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Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening

Cao, Charles; Ghysels, Eric; Hatheway, Frank - Centre Interuniversitaire de Recherche en Analyse des … - 1998

One fundamental issue in the study of market microstructures is that of price discovery. While most existing studies focus on the trading period, little is known whether and how much the non-trading period contributes to the price discovery. This paper offers a new perspective on the price...

Persistent link: https://www.econbiz.de/10005100613

The Valuation of Volatility Options

Detemple, Jérôme B.; Osakwe, Carlton - Centre Interuniversitaire de Recherche en Analyse des … - 1999

volatility are found to display concavity at high levels of volatility. Cet article examine l'évaluation des options sur … de diffusion. Des formules d'évaluation explicites sont ensuite dérivées dans quatre cas particuliers. Nous étudions en …

Persistent link: https://www.econbiz.de/10005100856

Analytic Evaluation of Volatility Forecasts

Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002

The development of estimation and forecasting procedures using empirically realistic continuous-time stochastic volatility models is severely hampered by the lack of closed-form expressions for the transition densities of the observed returns. In response to this, Andersen, Bollerslev, Diebold...

Persistent link: https://www.econbiz.de/10005100878

The Importance of the Loss Function in Option Valuation

Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2003

. First, for any given model, the loss function used in parameter estimation and model evaluation should be the same … utilisée pour l'estimation et l'évaluation des modèles de valorisation des options? Plusieurs fonctions ont été suggérées, mais … utilisée dans l'estimation des paramètres et dans l'évaluation du modèle devrait être la même, sinon on obtient des estimations …

Persistent link: https://www.econbiz.de/10005100937

Using Innovation Surveys for Econometric Analysis

Mairesse, Jacques; Mohnen, Pierre - Centre Interuniversitaire de Recherche en Analyse des … - 2010

After presenting the history, the evolution and the content of innovation surveys, we discuss the characteristics of the data they contain and the challenge they pose to the analyst and the econometrician. We document the two uses that have been made of these data: the construction of...

Persistent link: https://www.econbiz.de/10008552854

Redesigning Teams and Incentives in a Merger: An Experiment with Managers and Students

Montmarquette, Claude; Rullière, Jean-Louis; Villeval, … - Centre Interuniversitaire de Recherche en Analyse des … - 2003

After a merger, company officials face the challenge of making compensation schemes uniform and of redesigning teams with managers from companies with different incentives, work habits and recruiting methods. In this paper, we investigate the relationship between executive pay and performance...

Persistent link: https://www.econbiz.de/10005100880

Redesigning Teams and Incentives: A Real Effort Experiment with Managers of a Merged Company

Montmarquette, Claude; Rullière, Jean-Louis; Villeval, … - Centre Interuniversitaire de Recherche en Analyse des … - 2002

After a merger, company officials face the challenge of making compensation schemes uniform and of redesigning teams with managers originating from companies with different incentives and working habits. In this paper, we offer a new way to investigate the relationship between executive pay and...

Persistent link: https://www.econbiz.de/10005101013

Individual Survival Curves Comparing Subjective and Observed Mortality Risk

Bissonnette, Luc; Hurd, Michael; Michaud, Pierre-Carl - Centre Interuniversitaire de Recherche en Analyse des … - 2015

In this paper, we compare individual survival curves constructed from objective (actual mortality) and elicited subjective information (probability of survival to a given target age). We develop a methodology to estimate jointly subjective and objective individualsurvival curves accounting for...

Persistent link: https://www.econbiz.de/10011185607

Multivariate Option Pricing With Time Varying Volatility and Correlations

Rombouts, Jeroen; Stentoft, Lars Peter - Centre Interuniversitaire de Recherche en Analyse des … - 2010

importante et que, si cet aspect est négligé, l'évaluation du prix des options est alors erronée. Enfin, nous démontrons qu …'en faisant peu de cas des caractéristiques non gaussiennes des données, l'évaluation du prix des options comporte des écarts …

Persistent link: https://www.econbiz.de/10008506122

What Data Should Be Used to Price Options?

Chernov, Mikhail; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 1998

is not supported by the data. Nous présentons une procédure générique pour l'estimation et l'évaluation de modèles d …

Persistent link: https://www.econbiz.de/10005100549