Relevant bibliographies by topics / Dynamic Financial Market Model

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'Dynamic Financial Market Model'

Author: Grafiati
Published: 3 June 2025
Last updated: 31 July 2025

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Journal articles on the topic "Dynamic Financial Market Model"

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Liu, Yirou. "Positive Affect of Financial Derivatives onThe Stock Market." Advances in Economics, Management and Political Sciences 7, no. 1 (2023): 163–70. http://dx.doi.org/10.54254/2754-1169/7/20230229.

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The derivatives market is widely recognized in financial markets, and it has developed rapidly, but there is little evidence that it contributed to the development of financial and economic markets. This article investigates the dynamic relationship between the Indian derivatives market and the stock market to determine how it affects market pricing. This paper use the DCC-garCH model to examine the dynamics of India from the third quarter of 2018 to 2022, I find that the financial derivatives market is more financially contagious than the equity market. Therefore, I can analyse that the devel
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Bassi, Francesca. "Longitudinal models for dynamic segmentation in financial markets." International Journal of Bank Marketing 35, no. 3 (2017): 431–46. http://dx.doi.org/10.1108/ijbm-05-2016-0068.

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Purpose Dynamic market segmentation is a very important topic in many businesses where it is interesting to gain knowledge on the reference market and on its evolution over time. Various papers in the reference literature are devoted to the topic and different statistical models are proposed. The purpose of this paper is to compare two statistical approaches to model categorical longitudinal data to perform dynamic market segmentation. Design/methodology/approach The latent class Markov model identifies a latent variable whose states represent market segments at an initial point in time, custo
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Miahkyi, Mykhailo. "Dynamic model of currency exchange based on investor behavior." Information, Computing and Intelligent systems, no. 5 (December 26, 2024): 137–49. https://doi.org/10.20535/2786-8729.5.2024.316456.

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In the modern financial environment, cryptocurrencies have gained significant popularity, becoming an important element of the global economy and financial markets. The dynamic development of blockchain technologies and decentralized financial instruments fosters increased interest from both private investors and institutional players. However, the high volatility of cryptocurrencies and the complexity of the mechanisms behind their price formation necessitate a detailed study of these processes. This paper models cryptocurrency exchange operations, analyzing price formation influenced by buyi
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Enow, Samuel Tabot. "Investigating mean reversion in financial markets using Hurst Model." International Journal of Research in Business and Social Science (2147- 4478) 12, no. 6 (2023): 197–201. http://dx.doi.org/10.20525/ijrbs.v12i6.2664.

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In the dynamic world of financial markets, the prices of assets can exhibit dramatic fluctuations, sometimes soaring to dizzying heights or plummeting to alarming lows. However, amidst the chaos, a fascinating phenomenon emerges: a tendency for prices to revert back to their long-term average or mean level. This concept known as mean reversion has intrigued traders, investors, and researchers for decades. Understanding mean reversion provides valuable insights into market dynamics, investor behavior, and the potential for profitable trading strategies. The aim of this study was to empirically
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Chen, Fan. "Deep Neural Network Model Forecasting for Financial and Economic Market." Journal of Mathematics 2022 (March 24, 2022): 1–10. http://dx.doi.org/10.1155/2022/8146555.

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Recently, the Internet financial market has developed rapidly both at home and abroad. Simultaneously, its study has also become the focus of academic circles. The financial markets have higher liquidity and volatility as compared to traditional financial markets. In view of the Internet financial market dynamic (volume and daily trading), it is proposed based on a deep neural network for fusion level time series prediction model. First, the proposed model processes the input of characteristic variables of multiple series (market macrodynamic series and multiseed series) and uses an attention
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Ji, Xiuping, Sujuan Wang, Honggen Xiao, Naipeng Bu, and Xiaonan Lin. "Contagion Effect of Financial Markets in Crisis: An Analysis Based on the DCC–MGARCH Model." Mathematics 10, no. 11 (2022): 1819. http://dx.doi.org/10.3390/math10111819.

