Mathematical and Statistical Methods for Actuarial Sciences and Finance

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A simple dimension reduction procedure for corporate finance composite indicators∗ Marco Marozzi and Luigi Santamaria Abstract.F ...

206 M. Marozzi and L. Santamaria possibly transform the original data into comparable data through a proper func- tionT(·)and o ...

A simple dimension reduction procedure for corporate finance composite indicators 207 the measurement units and force the result ...

208 M. Marozzi and L. Santamaria based for example on the rank transformation ofXiks or on Lago and Pesarin’s [6] Nonparametric ...

A simple dimension reduction procedure for corporate finance composite indicators 209 Thecurrent ratio X 1 = total current asset ...

210 M. Marozzi and L. Santamaria out financial information following standard rules. First Mi= ∑^4 k= 1 Xik−MED(Xk) MAD(Xk) , i= ...

A simple dimension reduction procedure for corporate finance composite indicators 211 To evaluate if our result depends on the c ...

212 M. Marozzi and L. Santamaria do not usually have a strong background in statistics. From the practical point of view, our me ...

A simple dimension reduction procedure for corporate finance composite indicators 213 Hoaglin, D.C., Mosteller, F., Tukey, J.W. ...

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The relation between implied and realised volatility in the DAX index options market Silvia Muzzioli Abstract.The aim of this pa ...

216 S. Muzzioli index options market, Christensen and Prabhala [5] examine the relation between IV and realised volatility using ...

The relation between implied and realised volatility 217 and is adjusted for dividends, stocks splits and changes in capital. Si ...

218 S. Muzzioli month) since the week immediately following the expiration date is one of the most active. These options have a ...

The relation between implied and realised volatility 219 3 The methodology The information content of IV is examined both in uni ...

220 S. Muzzioli different information content of call IV and put IV. To this end we test, in augmented regression (4), ifγ =0and ...

The relation between implied and realised volatility 221 in historical volatility. The results are striking and provide strong e ...

222 S. Muzzioli Ta b le 2 .OLS regressions Intercept ln(σc) ln(σp) ln(σh) Ad j R^2 DW χ^2 a χ^2 b Hausman Test − 0. 01 1.05*** 0 ...

The relation between implied and realised volatility 223 IV. This is an interesting result and is a warning against theapriorich ...