References of "Cosma, Antonio 50001388"
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See detailA nonparametric ACD model
Cosma, Antonio UL; Galli, Fausto

in Chevalier, Julien; Goutte, Stephane; Guerreiro, David (Eds.) et al Financial Mathematics, Volatility and Covariance Modelling (2019)

We propose a fully nonparametric approach to the analysis of the Autocorrelated Conditional Duration (ACD) process applied to durations between financial events. We use a recursive algorithm to estimate ... [more ▼]

We propose a fully nonparametric approach to the analysis of the Autocorrelated Conditional Duration (ACD) process applied to durations between financial events. We use a recursive algorithm to estimate the nonparametric specification. In a Monte Carlo experiment, we analyse its forecasting performance and compare it with a correctly and a mis-specified parametric estimator. On a real dataset, the nonparametric estimator seems to mildly overperform in terms of predictive power. The nonparametric analysis can also provide guidance on the choice between alternative parametric specifications. In particular, once intraday seasonality is directly modelled in the conditional duration function, the nonparametric approach provides insights into the time-varying nature of the dynamics in the model that the standard procedures of deseasonalization may lead one to overlook. [less ▲]

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See detailInference in Conditional Moment Restriction Models When there is Selection Due to Stratification
Cosma, Antonio UL; Kostyrka, André UL; Tripathi, Gautam UL

in Huynh, Kim P.; Jacho-Chávez, David T.; Tripathi, Gautam (Eds.) The Econometrics of Complex Survey Data (2019)

We show how to use a smoothed empirical likelihood approach to conduct efficient semiparametric inference in models characterized as conditional moment equalities when data is collected by variable ... [more ▼]

We show how to use a smoothed empirical likelihood approach to conduct efficient semiparametric inference in models characterized as conditional moment equalities when data is collected by variable probability sampling. Results from a simulation experiment suggest that the smoothed empirical likelihood based estimator can estimate the model parameters very well in small to moderately sized stratified samples. [less ▲]

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See detailEarly exercise decision in american options with dividends, stochastic volatility, and jumps
Cosma, Antonio UL; Galluccio, Stefano; Pederzoli, Paola et al

in Journal of Financial and Quantitative Analysis (2019), 0(0), 1-26

Using a fast numerical technique, we investigate a large database of investors' suboptimal nonexercise of short-maturity American call options on dividend-paying stocks listed on the Dow Jones. The ... [more ▼]

Using a fast numerical technique, we investigate a large database of investors' suboptimal nonexercise of short-maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modeling of the discrete dividend is essential for a correct calculation of the early exercise boundary, as confirmed by theoretical insights. Pricing with stochastic volatility and jumps instead of the Black--Scholes--Merton benchmark cuts the amount lost by investors through suboptimal exercise by one-quarter. The remaining three-quarters are largely unexplained by transaction fees and may be interpreted as an opportunity cost for the investors to monitor optimal exercise. [less ▲]

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See detailValuing American options using fast recursive projections
Cosma, Antonio UL; Galluccio, Stefano; Pederzoli, Paola et al

Scientific Conference (2016, December)

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See detailValuing American options using fast recursive projections
Cosma, Antonio UL; Galluccio, Stefano; Pederzoli, Paola et al

Scientific Conference (2016, July)

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See detailIndirect inference for nonlinear panel data
Cosma, Antonio UL; Galli, Fausto

Scientific Conference (2016, June)

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See detailValuing American options using fast recursive projections
Cosma, Antonio UL; Galluccio, Stefano; Pederzoli, Paola et al

Scientific Conference (2016, May)

Detailed reference viewed: 38 (2 UL)
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See detailValuing American options using fast recursive projections
Cosma, Antonio UL; Galluccio, Stefano; Pederzoli, Paola et al

E-print/Working paper (2015)

We introduce a fast and widely applicable numerical pricing method that uses recursive projections. We characterize its convergence speed. We find that the early exercise boundary of an American call ... [more ▼]

We introduce a fast and widely applicable numerical pricing method that uses recursive projections. We characterize its convergence speed. We find that the early exercise boundary of an American call option on a discrete dividend paying stock is higher under the Merton and Heston models than under the Black-Scholes model, as opposed to the continuous dividend case. A large database of call options on stocks with quarterly dividends shows that adding stochastic volatility and jumps to the Black-Scholes benchmark reduces the amount foregone by call holders failing to optimally exercise by 25%. Transaction fees cannot fully explain the suboptimal behavior. [less ▲]

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See detailValuing American options using fast recursive projections
Cosma, Antonio UL; Galluccio, Stefano; Pederzoli, Paola et al

Scientific Conference (2014, April)

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See detailAlgorithmes et marchés d'options
Cosma, Antonio UL

Article for general public (2014)

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See detailValuing American options using fast recursive projections
Cosma, Antonio UL

Scientific Conference (2013, July 16)

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See detailThe Dark side of global integration: increasing tail dependance
Cosma, Antonio UL; Beine, Michel UL; Vermeulen, Robert John Gerard UL

in Journal of Banking and Finance (2010), 34(1), 184-192

We measure stock market coexceedances using the methodology of Cappiello, Gerard and Manganelli <br />(2005, ECB Working Paper 501). This method enables us to measure comovement at each point of the <br ... [more ▼]

We measure stock market coexceedances using the methodology of Cappiello, Gerard and Manganelli <br />(2005, ECB Working Paper 501). This method enables us to measure comovement at each point of the <br />return distribution. First, we construct annual coexceedance probabilities for both lower and upper tail <br />return quantiles using daily data from 1974–2006. Next, we explain these probabilities in a panel gravity <br />model framework. Results show that macroeconomic variables asymmetrically impact stock market <br />comovement across the return distribution. Financial liberalization significantly increases left tail comovement, <br />whereas trade integration significantly increases comovement across all quantiles. Decreasing <br />exchange rate volatility results in increasing lower tail comovement. The introduction of the euro <br />increases comovement across the entire return distribution, thereby significantly reducing the benefits <br />of portfolio diversification within the euro area. [less ▲]

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See detailMultivariate Wavelet-Based Shape Preserving Estimation for Dependent Observations
Cosma, Antonio UL; Scaillet, Olivier; Von Sachs, Rainer

in Bernoulli (2007), 13(2), 301-329

We present a new approach on shape preserving estimation of probability distribution and density functions using wavelet methodology for multivariate dependent data. Our estimators preserve shape ... [more ▼]

We present a new approach on shape preserving estimation of probability distribution and density functions using wavelet methodology for multivariate dependent data. Our estimators preserve shape constraints such as monotonicity, positivity and integration to one, and allow for low spatial regularity of the underlying functions. As important application, we discuss conditional quantile estimation for financial time series data. We show that our methodology can be easily implemented with B-splines, and performs well in a finite sample situation, through Monte Carlo simulations. [less ▲]

Detailed reference viewed: 63 (5 UL)