Similar Search Results

Mazzucato, Mariana; Tancioni, Massimiliano - Society for Computational Economics - SCE - 2005

. Volatility is studied both at the industry level (for 34 different industries from 1974-2003) and at the firm level (for 5 … mixed. A relationship between innovation and volatility emerges most strongly with firm level data, when firm dimension is … accounted for, and when time varying volatility is explicitly studied via GARCH analysis. The latter highlights the distinctive …

Persistent link: https://www.econbiz.de/10005706305

Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models

Kaizoji, Taisei; Lux, Thomas - Society for Computational Economics - SCE - 2004

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …

Persistent link: https://www.econbiz.de/10005706539

Complete Markets, Enforcement Constraints and Intermediation

Abraham, Arpad; Carceles-Poveda, Eva - Society for Computational Economics - SCE - 2006

Alvarez and Jermann (2000) show that the constrained efficient allocations of endowment economies with complete markets and limited commitment can be decentralized with endogenous borrowing limits on the Arrow securities. In a model with capital accumulation, aggregate risk and competitive...

Persistent link: https://www.econbiz.de/10005342884

Private information and the use of a so called 'information function'

Haven, Emmanuel - Society for Computational Economics - SCE - 2006

The literature on private information as a source of trade is probably most well known via the seminal work by Jean Tirole and Paul Milgrom and Nancy Stokey. We consider an arbitrage opportunity to be the result of the existence of such private information. We are interested to propose a model...

Persistent link: https://www.econbiz.de/10005342890

The predictive power of the present value model of stock prices

Ryan, Geraldine - Society for Computational Economics - SCE - 2006

Using monthly data from 1926:01 to 2003:12 for the United States, this paper examines the predictability of real stock prices based on the dividend-price ratio. In particular, we focus on estimating and forecasting a nonlinear exponential smooth autoregressive model (ESTAR). One motivation for...

Persistent link: https://www.econbiz.de/10005342899

Learning, structural instability and present value calculations

Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan - Society for Computational Economics - SCE - 2006

Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions about parameter values as well as the form and stability of the data...

Persistent link: https://www.econbiz.de/10005342924

Monetary Policy and the Term Structure of Interest Rates

Ravenna, Federico; Seppala, Juha - Society for Computational Economics - SCE - 2006

-cyclical interest rates, counter-cyclical term spreads, and creates enough volatility in the risk premium to account for the rejections …

Persistent link: https://www.econbiz.de/10005342933

Pricing problems of perpetual Bermudan options

Muroi, Yoshifumi; Yamada, Takashi - Society for Computational Economics - SCE - 2006

The pricing problem of options with an early exercise feature, such as American options, is one of the important topics in mathematical finance. The pricing formulas for American options, however, have not been found in general and the numerical methods are required to derive the price of these...

Persistent link: https://www.econbiz.de/10005342951

A Structural Model of Credit Risk with Counter-Cyclical Risk Premia

Kenc, Turalay; Sola, Martin; Raybaudi, Marzia - Society for Computational Economics - SCE - 2006

It is well-documented that economies experience business cycles. Economic and financial activities fall sharply during recessions and rise sharply during booms. This phenomenon also gives rise to cyclical asset pricing implications: high asset prices (low returns) during booms and low prices...

Persistent link: https://www.econbiz.de/10005342963

TIPS: Taking Inflation Premium Seriously

Wei, Min; D'Amico, Stefania; Kim, Don H. - Society for Computational Economics - SCE - 2005

This paper asks the question of whether the newly available TIPS yields data can help us achieve a better understanding of the real term structure and the inflation expectations. The yield differential between TIPS and comparable nominal coupon securities is not a direct measure of inflation...

Persistent link: https://www.econbiz.de/10005343003

1
2
3
4
5
6
7
8
9
10
Next
Last