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Influence of News in Moscow and New York on Returns and Risks on Baltic State Stock Indices

Brännäs, Kurt; Soultanaeva, Albina - Institutionen för Nationalekonomi, Umeå Universitet - 2006

The impact of news of the Moscow and New York stock market exchanges on the returns and volatilities of the Baltic state stock market indices is studied using daily return data for the period of 2000-2005. A nonlinear time series model that accounts for asymmetries in the conditional mean and...

Persistent link: https://www.econbiz.de/10005424050

Tender Evaluation and Award Methodologies in Public Procurement

Bergman, Mats; Lundberg, Sofia - Institutionen för Nationalekonomi, Umeå Universitet - 2011

The EU procurement directives stipulate that public contracts are awarded to the lowest bidder or to the bidder with the economically most advantageous offer; the latter requiring that a scoring rule must be specified. We provide a simple theoretical framework for tender evaluation and discuss...

Persistent link: https://www.econbiz.de/10008876401

Do Combinatorial Procurement Auctions Lower Cost? - An Empirical Analysis of Public Procurement of Multiple Contracts

Lunander, Anders; Lundberg, Sofia - Institutionen för Nationalekonomi, Umeå Universitet - 2011

procurer’s cost as explained by auction format is found. …

Persistent link: https://www.econbiz.de/10009003676

It’s All in the Interval - An imperfect measurements approach to estimate bidders’ costs in descending first price sealed bid auctions

Sundström, David - Institutionen för Nationalekonomi, Umeå Universitet - 2014

A novel method to measure bidders’ costs in descending first price sealed bid auctions is introduced. The novelty is based on two intuitively appealing economic assumptions on which bidders’ costs are given an imperfect measurements interpretation. Theory provides no guidance as to the shape...

Persistent link: https://www.econbiz.de/10010961529

TENDERING DESIGN WHEN PRICE AND QUALITY IS UNCERTAIN - Theory and Evidence from public procurement

Bergman, Mats A.; Lundberg, Sofia - Institutionen för Nationalekonomi, Umeå Universitet - 2014

Departing from a simple normative theory for the choice between lowest price, highest quality (beauty contest) and more complex scoring rules, we empirically investigate the behavior of local and central authorities. We survey a gross sample of 40 contracting entities about perceived key...

Persistent link: https://www.econbiz.de/10010945099

Auctioned and Re-auctioned Children in 19th Century Sweden

Bergman, Mats; Lundberg, Sofia - Institutionen för Nationalekonomi, Umeå Universitet - 1998

During the 19th century, poor and orphan Swedish children were boarded out. The foster-parents' compensation was determined in English auctions. Some children were re-auctioned. We use historical data from such auctions to study whether informational asymmetry and possibly adverse selection...

Persistent link: https://www.econbiz.de/10005197992

Do Combinatorial Procurement Auctions Lower Cost? - An Empirical Analysis of Public Procurement of Multiple Contracts

Lunander, Anders; Lundberg, Sofia - Institutionen för Nationalekonomi, Umeå Universitet - 2009

-price procurement auctions. Further, the analysis does not show significant differences in the procurer’s cost by type of auction. …

Persistent link: https://www.econbiz.de/10005042214

The Number of Traded Shares: A Time Series Modelling Approach

Brännäs, Kurt - Institutionen för Nationalekonomi, Umeå Universitet - 2013

This short paper proposes a characterization for the number of traded shares or trading volume in terms of its data generating process. Share ownership plays a vital role. An empirical illustration based on the Nokia stock is included. Long memory in trading volume is linked to the long memory...

Persistent link: https://www.econbiz.de/10010659469

On the role of the estimation error in prediction of expected shortfall

Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2012

In the estimation of risk measures such as Value at Risk and Expected shortfall relatively short estimation windows are … typically used rendering the estimation error a possibly non-negligible component. In this paper we build upon previous results … for the Value at Risk and discuss how the estimation error comes into play for the Expected Shortfall. We identify two …

Persistent link: https://www.econbiz.de/10010564003

Asymmetry with respect to the memory in stock market volatilities

Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2012

The empirically most relevant stylized facts when it comes to modeling time varying financial volatility are the asymmetric response to return shocks and the long memory property. Up till now, these have largely been modeled in isolation though. To more flexibly capture asymmetry also with...

Persistent link: https://www.econbiz.de/10010575949