Showing 1 - 10 of 17
the stochastic correlation. Thanks to its flexibility, this model enables a better fit of market data than the Heston …
Persistent link: https://www.econbiz.de/10008793719
Within the wide literature regarding franchising, a few studies were devoted to the adverse selection phenomena in the franchise relationships, and to the signaling explanation of the franchisors' organizational choices. Previous empirical works concluded that the signaling framework is not well...
Persistent link: https://www.econbiz.de/10010575208
he purpose of this paper is to explore the relationship between the use of ICT, the accumulation of e-skills and innovation capacities of teachers. A Web questionnaire was designed in order to examine the e-skills and the daily practices of vocational high-school teachers in Tunisia. The results...
Persistent link: https://www.econbiz.de/10010736420
Estimation methods of bivariate fractional cointegration models are numerous. In most cases they have non-equivalent asymptotic and finite sample properties, implying diffculties in determining an optimal estimation strategy. In this paper, we address this issue by means of simulations and...
Persistent link: https://www.econbiz.de/10010933833
Increasing concerns about environmental and social impacts have made multicriteria analysis (MCA) increasingly popular in decision making processes. The present paper proposes a new methodology which allows taking into account multicriteria aspects, stakeholder's preferences and long time...
Persistent link: https://www.econbiz.de/10010821438
This paper adresses the general issue of estimating the sensitivity of the expectation of a random variable with respect to a parameter characterizing its evolution. In finance for example, the sensitivities of the price of a contingent claim are called the Greeks. A new way of estimating the...
Persistent link: https://www.econbiz.de/10008790983
This paper focuses on uncertainties in traffic forecasting. Three major sources of uncertainties are observed for freight demand models. The first one is the model specification itself. We are not interested by it. The second one concerns uncertainties over forecasting hypotheses. A mean to...
Persistent link: https://www.econbiz.de/10008792030
This article focuses on the monitoring of a supply chain dedicated to the mass production of strongly diversified products. In particular we are interested in the part of this chain that contributes to the production of a set of alternative modules assembled on a work station of one or several...
Persistent link: https://www.econbiz.de/10010899826
We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset returns in a multi-asset setting. Our results enable to quantify the impact of fire sales on the covariance structure of asset returns and provide a quantitative explanation for...
Persistent link: https://www.econbiz.de/10010548433
small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric cross-correlation …
Persistent link: https://www.econbiz.de/10010618170