nep-fmk New Economics Papers
on Financial Markets
Issue of 2012‒12‒15
two papers chosen by
Kwang Soo Cheong
Johns Hopkins University

  1. Stock Market Asymmetries: A Copula Diffusion By Denitsa Stefanova
  2. Cross comparison and modelling of Goldman Sachs, Morgan Stanley, JPMorgan Chase, Bank of America, and Franklin Resources By Kitov, Ivan

  1. By: Denitsa Stefanova (VU University Amsterdam)
    Abstract: The paper proposes a model for the dynamics of stock prices that incorporates increased asset co-movements during extreme market downturns in a continuous-time setting. The model is based on the construction of a multivariate diffusion with a pre-speci…ed stationary density with tail dependence. I estimate the model with Markov Chain Monte Carlo using a sequential inference procedure that proves to be well-suited for the problem. The model is able to reproduce stylized features of the dependence structure and the dynamic behaviour of asset returns.
    Keywords: tail dependence; multivariate di¤usion; Markov Chain Monte Carlo
    JEL: C11 C51 C58
    Date: 2012–11–21
  2. By: Kitov, Ivan
    Abstract: We have studied statistical characteristics of five share price time series. For each stock price, we estimated a best fit quantitative model for the monthly closing price as based on the decomposition into two defining consumer price indices selected from a large set of CPIs. It was found that there are two pairs of similar models (Bank of America/Morgan Stanley and Goldman Sachs/JPMorgan Chase) with a standalone model for Franklin Resources. From each pair, one can choose the company with the highest return depending on the future evolution of defining CPIs.
    Keywords: share price; modeling; CPI; prediction; USA; bankruptcy
    JEL: G1 G2 G3 E4
    Date: 2012–12–05

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