daily Returns

scholarly journals Harnack’s inequality for doubly nonlinear equations of slow diffusion type

2021 ◽  
Vol 60 (6) ◽  
Author(s):  
Verena Bögelein ◽  
Andreas Heran ◽  
Leah Schätzler ◽  
Thomas Singer
Keyword(s):  
Vector Field ◽  
Harnack Inequality ◽  
Parabolic Equations ◽  
Full Range ◽  
Nonlinear Parabolic Equations ◽  
Growth Conditions ◽  
Diffusion Type ◽  
Slow Diffusion ◽  
Nonlinear Parabolic ◽  
Doubly Nonlinear

AbstractIn this article we prove a Harnack inequality for non-negative weak solutions to doubly nonlinear parabolic equations of the form $$\begin{aligned} \partial _t u - {{\,\mathrm{div}\,}}{\mathbf {A}}(x,t,u,Du^m) = {{\,\mathrm{div}\,}}F, \end{aligned}$$ ∂ t u - div A ( x , t , u , D u m ) = div F , where the vector field $${\mathbf {A}}$$ A fulfills p-ellipticity and growth conditions. We treat the slow diffusion case in its full range, i.e. all exponents $$m > 0$$ m > 0 and $$p>1$$ p > 1 with $$m(p-1) > 1$$ m ( p - 1 ) > 1 are included in our considerations.

scholarly journals Volatility Modeling: An Overview of Equity Markets in the Euro Area during COVID-19 Pandemic

Mathematics ◽  
2021 ◽  
Vol 9 (11) ◽  
pp. 1212
Author(s):  
Pierdomenico Duttilo ◽  
Stefano Antonio Gattone ◽  
Tonio Di Di Battista
Keyword(s):  
Stock Market ◽  
Euro Area ◽  
Risk Premium ◽  
Stock Markets ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Volatility Modeling ◽  
The Impact ◽  
Second Wave ◽  
Daily Returns

Volatility is the most widespread measure of risk. Volatility modeling allows investors to capture potential losses and investment opportunities. This work aims to examine the impact of the two waves of COVID-19 infections on the return and volatility of the stock market indices of the euro area countries. The study also focuses on other important aspects such as time-varying risk premium and leverage effect. This investigation employed the Threshold GARCH(1,1)-in-Mean model with exogenous dummy variables. Daily returns of the euro area stock markets indices from 4th January 2016 to 31st December 2020 has been used for the analysis. The results reveal that euro area stock markets respond differently to the COVID-19 pandemic. Specifically, the first wave of COVID-19 infections had a notable impact on stock market volatility of euro area countries with middle-large financial centres while the second wave had a significant impact only on stock market volatility of Belgium.

Membrane Surface Modulates Slow Diffusion in Small Crowded Droplets

Langmuir ◽  
2020 ◽  
Author(s):  
Kanae Harusawa ◽  
Chiho Watanabe ◽  
Yuta Kobori ◽  
Kazuho Tomita ◽  
Akira Kitamura ◽  
...  
Keyword(s):  
Membrane Surface ◽  
Slow Diffusion
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