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Global crises have created unprecedented challenges for communities and economies across the world, triggering turmoil in global finance and economy. This study adopts the dynamic conditional correlation multiple generalized autoregressive conditional heteroskedasticity (DCC–MGARCH) model to explore contagion effects across financial markets in crisis. The main findings are as follows: (1) the financial crisis and COVID-19 pandemic intensified the connection between the Chinese and US stock markets in the short term; (2) the dynamic conditional correlations (DCCs) during the COVID-19 pandemic
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Ruan, Lei. "Research on Sustainable Development of the Stock Market Based on VIX Index." Sustainability 10, no. 11 (2018): 4113. http://dx.doi.org/10.3390/su10114113.

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The frequent occurrence of financial crises has made the dynamic linkage between international financial markets an important research topic. In the past, scholars mostly studied the correlation between financial markets directly, however ignored the impact of exogenous financial variables on financial markets. The stock market is an important part of the financial market and plays an important role in the overall economy. Information asymmetry is common and has a certain degree of impact on investors’ returns. However, many scholars believe that the problem of information asymmetry in China h
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Liu, Fengshuo. "Risk Management in Derivatives Markets: Integrating Advanced Hedging Strategies with Empirical Analysis." SHS Web of Conferences 188 (2024): 01008. http://dx.doi.org/10.1051/shsconf/202418801008.

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This study provides a comprehensive analysis of hedging strategies in the Chinese 50ETF options market, emphasizing dynamic hedging, Value at Risk (VaR), and machine learning-based approaches. Each strategy is meticulously evaluated against various market conditions, revealing distinct strengths and weaknesses. Dynamic hedging proves cost-effective in stable markets but struggles in high volatility scenarios, limiting its risk reduction capacity. Conversely, the VaR model, while reducing risk effectively under extreme conditions, may lead to over-hedging in calmer markets due to high costs and
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Ding, Yanwen. "The Practicality of Vasicek Model in China’s Financial Market." SHS Web of Conferences 163 (2023): 01016. http://dx.doi.org/10.1051/shsconf/202316301016.

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In the changing financial market, the price of financial products fluctuates continuously over time. The study of the static term structure of the interest rate on the market can no longer satisfy the actual needs, and the dynamic model is imperative. Compared with the static term structure, the dynamic model introduces a stochastic differential term on the basis of the static term structure model of interest rate. This paper shows some relevant models including Vasicek Model, Single-Factor Dynamic Model, Multi-Factor Dynamic Model, and Kalman Filter method. To conclude, in the multi-factor dy
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Škrinjarić, Tihana, and Boško Šego. "Dynamic Portfolio Selection on Croatian Financial Markets: MGARCH Approach." Business Systems Research Journal 7, no. 2 (2016): 78–90. http://dx.doi.org/10.1515/bsrj-2016-0014.

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Abstract Background: Investors on financial markets are interested in finding trading strategies which could enable them to beat the market. They always look for best possibilities to achieve above-average returns and manage risks successfully. MGARCH methodology (Multivariate Generalized Autoregressive Conditional Heteroskedasticity) makes it possible to model changing risks and return dynamics on financial markets on a daily basis. The results could be used in order to enhance portfolio formation and restructuring over time. Objectives: This study utilizes MGARCH methodology on Croatian fina
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Dissertations / Theses on the topic "Dynamic Financial Market Model"

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Stádník, Bohumil. "Model dynamického finančního trhu." Doctoral thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-73090.

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The correct model of a liquid financial market is one of the most important matter for a management of all financial market activities including for example a stock or bond porfolio management or an asset pricing. Clear random walk models, which consider a market price/yield development on liquid financial markets to be a random walk within the meaning of a symmetric normal (gaussian) distribution, is very useful to explain quite accurately many financial market effects. If we study financial markets more closely, we recognize that such development can be partly causal and a clear random walk
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Marques, João Francisco Magro. "Dynamics of financial markets : study of an agent-based model." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/9328.

