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We examine the performance of six estimators of the power-law cross-correlations -- the detrended cross-correlation analysis, the detrending moving-average cross-correlation analysis, the height cross-correlation analysis, the averaged periodogram estimator, the cross-periodogram estimator and the local cross-Whittle estimator -- under heavy-tailed distributions. The selection of estimators allows to separate these into the time and frequency domain estimators. By varying the characteristic exponent of the $\alpha$-stable distributions which controls the tails behavior, we report several interesting findings. First, the frequency domain estimators are practically unaffected by heavy tails bias-wise. Second, the time domain estimators are upward biased for heavy tails but they have lower estimator variance than the other group for short series. Third, specific estimators are more appropriate depending on distributional properties and length of the analyzed series. In addition, we provide a discussion of implications of these results for empirical applications as well as theoretical explanations.

The paper contains a short review of techniques examining regional wealth inequalities based on recently published research work but is also presenting unpublished features.

Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to their tractability and good econometric properties. In this work we consider HMMs in continuous time with both constant and switching volatility. In the continuous-time model with switching volatility the underlying Markov chain could be observed due to this stochastic volatility, and no estimation (filtering) of it is needed (in theory), while in the discretized model or the model with constant volatility one has to filter for the underlying Markov chain. The motivations for continuous-time models are explicit computations in finance. To have a realistic model with unobservable Markov chain in continuous time and good econometric properties we introduce a regime-switching model where the volatility depends on the filter for the underlying chain and state the filtering equations. We prove an approximation result for a fixed information filtration and further motivate the model by considering social learning arguments. We analyze its relation to the switching volatility model and present a convergence result for the discretized model. We then illustrate its econometric properties by considering numerical simulations.

The Securities and Futures Commission (SFC) today published its Quarterly Report summarising key developments from October to December 2015.

CHAIN-FINANCE, a provider of news, research & workshops on blockchain technologies for global financial services, today announced the debut of its first Blockchain-Finance Workshop in London on March 16, 2016. Speakers from Credits, Ethereum, Nxt, UBS, and the Stephen Lawrence Scholars will contribute to the agenda.

Ladies and Gentlemen,

Updated: 18/02/2016

Broadridge Financial Solutions, Inc. (NYSE:BR) today announced that it has enhanced its corporate governance solution offering in Europe by taking a minority stake and entering into an exclusive distribution and marketing alliance with AMA Partners, B.V. (AMA).

PERG economists are developing a macroeconometric model to track the evolution of the US economy over the medium term, which is 3-5 years:

The Tokyo Commodity Exchange, Inc. will update Gold options contract specifications in conjunction with the launch of the new trading system scheduled on September 20. To maintain consistent contract specifications, the Exchange will suspend listing new contracts of which trading period will continue beyond the new system launch date.

The European Securities and Markets Authority (ESMA) has published translations of its standard form for the disclosure of home Member State by issuers under the Transparency Directive (TD).

The Mercado Alternativo de Renta Fija (MARF) has registered a Subordinated Bond issue by insurance company CASER to the value of €168.8 million.

The review will consider whether particular CCA provisions remain appropriate or should be modified, updated, or replaced by FCA rules or guidance in order to maintain the right degree of consumer protection for today’s market.

The European Securities and Markets Authority (ESMA) has been informed that its identity and logo have been used in communications targeting company employees in order to request the transfer of company money.

Investments and free flow of capital are essential for Europe's growth. However, the EU's capital markets are still underdeveloped and fragmented. Therefore, the European Commission adopted an Action plan on "Capital Markets Union" in 2015 aiming to create a true single market for capitals in Europe. The EESC calls for Europe to better mobilise capital and channel it to companies, infrastructures and sustainable projects that will create jobs and growth.

On the occasion of its second public event in Brussels, the Swiss Finance Council (SFC) presents its new Discussion Paper entitled ‘The EU and its Partners: Attracting International Investors’.

As Man GLG passes its second decade, Hedge Fund Journal visited its London HQ https://t.co/uSFvP8UX0C â moneyscience (@moneyscience) February 18, 2016

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via@Celent_Research: Blockchain on the brain https://t.co/fyAmT0jeb2 â moneyscience (@moneyscience) February 18, 2016

As part of the BISTECH “Trasformation with Technology Program”, Borsa Ä°stanbul switched to single session operations on November 30, 2015. According to the latest announcement from Borsa Ä°stanbul; new midday single price session will take place between 13:00 – 14:00 which was previously 12:30 – 13:30.

With this revision morning part of the session will end at 13:00 instead of 12:30 and afternon part of the session will start at 14:00 instead of 13:30.

The new arrangement will be in effect starting Monday, March 28, the first day of the summer daylight saving time for 2016.

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