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Search and Endogenous Concentration of Liquidity in Asset Markets
dvayanos - Econometric Society - 2004
In this paper, we develop a search-based model of asset trading. We assume that investors differ in their horizons, and can invest in two identical assets. The asset markets are partially segmented: investors can search in only one market, but can decide which one. We show that there exist a...
Persistent link: https://www.econbiz.de/10005329007
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Search and Endogenous Concentration of Liquidity in Asset Markets
Vayanos, Dmitrios - Econometric Society - 2004
In this paper, we develop a search-based model of asset trading. We assume that investors differ in their horizons, and can invest in two identical assets. The asset markets are partially segmented: investors can search in only one market, but can decide which one. We show that there exist a...
Persistent link: https://www.econbiz.de/10005063610
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On Leverage in a Stochastic Volatility Model
Yu, Jun - Econometric Society - 2004
This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and...
Persistent link: https://www.econbiz.de/10005063753
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On Leverage in a Stochastic Volatility Model
Yu, Jun - School of Economics, Singapore Management University - 2004
This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications coexist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and the...
Persistent link: https://www.econbiz.de/10005091188
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On leverage in a stochastic volatility model
Yu, Jun - Econometric Society - 2004
This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and...
Persistent link: https://www.econbiz.de/10005702757
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Welfare Properties of Network Bypass
Martin, Richard - Econometric Society - 2004
cases of bypass in the distribution of natural gas, and compare the welfare properties of regulation vs.\ the `laissez … is costly, but it reduces market power and increases the variety of goods available to consumers. Regulation is an … network. Both marginal and average cost price regulation are considered …
Persistent link: https://www.econbiz.de/10005702578