financial-econometrics

I've been modelling the relationship between government debt auction calendars and implied volatility surfaces in emerging market contexts — specifically whether φ (sovereign refinancing pressure) and λ (liquidity stress) create predictable, calendar-driven dislocations that standard models like Heston and Bates don't capture. The intuition: retail-dominated EM options markets systematically unde…

Abstract This paper discusses how the Belt and Road Initiative (BRI) affect logistics infrastructure and supply chain performance in China and some of the Gulf Cooperation Council (GCC) countries, and specifically how the quality of governance moderate these effects. The analysis utilizes a balanced panel dataset between 1996 and 2023 that employs a fixed effect panel regression model, which comp…

This study aims to analyze the effect of the Coretax System and tax awareness on MSME taxpayer compliance in Pekanbaru, with tax sanctions as a moderating variable. This research uses a quantitative approach with a survey method. The sample consists of 200 MSME respondents registered at KPP Pratama Pekanbaru Senapelan who have implemented the Coretax System. Data analysis was conducted using mult…

Abstract The paper re-examines the principle of the bird-in-hand under the dynamic situation in the emerging spots market in Pakistan. Our sample consisted of 100 KSE—100 companies dating 2009–2024. The abnormal returns are separated out using an event study model and a rolling window version of the CAPM, and we have constructed a new Dividend Announcement Factor (DAF) to capture systematic varia…

Heterodox economics differs from orthodox or mainstream economics. It draws on a multiplicity of ideas, disciplines, methods and voices to present a more radical alternative to the dominant paradigm of neoclassical economics, which is viewed as overly narrow and blind-sided to how economies actually work. Andrew Trigg traces the heterodox tradition from its origins in the anti-capitalism ideas of…

Abstract Technology, finance, and energy are the key drivers to sustained growth and enhanced living standards in economies. This research adopts a framework that is built around the innovation-driven growth, finance-led growth, and energy-leg growth hypotheses to capture the various financial and technological mechanisms, and energy resources that drives economic growth. Therefore, the analysis …

Abstract This study examines the factors influencing gold prices within a comprehensive framework encompassing macroeconomic, financial, real, and geopolitical factors. By utilizing the Autoregressive Distributed Lag (ARDL) model and the Unrestricted Error Correction Model (UECM), the analysis captures both short-term dynamics and long-term equilibrium relationships. Robustness of the findings is…

Using the following Python code I am setting USD LIBOR Swap quotes. I found that by default settlementdays uses whatever is associated with the Index (in C++: if (settlementDays_==Null<Natural>()) settlementDays_ = iborIndex->fixingDays(); ). If I wanted to explicitly set settlementDays = 0 , how can I do that? I tried just use settlementDays = 0 , but the code does not seem to like named argumen…

I was able to obtain some tick data on a particular asset and I wanted to calculate the daily realized variance of the asset. After browsing through a few threads here, it seems the formula to calculate daily realized variance is simply (assuming you have constant time intervals): Where R^2 is the squared log returns from the constant time interval t , with a total of m time intervals during the …

Abstract Cities have very different sizes and form an urban system that is hierarchical in nature. In this chapter, we study the basic frameworks that aim to explain this urban hierarchy. We study the formation of cities where workers are free to choose where to live and work. Self-organization leads to cities that do not maximize the well-being of its inhabitants. When land developers or local g…

Abstract This chapter explains how China has adopted an instrumentalist approach to the global economy and technology. Xi sees economic strength, derived mainly from technological innovation, as the foundation of China’s comprehensive national strength. Xi wishes to use China’s technological innovation and strength to overtake the West, woo the Global South, and establish global pre-eminence. Whi…