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Risk sharing and firm size : theory and international evidence

Giannetti, Mariassunta (contributor) - 2001 - [Elektronische Ressource], Rev. November 6, 2001

efficiency of the financial system, measured by the level of monitoring costs, affects the extent of risk sharing within an … projects is concentrated in few individuals and firm shocks are idiosyncratic, the risk premium is likely to rise with the … amount of funds firms demand. As a consequence, keeping constant the level of opacity and risk, firms with better growth …

Persistent link: https://www.econbiz.de/10001622437

The market impact of short-sale constraints

Nilsson, Roland - 2005

Persistent link: https://www.econbiz.de/10002993690

Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 18, 2005

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the...

Persistent link: https://www.econbiz.de/10002577852

A smooth permanent surge process

González, Andrés (contributor) - 2004 - [Elektronische Ressource]

In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...

Persistent link: https://www.econbiz.de/10002465176

A numerical analysis of the evolutionary stability of learning rules

Josephson, Jens (contributor) - 2001 - [Elektronische Ressource]

In this paper I define an evolutionary stability criterion for learning rules. Using Monte Carlo simulations, I then apply this criterion to a class of learning rules that can be represented by Camerer and Ho's (1999) model of learning. This class contains perturbed versions of reinforcement and...

Persistent link: https://www.econbiz.de/10001622441

A method to generate multivariate data with moments arbitrary close to the desired moments

Lyhagen, Johan (contributor) - 2001 - [Elektronische Ressource]

We show how it is possible to generate multivariate data which have moments arbitrary close to the desired ones. They are generated as linear combinations of variables with known theoretical moments. It is shown how to derive the weights of the linear combinations in both the univariate and the...