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Mestrado em Matemática Financeira<br>Nas últimas décadas, o mercado financeiro mundial tem enfrentado vários problemas e colapsos que motivaram anos conturbados para a economia real e para as famílias. Os sistemas dinâmicos apareceram na literatura de matemática financeira para ajudar a compreender melhor as características únicas destes mercados financeiros e a dinâmica do preço ao longo do tempo. Este trabalho consiste principalmente numa aproximação estatística ao sistema dinâmico de modelo de mercado com um ponto de descontinuidade introduzido por Tramontana, Westerhoff e Gardini (2010). U
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Bates, Brandon. "Essays in Financial Economics and Econometrics." Thesis, Harvard University, 2011. http://dissertations.umi.com/gsas.harvard:10419.

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In the first essay, I study the power of predictive regressions in a world of forecastable returns and find it to be quite poor. Using a simple model, I investigate the properties of short- and long-horizon regressions. The mechanisms biasing coefficients in short-horizon regressions differ from those affecting longer horizons. Further, I demonstrate that R\(^2s\) are biased and give an estimable bias correction. A calibration exercise shows sample lengths will be insufficient to determine what predicts asset returns until beyond the year 2100. The problem is not isolated to highly persistent
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Sun, Qi. "Four essays in dynamic macroeconomics." Thesis, St Andrews, 2010. http://hdl.handle.net/10023/941.

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Trönnberg, Filip. "Empirical evaluation of a Markovian model in a limit order market." Thesis, Uppsala universitet, Matematiska institutionen, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-176726.

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A stochastic model for the dynamics of a limit order book is evaluated and tested on empirical data. Arrival of limit, market and cancellation orders are described in terms of a Markovian queuing system with exponentially distributed occurrences. In this model, several key quantities can be analytically calculated, such as the distribution of times between price moves, price volatility and the probability of an upward price move, all conditional on the state of the order book. We show that the exponential distribution poorly fits the occurrences of order book events and further show that littl
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Jottreau, Benoît. "Financial models and price formation : applications to sport betting." Thesis, Paris Est, 2009. http://www.theses.fr/2009PEST1031.

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Cette thèse est composée de quatre chapitres. Le premier chapitre traite de l'évaluation de produits financiers dans un modèle comportant un saut pour l'actif risque. Ce saut représente la faillite de l'entreprise correspondante. On étudie alors l'évaluation des prix d'options par indifférence d'utilité dans un cadre d'utilité exponentielle. Par des techniques de programmation dynamique on montre que le prix d'un Bond est solution d'une équation différentielle et le prix d'options dépendantes de l'actif est solution d'une équation aux dérives partielles d'Hamilton-Jacobi-Bellman. Le saut dans
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Zhitlukhin, Mikhail Valentinovich. "Stochastic dynamics of financial markets." Thesis, University of Manchester, 2014. https://www.research.manchester.ac.uk/portal/en/theses/stochastic-dynamics-of-financial-markets(4eb80d2a-e90a-4ab0-b9e2-ad930c8a4d94).html.

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This thesis provides a study on stochastic models of financial markets related to problems of asset pricing and hedging, optimal portfolio managing and statistical changepoint detection in trends of asset prices. Chapter 1 develops a general model of a system of interconnected stochastic markets associated with a directed acyclic graph. The main result of the chapter provides sufficient conditions of hedgeability of contracts in the model. These conditions are expressed in terms of consistent price systems, which generalise the notion of equivalent martingale measures. Using the general result
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Borsi, Mihály Tamás. "Essays on Empirical Macroeconomics." Doctoral thesis, Universidad de Alicante, 2015. http://hdl.handle.net/10045/51005.

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Jin, Binping. "Dynamics of price cycles in agent-based models of financial markets /." View abstract or full-text, 2009. http://library.ust.hk/cgi/db/thesis.pl?PHYS%202009%20JIN.

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Li, Honghong. "The dynamic model of double auction market." Thesis, University of Bath, 2009. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.518124.

