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Assessing the costs of protection in a context of switching stochastic regimes
Barrieu, Pauline; Bellamy, Nadine; Sahut, Jean-Michel - London School of Economics (LSE) - 2012
make advance provision, or hedge, for these costs at time 0. We evaluate the amount of provision, or the hedging premium …
Persistent link: https://www.econbiz.de/10010745247
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Likelihood-based estimation of latent generalised ARCH structures
Fiorentini, Gabriele; Sentana, Enrique; Shephard, Neil - London School of Economics (LSE) - 2003
GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no exact likelihood analysis of these models has been provided so far. In this paper we outline the issues and suggest a Markov chain Monte Carlo algorithm which allows the calculation...
Persistent link: https://www.econbiz.de/10010884643
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A GARCH model of the implied volatility of the Swiss Market Index from options prices
Linton, Oliver; Sabbatini, Michael - London School of Economics (LSE) - 2004
This paper estimates the implied stochastic process of the volatility of the Swiss market index (SMI) from the prices … option pricing model of Duan (1991), the implied volatility process is estimated by a simulation minimization method from … option price data. We find the persistence of volatility shocks implied by options on the SMI to be very close to that …
Persistent link: https://www.econbiz.de/10010746119
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Spillover and backward linkage effects of FDI: empirical evidence for the UK
Harris, Richard - London School of Economics (LSE) - 2009
Recent work (including that of the author) on the impact of FDI has been based on microlevel (i.e. firms, establishments or plants) data, since this allows much greater control when examining such issues as whether FDI plants are more productive or innovative; whether there are spillovers to...
Persistent link: https://www.econbiz.de/10010884505
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The United Kingdom pension system: key issues
Blake, David - London School of Economics (LSE) - 2003
This paper examines the key issues relating to the UK pension system. It reviews the current system of pension provision, describes and analyses the reforms since 1980, examines the legal regulatory and accounting framework for occupational pension schemes, assesses the different types of risks...
Persistent link: https://www.econbiz.de/10010884512
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Coordination risk and the price of debt
Morris, Stephen; Shin, Hyun Song - London School of Economics (LSE) - 2001
Creditors of a distressed borrower face a coordination problem. Even if the fundamentals are sound, fear of premature foreclosure by others may lead to pre-emptive actions, undermining the project. Recognition of this problem lies behind corporate bankruptcy provisions across the world, and it...
Persistent link: https://www.econbiz.de/10010884521
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Coordination, learning, and delay
Dasgupta, Amil - London School of Economics (LSE) - 2002
This paper studies how the introduction of social learning with costs to delay affects coordination games with incomplete information. We present a tractable noisy dynamic coordination game with social learning and costs to delay. We show that this game has a unique monotone equilibrium. A...
Persistent link: https://www.econbiz.de/10010884536
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Mean-variance portfolio allocation with a value at risk constraint
Sentana, Enrique - London School of Economics (LSE) - 2001
In this paper, I first provide a unifying approach to Mean-Variance analysis and Value at Risk, which highlights both their similarities and differences. Then I use it to explain how fund managers can take investment decisions within the well-known Mean-Variance allocation framework that satisfy...
Persistent link: https://www.econbiz.de/10010884540
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In search of value-for-money in collective bargaining: an analytic-interactive mediation process
Schilling, Martin S.; Mulford, Matthew - London School of Economics (LSE) - 2007
In this paper we introduce an analytic-interactive mediation approach to facilitate conflict resolution in collective bargaining. Based on field observations of labor-management negotiations in the German railway industry, we develop an approach which combines human mediation with IT-based...
Persistent link: https://www.econbiz.de/10010884564
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Challenging global accountability: the intersection of contracts and culture in the World Bank
Gulrajani, Nilima - London School of Economics (LSE) - 2010
Global accountability is commonly understood as a contractual mechanism between principals and agents where standards of behavior are objective and respond to functional needs, agents are autonomous, motivations are self-interested and practices are procedural. This paper theorizes an...
Persistent link: https://www.econbiz.de/10010884581