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Constrained indirect inference estimation

Calzorali, Giorgio; Fiorentini, Gabriele; Sentana, Enrique - London School of Economics (LSE) - 2001

) through MA(1), and stochastic volatility through GARCH with Gaussian or t distributed errors. …

Persistent link: https://www.econbiz.de/10010745065

Dreze, Jean; Lanjouw, Peter; Sharma, Naresh - London School of Economics (LSE) - 1997

This paper presents a case study of credit transactions in Palanpur, a north Indian village. Drawing on detailed informtion from all borrowers and lenders in the village, we examine a number of issues related to the functioning of rural credit markets. These include the segmentation of the...

Persistent link: https://www.econbiz.de/10010928701

Does foreign environmental policy influence domestic innovation? Evidence from the wind industry

Dechezlepretre, Antoine; Glachant, Matthieu - London School of Economics (LSE) - 2011

This paper examines the relative influence of domestic and foreign renewable energy policies on innovation activity in wind power using patent data from OECD countries from 1994 to 2005. We distinguish between the impact of demand-pull policies (e.g., guaranteed tariffs, investment and...

Persistent link: https://www.econbiz.de/10010745607

Ethanol production, food and forests

Andrade de Sa, Saraly; Palmer, Charles; Engel, Stefanie - London School of Economics (LSE) - 2010

This paper investigates the direct and indirect impacts of ethanol production on land use, deforestation and food production. A partial equilibrium model of a national economy with two sectors and two regions, one of which includes a residual forest, is developed. It analyses how an exogenous...

Persistent link: https://www.econbiz.de/10010746560

Fluctuations in uncertainty

Bloom, Nicholas - London School of Economics (LSE) - 2013

This review article tries to answer four questions: (i) what are the stylized facts about uncertainty over time; (ii) why does uncertainty vary; (iii) do fluctuations in uncertainty matter; and (iv) did higher uncertainty worsen the Great Recession of 2007-2009? On the first question both macro...

Persistent link: https://www.econbiz.de/10011126328

Loan securitisation: default term structure and asset pricing based on loss prioritisation

Jobst, Andreas A. - London School of Economics (LSE) - 2002

Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial … generated from a portfolio of bank loans in the form of tranches with different seniority. By way of modelling Merton-type risk …-neutral asset returns of contingent claims on a multi-asset portfolio of corporate loans in a CLO transaction, we analyse the …

Persistent link: https://www.econbiz.de/10010745131

Revisited multi-moment approximate option pricing models: a general comparison (Part 1)

Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002

expansion to price options when the risk-neutral density is asymmetric and leptokurtic. Amongst them, one can distinguish the … these models the analytical expressions of implied probability densities, implied volatility smile functions and several … hedging parameters of interest. …

Persistent link: https://www.econbiz.de/10010745304

Option hedging for small investors under liquidity costs

Soner, H. Mete; Cetin, Umut; Touzi, Nizar - London School of Economics (LSE) - 2010

the presence of liquidity costs under additional restrictions on the gamma of the hedging strategies in a generalized …

Persistent link: https://www.econbiz.de/10010745343

Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia

Vedolin, Andrea - London School of Economics (LSE) - 2012

-monotonic equilibrium link between stock returns and volatility which allows for positive or negative risk premia. Calibrating the economy … evidence of individual volatility risk premia for stock excess returns and corporate credit spreads. …Volatility risk premia compensate agents for holding assets whose payoffs correlate with times of high return variation …

Persistent link: https://www.econbiz.de/10010745732

Are there Monday effects in stock returns: a stochastic dominance approach

Cho, Young-Hyun; Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2006

We provide a test of the Monday effect in daily stock index returns. Unlike previous studies we define the Monday …

Persistent link: https://www.econbiz.de/10010746600

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