This paper develops the Expanding Window Variance Ratio (EWVR) volatility regime detection procedure and applies it to an 85-year sample period for U.S. equities. Subsample results indicate that the procedure is stabl...
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This paper develops the Expanding Window Variance Ratio (EWVR) volatility regime detection procedure and applies it to an 85-year sample period for U.S. equities. Subsample results indicate that the procedure is stable, locating similar regimes regardless of the extent of the sample period selected. Robust separation of a sample into periods of normal, unusually high, and unusually low volatility allows for development of regime dependent models which reduce the problem of determining the appropriate length of sample period for model development, testing, and forecasting applications. [ABSTRACT FROM AUTHOR]
The article discusses various academic literature dealing with longevity risk and capital markets. Topics discussed include importance of longevity risk and related capital market solutions, capital markets as vehicle...
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The article discusses various academic literature dealing with longevity risk and capital markets. Topics discussed include importance of longevity risk and related capital market solutions, capital markets as vehicles to hedge longevity risk and transfer the risk from those unwilling or unable to manage it to those willing to invest in this risk in exchange for appropriate risk-adjusted returns and developments associated with in the capital markets.
Explicit presence of reorganization in addition to liquidation leads to conflicts of interest between borrowers and lenders. In the first-best outcome, reorganization adds value to both parties via higher debt capacit...
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The article reports that SunGard has expanded its Loanet Securities finance service to automate borrow order submissions to Quadriserv's AQS Securities lending platform in 2011. It explains that the AQS lending platfo...
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The article reports that SunGard has expanded its Loanet Securities finance service to automate borrow order submissions to Quadriserv's AQS Securities lending platform in 2011. It explains that the AQS lending platform is a central counterparty-based market that provides automated Securities lending trading in more than 5,000 underlying equity, exchange traded funds, index and ADR products. The benefits of the integration to Loanet customers are detailed.
Provides information on investing in timber assets. Important aspects of timber investing; Risks involved with timber investments; Concerns over the performance of timber investments.
Provides information on investing in timber assets. Important aspects of timber investing; Risks involved with timber investments; Concerns over the performance of timber investments.
Securities in Registration: The article presents a list of planned new offerings that have been registered with the U.S. Securities & Exchange Commission in since April 5, 2003 but have not come to market as of May 5,...
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Securities in Registration: The article presents a list of planned new offerings that have been registered with the U.S. Securities & Exchange Commission in since April 5, 2003 but have not come to market as of May 5, 2003.Brief information about the offering made by Darling International Inc. is provided. Details about Lions Gate Entertainment Corp. are given in the article. Corporate information about Partnerre Ltd. is presented.
Reports on the growth in prepayment rates for agency mortgage-backed Securities in the U.S. in March 2004. 50 percent increases in the speed of massive 5.5 percent 2003 Fannie Mae coupons; Ample capacity in the mortga...
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Reports on the growth in prepayment rates for agency mortgage-backed Securities in the U.S. in March 2004. 50 percent increases in the speed of massive 5.5 percent 2003 Fannie Mae coupons; Ample capacity in the mortgage pipeline; Significant drop in mortgage rates after the March 5, 2004 employment report.
The article discusses the impact of Rule 151A from the Securities and Exchange Commission (SEC) which declares that fixed indexed annuities (FIAs) are Securities and not insurance products in the U.S. SEC chairman Chr...
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The article discusses the impact of Rule 151A from the Securities and Exchange Commission (SEC) which declares that fixed indexed annuities (FIAs) are Securities and not insurance products in the U.S. SEC chairman Christopher Cox argues that FIAs are abusively sold to seniors who do not understand the products and SEC needs to protect them. It states that the financial services industry was surprised with the ruling since they have considered FIAs as insurance products.
Several charts and tables on the entertainment industry' global underwriting volume, new issues in the sector and the recent global equity deals are presented.
Several charts and tables on the entertainment industry' global underwriting volume, new issues in the sector and the recent global equity deals are presented.
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