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Financial Integration And Domestic Sovereignty In European Stock Markets

Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

European equity markets since the introduction of the euro. We use a multivariate GARCH(1,1)-M return generating model allowing … euro and that sovereign risk represents a non-negligible component -on average 15%- of the excess ex- pected return … required for investing in the euro-zone as well as in a group of European stock markets enlarged to Switzerland and the UK. …

Persistent link: https://www.econbiz.de/10005859116

Strategic Transparency and Informed Trading : Will Capital Market Integration Force Convergence for Corporate Governance?

Perotti, Enrico C.; Thadden, Ernst-Ludwig von - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

Dominant investors can influence the publicly available informa-tion about firms by affecting the cost of information collection. Under strategic competition, transparency results in higher variability of profits and output. Thus lenders prefer less transparency, since this protects firms when...

Persistent link: https://www.econbiz.de/10005859099

A Corporate Balance-Sheet Approach to Currency Crises

Aghion, Philippe; Bacchetta, Philippe; Banerjee, Abhijit - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper presents a general equilibrium currency crisis model of the thirdgeneration, in which the possibility of currency crises is driven by the in-terplay between private ﬁrms credit-constraints and nominal price rigidities.Despite our emphasis on microfoundations, the model remains...

Persistent link: https://www.econbiz.de/10005858997

Pricing Prepayment Option in C&I Loans at Origination

Cossin, Didier; Lu, Hongze - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

This paper presents a pricing model of commercial and industrial (C&I) loan prepayment option. Modeling of prepayment is essential in pricing mortgage contracts since prepayment truncates the timing and amount of expected cash flows. Lenders normally charge a penalty for prepayment, for example...

Persistent link: https://www.econbiz.de/10005858717

Semiparametric Multivariate GARCH Models forVolatility Asymmetries and Dynamic Correlations

Audrino, Francesco; Barone-Adesi, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

parsimonious. Estimation based on Functional Gradient Descent is computationally feasible also in very large dimensions without …

Persistent link: https://www.econbiz.de/10005858366