Relevant coherent measures of risk

We introduce and study the _f0$f_0$-relevance property of a coherent measure of risk on a positions vector space with vector ordering. We show that it is equivalent to a special no arbitrage condition on bounded positions spaces. Continuity from below leads to representations of _f0$f_0$-relevant coherent measures of risk based on equivalent functionals in Banach subspaces of the order dual. We define and describe _f0$f_0$-martingales in a lattice, and present a solution to the hedging price problem: the asset price process is an order convergent _f0$f_0$-martingale. Under the _f0$f_0$-relevance hypothesis we study the relationship between worst conditional mean and value at risk.     

Interest Rates and Stock Prices: Evidence from Central and Eastern European Markets

We provide empirical evidence regarding the responses of Central and Eastern European capital markets to monetary policy via domestic and international short-term interest rate shocks. The analysis is conducted using a four-variable structural vector error correction model identified by means of permanent-transitory restrictions. The results indicate a noticeable effect of the international interest rate on stock market indexes in the cases of the Czech Republic, Hungary, Poland, and Romania. Since no monetary policy autonomy exists in Bulgaria, Latvia, and Lithuania, we find support only for the inverse relationship between foreign interest rate and stock index prices.     

EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING

We develop two novel approaches to solving for the Laplace transform of a time‐changed stochastic process. We discard the standard assumption that the background process () is Lévy. Maintaining the assumption that the business clock () and the background process are independent, we develop two different series solutions for the Laplace transform of the time‐changed process . In fact, our methods apply not only to Laplace transforms, but more generically to expectations of smooth functions of random time. We apply the methods to introduce stochastic time change to the standard class of default intensity models of credit risk, and show that stochastic time‐change has a very large effect on the pricing of deep out‐of‐the‐money options on credit default swaps.     

The Candy model: properties and inference

In this paper we study the Candy model, a marked point process introduced by S toica et al. (2000) . We prove Ruelle and local stability, investigate its Markov properties, and discuss how the model may be sampled. Finally, we consider estimation of the model parameters and present a simulation study.     

An examination of gender role portrayals in television commercials in Romania: A gender of nations approach

This study examines gender role portrayals in Romanian television commercials. Results reveal both progressive and traditional gender role portrayals for both women and men reflecting a society and economy in a state of transition toward European Union membership. The study also involves a test of the concept of gender of nations using Hofstede's Masculinity Index (MAS). Extending a methodological approach first used by Milner and Collins (1998, 2000) gender role portrayals in Romanian commercials (moderate MAS) were compared with those appearing in Japanese (high MAS) and Swedish (low MAS) commercials. The results, which are consistent with predictions based on the relative MAS scores of the three nations, are discussed along with managerial implications.     

Modeling Consumer Responses to a Vignette Television Commercial Drama for a Vacation Resort

This project involved the formulation and testing of a model the cognitive and affective responses to a vignette television commercial drama for a vacation resort. Results indicate that response to the commercial was affective in nature with sympathy, empathy, and attitude toward the ad mediating the influences of verisimilitude and homophily on attitude toward the brand. Results suggest that to effectively promote tourism services a commercial's production value and realism must be high to produce sufficient verisimilitude. Also the behaviors and appearance of the actors chosen for the commercial should match those of the intended target audience in order to produce sufficient homophily.     

Attitude toward luxury cruise,fantasy, and willingness to pay a price premium

This study applies the functional theory of attitudes in examining the structural relationships among the social-adjustive, value-expressive, hedonic, and utilitarian functions of attitudes, fantasy, and willingness to pay a premium. This study also identifies the moderating roles of sensory innovativeness and maximization in the relationships between the four functions of attitudes and fantasy. An online survey (N?=?543) was conducted to collect data from American respondents. Structural equation modeling analysis was conducted to test proposed hypotheses. Results showed that the four functions of attitudes had significant positive effects on fantasy. In subsequent process, fantasy had a significant positive effect on willingness to pay a premium. Sensory innovativeness moderated the relationship between value-expressive function and fantasy, and maximization moderated the relationship between fantasy and willingness to pay a price premium. Given these findings, valuable theoretical and practical implications are discussed regarding the role of fantasy in luxury cruise decision-making.     

Cross-correlation Measures in the High-frequency Domain

Abstract

On a high-frequency scale the time series are not homogeneous, therefore standard correlation measures cannot be directly applied to the raw data. To deal with this problem the time series have to be either homogenized through interpolation, or methods that can handle raw non-synchronous time series need to be employed. This paper compares two traditional methods that use interpolation with an alternative method applied directly to the actual time series. The three methods are tested on simulated data and actual trades time series.