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The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework
Altay, Erdinc - EconWPA - 2003
This paper uses factor analytic techniques for deriving factor realizations from a group of main economic indicators of both the German and the Turkish economy in order to test the effect of economic factors on asset returns in an APT framework. The factor structure of the German economy yields...
Persistent link: https://www.econbiz.de/10005076970
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An Empirical Comparison of Default Swap Pricing Models
Houweling, Patrick; Vorst, Ton - EconWPA - 2001
In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap premiums. We find that the model works well for...
Persistent link: https://www.econbiz.de/10005413092
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The Geometry of Payoff Spaces
Hendrickx, Marcel - EconWPA - 2002
We show how payoff spaces can be used to study minimum-variance unbiased estimators and give a proof of Barankin's theorem for finite sample spaces and for samples of size one.
Persistent link: https://www.econbiz.de/10005561688
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Value Creation and Profit Optimization
Winther, K. Tobias - EconWPA - 2002
, the risk to the customer and the relative market power between buyer and seller. The paper explains how this can be …
Persistent link: https://www.econbiz.de/10005561773
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Gains and losses: the same or different choices? A “non-ideal” economics approach.
Harin, Alexander - EconWPA - 2005
Ideal economics? A “non-ideal” economics approach has been proposed, which considers the possibility of arrangement infringements. It gives promises for both solving fundamental problems of economic theory and creation of new directions and fields of research. The approach application in...
Persistent link: https://www.econbiz.de/10005124942
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Arrangement Infringement Possibility Approach: Some Economic Features of Large-Scale Events
Harin, Alexander - EconWPA - 2004
The definition of arrangement infringement has been given. Several characteristics of hurricanes as large-scale events and objectives for the first stages of insurance data analysis have been sketched out. Scale hypotheses, insurance and investment problems have been formulated.
Persistent link: https://www.econbiz.de/10005124993
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A Rational Irrational Man
Harin, Alexander - EconWPA - 2005
paradox, risk aversion and other well-known fundamental problems. For a long time, this opinion was a barrier to proper …
Persistent link: https://www.econbiz.de/10005560978
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Intertemporally non-separable monetary-asset risk adjustment and aggregation
Barnett, William A.; Wu, Shu - EconWPA - 2004
aggregation. The extension of that literature to risk with intertemporally non-separable preferences now has become available in a …
Persistent link: https://www.econbiz.de/10005412580
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On User Costs of Risky Monetary Assets
Barnett, William A.; Wu, Shu - EconWPA - 2004
We extend the monetary-asset user-cost risk adjustment of Barnett, Liu, and Jensen (1997) and their risk … generate potentially larger and more accurate CCAPM user-cost risk adjustments than those found in Barnett, Liu, and Jensen … (1997). We show that the risk adjustment to a monetary asset’s user cost can be measured easily by its beta. We show that …
Persistent link: https://www.econbiz.de/10005412796
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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 … empirical analysis for Danish fire losses for the years 1980-90 is conducted and the best fitting of the risk process to the data …
Persistent link: https://www.econbiz.de/10005124987