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Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications

Junker, Markus; Szimayer, Alexander; Wagner, Niklas - EconWPA - 2004

risk management implications. The analysis is based on a Kalman filter estimation of a two-factor affine model which … fitting copula model coincides with zero lower tail dependence. This asymmetry has substantial risk management implications …

Persistent link: https://www.econbiz.de/10005556362

Surprise Volume and Heteroskedasticity in Equity Market Returns

Wagner, Niklas; Marsh, Terry A. - EconWPA - 2004

reveals a significant positive market risk premium, asymmetry, and a surprise volume effect in conditional variance. The …

Persistent link: https://www.econbiz.de/10005556382

A Statistical Analysis of Intraday Liquidity, Returns and Volatility of an Individual Stock from the Istanbul Stock Exchange

Ekinci, Cumhur - EconWPA - 2003

This paper seeks whether the intraday patterns observed in most stock markets hold for an individual stock from the Istanbul Stock Exchange where the trading ceases for two hours during lunchtime. It investigates the most treated topics in market finance like liquidity, returns and volatility...

Persistent link: https://www.econbiz.de/10005561617

Return-Volume Dependence and Extremes in International Equity Markets

Marsh, Terry A.; Wagner, Niklas - EconWPA - 2004

previous work by proposing surprise volume as a new proxy for private information flow and apply extreme value theory in … that surprise volume is superior in explaining conditional variance and reveals a positive market risk premium. Under …

Persistent link: https://www.econbiz.de/10005134862

Irreversible investment under interest rate variability: new results

Alvarez, Luis H.R.; Koskela, Erkki - EconWPA - 2004

The current literature on irreversible investment decisions usually makes the assumption of a constant interest rate. We study the impact of interest rate and revenue variability on the decision to carry out an irreversible investment project. Given the generality of the valuation problem...

Persistent link: https://www.econbiz.de/10005407823

Practical guide to real options in discrete time II

Boyarchenko, Svetlana; Levendorskii, Sergei - EconWPA - 2005

This paper is an extended version of the paper 'Practical Guide to Real Options in Discrete Time' (http://econwpa.wustl.edu:80/eps/fin/papers/0405/0405016.pdf), where a general, computationally simple approach to real options in discrete time was suggested. We explicitly formulate conditions of...

Persistent link: https://www.econbiz.de/10005413111

Basel II's New Standardized Approach: Possible Effects of Implementation

Wyatt, Katherine - EconWPA - 2003

7% in required capital for credit risk, but adding the proposed operational risk charge could bring the total capital … across institutions in the study: the change in minimum capital required for credit risk ranges from a decrease of 23% to an … increase of 6%. The Basic Indicator charge for operational risk ranges from 5% of minimum regulatory capital for one savings …

Persistent link: https://www.econbiz.de/10005413198

Depreciation Rates in a Transition Economy: Evidence from Czech Panel Data

Lizal, Lubomir - EconWPA - 2001

highly influenced by seasonal effects which could operate as a measurement error and therefore distort estimates which are … sensitive to measurement error. …

Persistent link: https://www.econbiz.de/10005413248

Aggregate investment dynamics when firms face fixed investment cost and capital market imperfections

Bayer, Christian - EconWPA - 2004

This paper analyzes a model of investment with fixed investment costs and capital market imperfections. In this model finance influences the level of capital firms hold, as well as the frequency at which they invest. In consequence investment reacts nonlinearly with respect to shocks to...

Persistent link: https://www.econbiz.de/10005076705

Royalty rates, sub licensing considerations and joint ventures.

Malki, Elli - EconWPA - 1997

Technology transfer agreements between universities and industrial companies usually involve royalties, sublicensing considerations and allocation of equity. This article extends the analysis of my previous one ("The Economic Sense of Royalty Rates", ewp-fin/970903)to deal with sublicensing...

Persistent link: https://www.econbiz.de/10005076945