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Most financial markets operate as double auction markets in which buyers and sellers submit limit and market orders. In this case the traders have to decide firstly whether they want to submit a buy or sell order and then secondly what the limit price of this order is. In this thesis I develop further a theoretical model based on Chatterjee and Samuelson (1983) in which two traders trade with each other in a double auction market. Assuming that both traders assign a private value to the asset they are trading, which is known only to them but not their trading partner, I determine whether the t
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Books on the topic "Dynamic Financial Market Model"

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Semmler, Willi. Asset prices, booms and recessions: Financial economics from a dynamic perspective. 3rd ed. Springer, 2011.

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Bhattacharya, Sudipto. Financial intermediation versus stock markets in a dynamic intertemporal model. INSEAD, 1998.

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Aït-Sahalia, Yacine. Dynamic equilibrium and volatility in financial asset markets. National Bureau of Economic Research, 1996.

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Thorsten, Hens, and Schenk-Hoppe Klaus Reiner, eds. Handbook of financial markets: Dynamics and evolution. North Holland, 2009.

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Mishchenko, Aleksandr, and Elena Miheeva. Methods of assessment of efficiency of management of production and financial activity of the enterprise. INFRA-M Academic Publishing LLC., 2019. http://dx.doi.org/10.12737/monography_5d1ae60d82d6d9.87533425.

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The proposed book describes the static and dynamic models of optimization of production and financial activities of the enterprise in the conditions of deterministic source data, and taking into account the uncertainty and risk. In the latter case, when choosing a management decision, not only the amount of expected profit, but also various types of risks, as well as such an indicator as the stability of the selected option of production and economic activity to changes in the market environment, are taken into account.
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Knapp, Keith. A dynamic spatial equilibrium model of the California alfalfa market. Giannini Foundation of Agricultural Economics, University of California, 1990.

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Mizuta, Takanobu, and Isao Yagi. Financial Market Design by an Agent-Based Model. Springer Nature Singapore, 2025. https://doi.org/10.1007/978-981-96-1713-5.

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Kauppi, Olli. A model of imperfect dynamic competition in the Nordic power market. Helsinki School of Economics, 2009.

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Kauppi, Olli. A model of imperfect dynamic competition in the Nordic power market. Helsinki School of Economics, 2009.

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Moore, Tomoe. India's emerging financial market: A flow of funds model. Routledge, 2007.

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Book chapters on the topic "Dynamic Financial Market Model"

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Nagurney, Anna, and Stavros Siokos. "Dynamic Imperfect Market Models." In Financial Networks. Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-642-59066-5_10.

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Cifarelli, Giulio, and Giovanna Paladino. "Oil Futures Market: A Dynamic Model of Hedging and Speculation." In The Interrelationship Between Financial and Energy Markets. Springer Berlin Heidelberg, 2014. http://dx.doi.org/10.1007/978-3-642-55382-0_6.

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Heer, Burkhard, and Andreas Schabert. "Open Market Shocks in a Business Cycle Model with Financial Intermediation." In Market Imperfections and Macroeconomic Dynamics. Springer US, 2002. http://dx.doi.org/10.1007/978-1-4757-3598-7_5.

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de Conti, Bruno, Vladimir Gisin, and Irina Yarygina. "Dynamic Fractal Asset Pricing Model for Financial Risk Evaluation." In Advanced Studies in Emerging Markets Finance. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-69748-8_17.

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Mancino, Maria Elvira, and Simona Sanfelici. "Covariance Estimation and Dynamic Asset-Allocation under Microstructure Effects via Fourier Methodology." In Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures. Palgrave Macmillan UK, 2011. http://dx.doi.org/10.1057/9780230298101_1.

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Kijima, Masaaki, and Yukio Muromachi. "On the Risk Evaluation Method Based on the Market Model." In Nonlinear Economic Dynamics and Financial Modelling. Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-07470-2_15.

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Breslin, John, Les Clewlow, and Chris Strickland. "A Multi-factor Structural Model for Australian Electricity Market Risk." In Nonlinear Economic Dynamics and Financial Modelling. Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-07470-2_19.

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Durante, Daniele. "Analysis of Italian Financial Market via Bayesian Dynamic Covariance Models." In The Contribution of Young Researchers to Bayesian Statistics. Springer International Publishing, 2013. http://dx.doi.org/10.1007/978-3-319-02084-6_33.

