7 papers
Valuation Measure of the Stock Market using Stochastic Volatility and Stock Earnings
Andrey Sarantsev, Angel Piotrowski, Ian Anderson
We create a time series model for annual returns of three asset classes: the USA Standard & Poor (S&P) stock index, the international stock index, and the USA Bank of America inves…
Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index
Abraham Atsiwo, Andrey Sarantsev
The Capital Asset Pricing Model (CAPM) relates a well-diversified stock portfolio to a benchmark portfolio, usually taken to be the S\&P 500. We insert size effect in the CAPM, cap…
Zero-Coupon Treasury Rates and Returns using the Volatility Index
Jihyun Park, Andrey Sarantsev
We study a multivariate autoregressive stochastic volatility model for the first 3 principal components (level, slope, curvature) of 10 series of zero-coupon Treasury bond rates wi…
Log Heston Model for Monthly Average VIX
Jihyun Park, Andrey Sarantsev
We model time series of VIX (monthly average) and monthly stock index returns. We use log-Heston model: logarithm of VIX is modeled as an autoregression of order 1. Our main insigh…
New Time Series Models for Corporate Bond Log Yields
Jihyun Park, Andrey Sarantsev
We propose a class of simple time series models for rates and spreads of portfolios of corporate bonds classified by ratings provided by Bank of America. We evaluate these models b…
A Stock Market Model Based on CAPM and Market Size
Andrey Sarantsev, Blessing Ofori-Atta, Brandon Flores
We introduce a new system of stochastic differential equations which models dependence of market beta and unsystematic risk upon size, measured by market capitalization. We fit our…
A New Stock Market Valuation Measure with Applications to Retirement Planning
Andrey Sarantsev
We generalize the classic Shiller cyclically adjusted price-earnings ratio (CAPE) used for prediction of future total returns of the stock market. We treat earnings growth as exoge…