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The persistence of firms' knowledge base: a quantile approach to Italian data
Colombelli, Alessandra; Quatraro, Francesco - HAL - 2014
investigated their patterns of persistence over time. The empirical analysis is implemented by exploring the autocorrelation …
Persistent link: https://www.econbiz.de/10010933797
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Testing for Spatial Autocorrelation in a Fixed Effects Panel Data Model
Debarsy, Nicolas; Ertur, Cem - HAL - 2009
spatial autocorrelation in a fixed effectspanel data model. These tests allow discriminating between the two main typesof … spatial autocorrelation which are relevant in empirical applications, namelyendogenous spatial lag versus spatially … spatial autocorrelation whatever its type. Hence, it indicates whetherspecific econometric estimation methods should be …
Persistent link: https://www.econbiz.de/10008789245
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The persistence of firms' knowledge base: A quantile approach to Italian data
Colombelli, Alessandra; Quatraro, Francesco - HAL - 2013
investigated their patterns of persistence over time. The empirical analysis is implemented by exploring the autocorrelation …
Persistent link: https://www.econbiz.de/10011026232
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Credit constraints and the cyclicality of R&D investment: Evidence from France
Aghion, Philippe; Askenazy, Philippe; Berman, Nicolas; … - HAL - 2008
&D investment and productivity growth are more negatively correlated with sales volatility in more credit constrained firms. …
Persistent link: https://www.econbiz.de/10010930234
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Financial Markets Equilibrium with Heterogeneous Agents
Cvitanic, Jaksa; Jouini, Elyès; Malamud, Semyon; Napp, … - HAL - 2012
market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility as well as …
Persistent link: https://www.econbiz.de/10009360288
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Fire Sales Forensics: Measuring Endogenous Risk
Cont, Rama; Wagalath, Lakshithe - HAL - 2012
We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large …
Persistent link: https://www.econbiz.de/10010548433
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Preliminary remarks on option pricing and dynamic hedging
Fliess, Michel; Join, Cédric - HAL - 2012
An elementary arbitrage principle and the existence of trends in financial time series, which is based on a theorem published in 1995 by P. Cartier and Y. Perrin, lead to a new understanding of option pricing and dynamic hedging. Intricate problems related to violent behaviors of the underlying,...
Persistent link: https://www.econbiz.de/10010551681
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The rationality of expectations formation and excess volatility
Davila, Julio - HAL - 2008
with limited memory, then there are rationally formed expectations equilibria exhibiting an excess volatility that no … one from a positive viewpoint, this result suggests that the possibility of excess volatility as an equilibrium phenomenon …
Persistent link: https://www.econbiz.de/10010750627
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A multi-horizon scale for volatility
Subbotin, Alexander - HAL - 2008
We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic …
Persistent link: https://www.econbiz.de/10010750636
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Remittances, financing constraints and growth volatility : Do remittances dampen or magnify shocks ?
Coulibaly, Dramane - HAL - 2009
This paper studies empirically the link between remittances and growth volatility by examining the impact of … of moment (GMM) technique for a sample of 63 countries over the 1980-2004 period. The volatility of terms of trade and … inflation is used to proxy for real and monetary volatility, respectively. The results show that the impact of remittances on …
Persistent link: https://www.econbiz.de/10010738454