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A Strategic R&D Investment with Flexible Development Time in Real Option Game Analysis

Villani, Giovanni - CESifo - 2009

, to value the flexibility time to realize the development phase, we consider the American-Exchange type options. …

Persistent link: https://www.econbiz.de/10005013067

Time-Varying Spot and Futures Oil Price Dynamics

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - CESifo - 2010

We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost … evidence that futures markets play a more important role than spot markets in the case of contracts with shorter maturities … contracts. The implications of these results for hedging and forecasting crude oil spot prices are also discussed. …

Persistent link: https://www.econbiz.de/10008534005

The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis

Gronwald, Marc; Ketterer, Janina; Trück, Stefan - CESifo - 2011

allowance (EUA) futures returns and those of other commodities, equity and energy indices. The analysis yields important …

Persistent link: https://www.econbiz.de/10008914281

Do Firms Sell Forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas

Eijkel, Remco van; Gonzalez, José Luis Moraga - CESifo - 2010

empirical strategy to test whether oligopolistic firms use forward contracts for strategic motives, for risk-hedging, or for … both. An increase in the number of players weakens the incentives to sell forward for risk-hedging reasons. However, if …

Persistent link: https://www.econbiz.de/10008799744

Extracting Leading Indicators of Bank Fragility from Market Prices – Estonia Focus

Chen, Yu-Fu; Funke, Michael; Männasoo, Kadri - CESifo - 2006

Banking reform has proved to be one of the most problematic elements of economic transition in central and Eastern Europe. Therefore the paper considers the development of the Estonian banking sector and derives individual banks´ fragility scores during transition. To this end we use...

Persistent link: https://www.econbiz.de/10005766008

On Creditor Seniority and Sovereign Bond Prices in Europe

Steinkamp, Sven; Westermann, Frank - CESifo - 2012

The recent increase of interest rate spreads in Europe and their apparent detachment from underlying fundamental variables has generated a debate on multiple equilibria in the sovereign bond market (see De Grauwe and Ji (2012)). We critically evaluate this hypothesis, by pointing towards an...

Persistent link: https://www.econbiz.de/10010877653

Asset Pricing with Uncertain Betas: A Long-Term Perspective

Gollier, Christian - CESifo - 2013

How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...

Persistent link: https://www.econbiz.de/10010877682

Testing Uncovered Interest Rate Parity Using LIBOR

Omer, Muhammad; Haan, Jakob de; Scholtens, Bert - CESifo - 2012

We test Uncovered Interest Parity (UIP) using LIBOR interest rates for a wide range of maturities. In contrast to other markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm, Smeekes, and Urbain (2010) and cointegration...

Persistent link: https://www.econbiz.de/10010552442

The Weekly Structure of US Stock Prices

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2010

In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...

Persistent link: https://www.econbiz.de/10008727291

Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes

Gollier, Christian - CESifo - 2012

Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...

Persistent link: https://www.econbiz.de/10010603851