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Yousaf, Imran, Manel Youssef, and Mariya Gubareva. "Return and Volatility Spillovers Between Non-fungible Tokens and Conventional Currencies: Evidence from the TVP–VAR Model." In Blockchain, Crypto Assets, and Financial Innovation. Springer Nature Singapore, 2025. https://doi.org/10.1007/978-981-96-6839-7_12.

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Abstract This study investigates the static and dynamic return and volatility spillovers between non-fungible tokens (NFTs) and conventional currencies using the time-varying parameter vector autoregressions approach. We reveal that the total connectedness between these markets is weak, implying that investors may increase the diversification benefits of their multicurrency portfolios by adding NFTs. We also find that NFTs are net transmitters of both return and volatility spillovers; however, in the case of return spillovers, the influence of NFTs on conventional currencies is more pronounced
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Westerhoff, Frank. "A Simple Agent-based Financial Market Model: Direct Interactions and Comparisons of Trading Profits." In Nonlinear Dynamics in Economics, Finance and Social Sciences. Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-04023-8_17.

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Conference papers on the topic "Dynamic Financial Market Model"

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Vidler, Alicia, and Toby Walsh. "Decoding OTC Government Bond Market Liquidity: An ABM Model for Market Dynamics." In 2025 IEEE Symposium on Computational Intelligence for Financial Engineering and Economics (CiFer). IEEE, 2025. https://doi.org/10.1109/cifer64978.2025.10975734.

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Yue, Dazhi. "Dynamic Weighted Multimodal Financial Forecasting Models: Fusion Strategies and Market Validation." In 2025 4th International Conference on Artificial Intelligence, Internet and Digital Economy (ICAID). IEEE, 2025. https://doi.org/10.1109/icaid65275.2025.11034630.

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Bhattacharjee, Biplab, and Bhumika Mathur. "Link strength prediction in global financial networks using optimized BiLSTM models: A case of dynamic cross-market equity networks." In 2024 International Conference on Modeling, Simulation & Intelligent Computing (MoSICom). IEEE, 2024. https://doi.org/10.1109/mosicom63082.2024.10881962.

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Santana, Leonardo O. S. de, Gustavo S. dos Santos, Fernando L. P. Pessoa, and Ana P. Barbosa-P�voa. "The Green Hydrogen Supply Chain in The Brazilian State of Bahia: A Deterministic Approach." In The 35th European Symposium on Computer Aided Process Engineering. PSE Press, 2025. https://doi.org/10.69997/sct.185907.

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Hydrogen is a key element in the global transition toward a low-carbon economy, with green hydrogen offering significant potential to decarbonize industries and energy systems. This study focuses on designing and optimizing a green hydrogen supply chain (HSC) for the state of Bahia, Brazil, using a deterministic Mixed-Integer Linear Programming (MILP) model. The model evaluates 24 scenarios combining production sites, storage technologies, transportation methods, and energy sources, minimizing the Total Sustainable Cost (TSC). The TSC integrates financial and environmental costs, monetizing CO
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Prathibha, Soma, Balaram Puli, Rajesh Daruvuri, Pandian Sundaramoorthy, Saiganesh V, and Balaji M. "Financial Market Forecasting and Fraud Detection Using AGLT Ensemble Model." In 2025 International Conference on Computing and Communication Technologies (ICCCT). IEEE, 2025. https://doi.org/10.1109/iccct63501.2025.11019631.

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Yang, Zhenhua, Muyao Zhong, and Peng Yang. "Evolutionary Dynamic Optimization-Based Calibration Framework for Agent-Based Financial Market Simulators." In 2024 IEEE Congress on Evolutionary Computation (CEC). IEEE, 2024. http://dx.doi.org/10.1109/cec60901.2024.10612133.

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Kotyukov, Alexander, and Natal'ya Pavlova. "Equilibrium in Allen Type Dynamic Market Model." In 2024 17th International Conference on Management of Large-Scale System Development (MLSD). IEEE, 2024. http://dx.doi.org/10.1109/mlsd61779.2024.10739483.

