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Towards a general theory of bond markets
Björk, Tomas; DiMasi, Giovanni; Kabanov, Jurij M.; … - 1996
Persistent link: https://www.econbiz.de/10000955624
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Bond markets where prices are driven by a general marked point process
Björk, Tomas; Kabanov, Jurij M.; Runggaldier, Wolfgang J. - 1995
Persistent link: https://www.econbiz.de/10000928616
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General quadratic term structures of bond, futures and forward prices
Gaspar, Raquel M. (contributor) - 2004 - [Elektronische Ressource]
the existence of these general quadratic term structures for bond, futures and forward prices. As forward prices are … martingales under the T-forward measure, their term structure equation depends on properties of bond prices' term structure. We … exploit the connection with the bond prices term structure and show that even in quadratic short rate settings we can have …
Persistent link: https://www.econbiz.de/10001991041
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The valuation of corporate liabilities : theory and tests
Ericsson, Jan (contributor); Reneby, Joel (contributor) - 2001 - [Elektronische Ressource], First version: February 2001, Rev. January 7, 2003
We develop a structural bond pricing approach and implement it on a large panel of US industrial bonds using an … form models. Furthermore, our analysis provide evidence that bond yield spreads incorporate a substantial liquidity … spreads ; default ; structural bond pricing models …
Persistent link: https://www.econbiz.de/10001600071
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Is momentum due to data-snooping?
Ericsson, Johan (contributor);  … - 2003 - [Elektronische Ressource]
This paper explores the profitability of portfolio-based momentum strategies. The data consists of all NYSE, AMEX, and NASDAQ stocks on the CRSP database. The analysis considers the period July 1963 to December 2002 and the tests are performed on portfolios formed on industry, size and...
Persistent link: https://www.econbiz.de/10001883186
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Gain, loss, and asset pricing : it is much easier ; a note
Rodríguez Longarela, Iñaki (contributor) - 2000 - [Elektronische Ressource], Rev. October 18, 2000
Bernardo and Ledoit (2000) develop a very appealing framework to compute pricing bounds based on the so-called gain-loss ratio. Their method has many advantages and very interesting properties and so far one important drawback: the complexity of the numerical computation of the pricing bounds....
Persistent link: https://www.econbiz.de/10001600011
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Financial innovation, market participation and asset prices
Calvet, Laurent E. (contributor);  … - 2001 - [Elektronische Ressource], This draft: August 2011
This paper proposes that the introduction of non-redundant assets can endogenously modify trader participation in financial markets, which can lead to a lower market premium and a higher interest rate. We demonstrate this mechanism in a tractable exchange economy with endogenous participation....
Persistent link: https://www.econbiz.de/10001611814
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A new non-linear GARCH model
Hagerud, Gustaf E. - 1997
Persistent link: https://www.econbiz.de/10000958392
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Monetary policy and bond option pricing in an analytical RBC model
Söderlind, Paul (contributor) - 2001 - [Elektronische Ressource], Rev. January 3, 2003
This paper analyzes how bond option prices are affected by different types of monetary policy. Analytical results from … a general equilibrium model with sticky wages show that employment or output targeting typically give lower bond option …
Persistent link: https://www.econbiz.de/10001600072
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Building neural network models for time series : a statistical approach
Medeiros, Marcelo C. (contributor);  … - 2002 - [Elektronische Ressource]
This paper is concerned with modelling time series by single hidden-layer feedforward neural network models. A coherent modelling strategy based on statistical inference is presented. Variable selection is carried out using existing techniques. The problem of selecting the number of hidden units...
Persistent link: https://www.econbiz.de/10001693108