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Bellalah, Mondher; El Farissi, Inass - Université Paris-Dauphine

This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several … analysis extends the models in Bellalah (1999, 2001) for the valuation of real options within information uncertainty. We … present valuation models and simulations for the values of common real options in the presence of shadow costs of incomplete …

Persistent link: https://www.econbiz.de/10008532470

The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates

Fornari, Fabio; Monticelli, Carlo; Pericoli, Marcello; … - Banca d'Italia - 1999

This paper analyzes the impact of news on several Italian financial variables, paying particular attention to the effect on the conditional volatility of these variables. The analysis spans a period of great financial and political turbulence in Italy, including the rapid succession of three...

Persistent link: https://www.econbiz.de/10005770784

Cash-in-the-Market Pricing in a Model with Money and Over-the-Counter Financial Markets

Mattesini, Fabrizio; Nosal, Ed - Federal Reserve Bank of Chicago - 2011

Entrepreneurs need cash to finance their real investments. Since cash is costly to hold, entrepreneurs will underinvest. If entrepreneurs can access financial markets prior to learning about an investment opportunity, they can sell some of their less liquid assets for cash and, as a result,...

Persistent link: https://www.econbiz.de/10010735677

Simulated nonparametric estimation of dynamic models with applications to finance

Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2005

This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes appropriate distances between nonparametric joint (or conditional) densities estimated from sample data and nonparametric joint (or conditional)...

Persistent link: https://www.econbiz.de/10010745257

Ambiguity and the historical equity premium

Mukerji, Sujoy; Sheppard, Kevin; Collard, Fabrice; … - Department of Economics, Oxford University - 2011

This paper assesses the quantitative impact of ambiguity on the historically observed financial asset returns and prices. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...

Persistent link: https://www.econbiz.de/10009018961