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Chai, Yixian, Yanli Xu, and Dan Liu. "Risk Management Research of Financial Market based on Dynamic Copula Model." In 2nd International Conference On Systems Engineering and Modeling. Atlantis Press, 2013. http://dx.doi.org/10.2991/icsem.2013.79.

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Yu, Tongkui, and Honggang Li. "Traders' Behavioral Propensities and Stock Market Dynamic Regimes in a Stochastic Multi-agent Model." In 2009 International Conference on Information and Financial Engineering, ICIFE. IEEE, 2009. http://dx.doi.org/10.1109/icife.2009.29.

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Chen, Xue, and Xuejun Jin. "Detecting the macroeconomic factors in Chinese stock market returns: A generalized dynamic factor model approach." In 2010 2nd IEEE International Conference on Information and Financial Engineering (ICIFE). IEEE, 2010. http://dx.doi.org/10.1109/icife.2010.5609278.

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Reports on the topic "Dynamic Financial Market Model"

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Melo-Velandia, Luis Fernando, José Vicente Romero, and Diego Niño-Garavito. Analyzing Exchange Rate Dynamics within the Global Financial Cycle: A DCC-Copula approach. Banco de la República, 2025. https://doi.org/10.32468/be.1320.

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The Global Financial Cycle (GFC), defined as the fluctuations in international capital flows, asset prices, and risk appetite, has garnered significant attention from the recent international finance literature, market practitioners, and policymakers. This study employs a Dynamic Conditional Correlation (DCC) Copula model to examine the interaction between exchange rates for a group of seven developed economies and seventeen emerging market economies. Using these results and employing quantile panel data methods, we assess how the time-varying correlations of exchange rates behave in relation
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Cavalcanti, Tiago, Joseph P. Kaboski, Bruno Martins, and Cezar Santos. Financing Costs and Development. Inter-American Development Bank, 2023. http://dx.doi.org/10.18235/0005227.

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Most aggregate theories of financial frictions model credit available at a cost of financing equal to the savings rate but rationed. However, using a comprehensive firm-level credit registry, we document both high levels and high dispersion in ex post credit spreads to Brazilian firms. We develop a quantitative dynamic general equilibrium model in which dispersion in spreads arises from intermediation costs and market power. Calibrating to the Brazilian data, we show that, for equivalent levels of external financing, spreads have profound impacts on aggregate development indeed moreso than cre
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Fernández Martín, Andrés, and Juan David Herreño. Equilibrium Unemployment During Financial Crises. Inter-American Development Bank, 2013. http://dx.doi.org/10.18235/0011449.

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Financial crises in both emerging and developed economies have been characterized by large output drops and spikes in unemployment and interest rates. To account for these stylized facts this paper builds a business cycle model where financial and la- bor market frictions interact as occasionally binding borrowing constraints and search frictions. The model is calibrated to a Sudden Stop-prone emerging economy and also to some peripheral European economies in the recent crisis. The model accounts for unemployment dynamics both during crises and at regular business cycle frequencies. The paper
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Finkelstein-Shapiro, Alan, and Andrés González Gómez. Macroprudential Policy and Labor Market Dynamics in Latin America. Inter-American Development Bank, 2015. http://dx.doi.org/10.18235/0011688.

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This paper builds a small open economy business cycle model with labor and financial market frictions that incorporates frictional, endogenous self-employment entry and a link between formal credit markets, informal credit, and the labor market. The paper then shows that the model is consistent with the cyclical behavior of both labor and credit markets in Latin American economies and analyzes the aggregate consequences of cyclical macroprudential policy for labor market and aggregate dynamics. It is found that a policy that reduces credit fluctuations successfully reduces consumption, investm
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Fernández Martín, Andrés, and Adam Gulan. Interest Rates and Business Cycles in Emerging Economies: The Role of Financial Frictions. Inter-American Development Bank, 2012. http://dx.doi.org/10.18235/0011424.

