Archives for LFIN

Joint CORE-FIN seminar The Structure of Risks in Equilibrium Affine Models of Bond Yields Anh Le, Penn State Equilibrium affine term structure models (ETSMs) typically imply that expected excess returns on bonds are determined entirely as an affine function of the conditional variances...

Joint with Brown Bag Seminar A new Class of Empirical Dynamic Order Book Models with an Application to the U.S. Treasury Market Giang Nguyen, PSU We propose a new class of empirical dynamic order book models to study the joint dynamics of liquidity and volatility. The multiplicative...

Joint CORE-LFIN-NBB Tractabel Term-Structure Models and the Zero Lower Bound Anh Le, Penn State We greatly expand the space of tractable term-structure models. Key to our approach is a direct specification of bond pricing functions, that does not require an explicit pricing kernel, but...

Brexit and foreign exchange market expectations: Could it have been predicted? Gradojevic Nikola, University of Guelph In order to gauge foreign exchange market expectations prior to and after the Brexit vote in June, 2016, this paper examines European options written on the GBP/USD and...