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their agri-food products from a wider range of suppliers), while geographical concentration increases at the intensive … food alerts at the EU border that had never been exploited before. After coding it into HS8 categories, we regress the … incidence of food alerts by product on determinants including exporter dummies as well as HS8 product dummies. Coefficients on …
Persistent link: https://www.econbiz.de/10010899732
&D investment and productivity growth are more negatively correlated with sales volatility in more credit constrained firms. …
Persistent link: https://www.econbiz.de/10010930234
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
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
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
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
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
Systematic and multifactor risk models are revisited via methods which were already successfully developed in signal processing and in automatic control. The results, which bypass the usual criticisms on those risk modeling, are illustrated by several successful computer experiments.
Persistent link: https://www.econbiz.de/10010898688
unequivocally clear picture of the trade impacts of changes in exchange rates. The impact of exchange rate volatility on trade also … their volatility on trade flows in China, the Euro area and the United States in two broadly defined sectors, agriculture on … the one hand and manufacturing and mining on the other. It finds that exchange volatility impacts trade flows only …
Persistent link: https://www.econbiz.de/10010899210
The aim of this article is to use probabilistic ideas to study predictive reasoning based on hypotheses and models, but without using Ito calculus, without writing any stochastic differential equations, in fact without writing any formulas at all. The aim is to extract from the study of...
Persistent link: https://www.econbiz.de/10010899270