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Countercyclical country interest rates have been shown to be both a distinctive characteristic and an important driving force of business cycles in emerging market economies. In order to account for this, most business cycle models of emerging market economies have relied on ad hoc and exogenous countercyclical interest rate processes. This paper embeds a financial contract à la Bernanke et al. (1999) in a standard small open economy business cycle model that endogenously delivers countercyclical interest rates. The model is then applied to the data, drawn from a novel panel dataset for emergi
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Соловйов, В. М., В. В. Соловйова та Д. М. Чабаненко. Динаміка параметрів α-стійкого процесу Леві для розподілів прибутковостей фінансових часових рядів. ФО-П Ткачук О. В., 2014. http://dx.doi.org/10.31812/0564/1336.

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Modem market economy of any country cannot successfully behave without the existence of the effective financial market. In the conditions of growing financial market, it is necessary to use modern risk-management methods, which take non-gaussian distributions into consideration. It is known, that financial and economic time series return’s distributions demonstrate so-called «heavy tails», which interrupts the modeling o f these processes with classical statistical methods. One o f the models, that is able to describe processes with «heavy tails», are the а -stable Levi processes. They can sli
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7

Gandelman, Néstor, Flavia Roldán, and Sofía Viera. The Impact of Multi-acquiring in the Payment System: Evidence from Uruguayan Financial Inclusion Program. Inter-American Development Bank, 2025. https://doi.org/10.18235/0013400.

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This paper examines the transition from exclusive card network-acquirer relationships to a multi-acquiring model. Using the case of Uruguay's adoption of multi-acquiring in 2022, as part of a broader financial inclusion program, we document significant market dynamics, including restructured relationships among incumbents and new market entrants. Our analysis, leveraging the Herfindahl-Hirschman Index, reveals decreased market concentration across all payment segments. While fee reductions were initially driven by a government-sponsored price agreement, the increased competition fostered by mu
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8

Finkelstein-Shapiro, Alan, Federico S. Mandelman, and Victoria Nuguer. Fintech Entry, Firm Financial Inclusion, and Macroeconomic Dynamics in Emerging Economies. Inter-American Development Bank, 2022. http://dx.doi.org/10.18235/0003918.

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Financial inclusion is strikingly low in emerging economies. In only a few years, financial technologies (fintech) have led to a dramatic expansion in the number of non-traditional credit intermediaries, but the macroeconomic and credit-market implications of this rapid growth of fintech are not known. We build a model with a traditional banking system and endogenous fintech intermediary creation and find that greater fintech entry delivers positive long-term effects on aggregate output and consumption. However, greater entry bolsters aggregate firm financial inclusion only if it stems from lo
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Melo-Velandia, Luis Fernando, José Vicente Romero, and Mahicol Stiben Ramírez-González. The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach. Banco de la República, 2023. http://dx.doi.org/10.32468/be.1231.

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In this paper,we analyze the tail-dependence structure of credit default swaps (CDS) and the global financial cycle for a group of eleven emerging markets. Using a Copula-CoVaR model,we provide evidence that there is a significant taildependence between variables related with the global financial cycle, such as the VIX, and emerging market CDS. These results are particularly important in the context of distressed global financial markets (right tail of the distributions of the VIX) because they provide international investors with relevant information on how to rebalance their portfolios and a
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Otrok, Christopher, Huigang Chen, Alessandro Rebucci, Gianluca Benigno, and Eric R. Young. Optimal Policy for Macro-Financial Stability. Inter-American Development Bank, 2012. http://dx.doi.org/10.18235/0011440.

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This paper studies whether policymakers should wait to intervene until a financial crisis strikes or rather act in a preemptive manner. This question is examined in a relatively simple dynamic stochastic general equilibrium model in which crises are endogenous events induced by the presence of an occasionally binding borrowing constraint as in Mendoza (2010). First, the paper shows that the same set of taxes that replicates the constrained social planner allocation could be used optimally by a Ramsey planner to achieve the first best unconstrained equilibrium: in both cases without any precaut
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