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Investible benchmarks & hedge fund liquidity

Freed, Marc S; McMillan, Ben - Volkswirtschaftliche Fakultät, … - 2011

skill returns that may actually accrue from market risk factors and illiquidity. Recent innovations in hedge fund …

Persistent link: https://www.econbiz.de/10009226946

Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis

Rose, Andrew K; Spiegel, Mark - C.E.P.R. Discussion Papers - 2011

, suggesting global dollar illiquidity. In response, the Federal Reserve partnered with other central banks to inject dollars into … greater illiquidity difficulties. We examine these predictions for observed cross-sectional changes in CDS spreads, using a … transparency or illiquidity. However, several of the important announcements concerning the international swap programs …

Persistent link: https://www.econbiz.de/10009293988

A Theory of Slow-Moving Capital and Contagion

Acharya, Viral V; Shin, Hyun Song; Yorulmazer, Tanju - C.E.P.R. Discussion Papers - 2009

Fire sales that occur during crises beg the question of why sufficient outside capital does not move in quickly to take advantage of fire sales, or in other words, why outside capital is so slow-moving. We propose an answer to this puzzle in the context of an equilibrium model of capital...

Persistent link: https://www.econbiz.de/10004980209

Gordon and Newell queueing networks and copulas

Ciuiu, Daniel - Volkswirtschaftliche Fakultät, … - 2007

In this paper we have found an analytical formula for a copula that connects the numbers Ni of customers in the nodes of a Gordon and Newell queueing network. We have considered two cases: the first one is the case of the network with 2 nodes, and the second one is the case of the network with...

Persistent link: https://www.econbiz.de/10005037753

Stochastic frontier models

Wang, Hung-Jen - Volkswirtschaftliche Fakultät, … - 2006

The stochastic frontier model was first proposed in the context of production function estimation to account for the effect of technical inefficiency. The inefficiency causes actual output to fall below the potential level (that is, the production frontier) and also raises production cost above...

Persistent link: https://www.econbiz.de/10009025317

Can Analysts Predict Rallies Better Than Crashes?

Medovikov, Ivan - Volkswirtschaftliche Fakultät, … - 2014

We use the copula approach to study the structure of dependence between sell-side analysts' consensus recommendations and subsequent security returns, with a focus on asymmetric tail dependence. We match monthly vintages of I/B/E/S recommendations for the period January to December 2011 with...

Persistent link: https://www.econbiz.de/10011108056

Estimation in semiparametric models with missing data

Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2012

This paper considers the problem of parameter estimation in a general class of semiparametric models when observations are subject to missingness at random. The semiparametric models allow for estimating functions that are non-smooth with respect to the parameter. We propose a nonparametric...

Persistent link: https://www.econbiz.de/10011109911

Spillover Effect in the MENA Area: Case of Four Financial Markets

El Alaoui, Marwane; Benbachir, Saâd - Volkswirtschaftliche Fakultät, … - 2012

liberalize the movement flowing of their capitals. As the linear correlation is unable to capture nonlinear relation between …

Persistent link: https://www.econbiz.de/10011110477

Modeling the time-varying skewness via decomposition for out-of-sample forecast

Liu, Xiaochun - Volkswirtschaftliche Fakultät, … - 2011

This paper models time-varying skewness for financial return dynamics. We decompose nancial returns into the product of the absolute returns and signs, so-called the intriguing decomposition. The joint distribution between the decomposed components is modeled through a copula function with...

Persistent link: https://www.econbiz.de/10011114130

Inflating Away the Public Debt? An Empirical Assessment

Hilscher, Jens; Raviv, Alon; Reis, Ricardo - C.E.P.R. Discussion Papers - 2014

We propose and implement a method that provides quantitative estimates of the extent to which higher-than-expected inflation can lower the real value of outstanding government debt. Looking forward, we derive a formula for the debt burden that relies on detailed information about debt maturity...

Persistent link: https://www.econbiz.de/10011084372

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