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Price adjustment to news with uncertain precision

Hautsch, Nikolaus (contributor); Hess, Dieter (contributor); … - 2008

Bayesian learning provides a core concept of information processing in financial markets. Typically it is assumed that …. Therefore, we extend standard Bayesian learning allowing traders to infer news' precision from two different sources. If … learning ; information quality ; precision signals ; macroeconomic announcements …

Persistent link: https://www.econbiz.de/10003693046

A brand specific investigation of international cost shock threats on price and margin with a manufacturer-wholesaler-retailer model

Dannewald, Till; Hildebrandt, Lutz - 2008

In times of increasing oil prices and a weak dollar, European companies that focus their business on the US market may find themselves in a weak position. While many businesses can hedge this kind of risk by relocating production to the US, or employing financial remedies, these strategies may...

Persistent link: https://www.econbiz.de/10003796133

I'll do it by myself as I knew it all along' : on the failure of hindsight-biased principals to delegate optimally

Danz, David; Hüber, Frank; Kübler, Dorothea; … - 2013

prediction is tested experimentally. In an online experiment that was conducted during the FIFA World Cup 2010 participants were …

Persistent link: https://www.econbiz.de/10009693418

Preference for randomization : empirical and experimental evidence

Dwenger, Nadja; Kübler, Dorothea; Weizsäcker, Georg - 2013

We investigate violations of consequentialism in the form of the stochastic dominance property. The property is shared by many theories of choice and implies that the decision-maker prefers receiving the best outcome for sure over all lotteries that involve multiple outcomes. We run experiments...

Persistent link: https://www.econbiz.de/10009681824

Cheap talk in the classroom

Mechtenberg, Lydia (contributor) - 2006

In this paper, I offer a theoretical explanation of the robust gender differences in educational achievement distributions of school children. I consider a shot cheap talk game with two different types of senders (biased teachers and fair teachers), two types of receivers ("normal" and "special"...

Persistent link: https://www.econbiz.de/10003324339

Yield curve factors, term structure volatility, and bond risk premia

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term struc- ture and are associated with the time-varying...

Persistent link: https://www.econbiz.de/10003770770

Nonlinear modeling of target leverage with latent determinant variables : new evidence on the trade-off theory

Sabiwalsky, Ralf (contributor) - 2008

The trade-off theory on capital structure is tested by modelling the capital structure target as the solution to a … determinants. In contrast, the framework applied here allows for a direct test: results confirm the trade-off theory for small and … medium-sized firms, but not for large firms. -- Capital structure ; nonlinear ; latent variables ; trade-off theory …

Persistent link: https://www.econbiz.de/10003770815

Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

Persistent link: https://www.econbiz.de/10003770817

Structural dynamic conditional correlation

Weber, Enzo - 2008

In the literature of identifcation through autoregressive conditional heteroscedasticity, Weber (2008) developed the structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous influences between several variables, this model considers interaction in the...

Persistent link: https://www.econbiz.de/10003796131

Localized realized volatility modelling

Chen, Ying; Härdle, Wolfgang; Pigorsch, Uta - 2009

With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...

Persistent link: https://www.econbiz.de/10003796151