Conventional VAR (Value at Risk) estimation includes historical simulation, variance/covariance, and the Monte Carlo simulation method. This study is the first to present a hybrid method of estimating VAR, combining ARMA and Neural Network. Empirical results demonstrate that the hybrid method obtained superior results to the conventional method in estimating VAR. In terms of accuracy, both the ...

Valuation has an externality: it creates information on which adverse selection can occur. We study a market in which investors (or lenders) buy uncertain future cash flows that are ex ante identical but ex post heterogeneous across assets from sellers (or borrowers) with reservation values. There exists a limited amount of a costly technology that can be purchased before the market opens that ...

In this paper, we provide an analytic valuation method for European-type contingent claims with multiple underlying assets under a stochastic market environment. We employ a twostate Markov regime-switching volatility in order to reflect the stochastically-changing market environment. The method is developed by exploiting the probability densities of the occupation times for which the underlyin...

The paper develops the idea of valuation capital market regulations efficiency. The performance and efficiency measurement idea is very widely spread in the private sector. However efficiency concept in a public sector is rather new approach and still underdeveloped. The goal of this paper is to reveal the possibilities to measure the efficiency of a public sector performance by applying some d...

This paper examines the financial benefits of IT outsourcing of 335 firms between the years 1990 and 2003. We find IT outsourcing to affect both ex ante (announcement day stock market returns) and ex post measures of firm performance (return on sales, return on assets, growth rate, selling, general, and administrative expenses and market valuation). Using a transaction cost economics frame, we ...