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ABOURA, Sofiane - EconWPA - 2004

of the volatility skew. We get severe mispricing for deep out- of-the-money and short term call options, which tend to … regime in the implied volatility surface judging from the transformation observed from smiles to skews. …

Persistent link: https://www.econbiz.de/10005561655

An Estimated, New Keynesian Policy Model for Australia

Melecky, Martin; Buncic, Daniel - EconWPA - 2005

A two-block open economy model is estimated in this paper using Australian and U.S. data. Evaluation of the estimated model is carried out in relation to a simple closed economy alternative. Namely, we inspect the implied transmission mechanisms, and examine the relative out-of-sample...

Persistent link: https://www.econbiz.de/10005125001

The Price Puzzle and Indeterminacy

Castelnuovo, Efrem; Surico, Paolo - EconWPA - 2005

structural VARs and two different identification strategies based on zero restrictions and sign restrictions, we find that the … positive response of price to a monetary policy shock is historically limited to the sub-samples associated with a weak central … VARs are capable of reproducing the price puzzle on artificial data only when monetary policy is passive and hence multiple …

Persistent link: https://www.econbiz.de/10005126381

AN OPERATIONAL APPROACH FOR EVALUATING INVESTMENT RISK: AN APPLICATION TO THE NO-TILL TRANSITION

Upadhyay, Bharat M.; Young, Douglas L. - EconWPA - 2004

Roy’s safety-first rule is used to provide measures popular with farmers of short and long term business risk associated with various no-till transition strategies over an investment horizon. The short run rule provided more sensitivity to inter-year financial risk than other commonly used...

Persistent link: https://www.econbiz.de/10005407764

Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison

Gutierrez, Luciano - EconWPA - 2003

This paper deals with the finite sample performance of a set of unit root tests for cross correlated panels. As is well known, univariate tests are not powerful to reject the null of a unit root for the usual economic variables while panel tests, by exploiting the large number of cross-section...

Persistent link: https://www.econbiz.de/10005407993

Simulation-Based Pricing of Convertible Bonds

Ammann, Manuel; Kind, Axel; Wilde, Christian - EconWPA - 2005

We propose and empirically study a pricing model for convertible bonds based on Monte Carlo simulation. The method uses parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the proposed Monte Carlo approach allows us to better...

Persistent link: https://www.econbiz.de/10005413169

Risk Analysis in Investment Appraisal

Savvides, Savvakis C. - EconWPA - 2004

This paper was prepared for the purpose of presenting the methodology and uses of the Monte Carlo simulation technique as applied in the evaluation of investment projects to analyse and assess risk. The first part of the paper highlights the importance of risk analysis in investment appraisal....

Persistent link: https://www.econbiz.de/10005561672

A Nonparametric Way of Distribution Testing

Kilic, Ekrem - EconWPA - 2005

Testing the distribution of a random sample can be considered ,indeed, as a goodness-of-fit problem. If we use the nonparametric density estimation of the sample as a consistent estimate of exact distribution, the problem reduces, more specifically, to the distance of two functions. This paper...

Persistent link: https://www.econbiz.de/10005119063

Modeling the risk process in the XploRe computing environment

Burnecki, Krzysztof; Weron, Rafal - EconWPA - 2005

A user friendly approach to modeling the risk process is presented. It utilizes the insurance library of the XploRe computing environment which is accompanied by on-line, hyperlinked and freely downloadable from the web manuals and e-books. The empirical analysis for Danish ﬁre losses for the...

Persistent link: https://www.econbiz.de/10005124987

Do Chinese stock markets share common information arrival processes?

Kostov, Philip; Wu, Ziping; McErlean, Seamus - EconWPA - 2004

According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a …) volatility and trading volume changes in different financial markets. An implication is that returns volatility in one stock … market should show positive and contemporaneous correlation with returns volatility in another stock market. This paper tests …

Persistent link: https://www.econbiz.de/10005407887