Showing 1 - 10 of 25
In this paper, we provide an outlook for further research on the topic of governance. We review four different approaches on the theory of the firm and discuss implications for governance, namely; nexus of contracts / agency theory, property rights /incomplete contracts, adaptation, and nexus of...
Persistent link: https://www.econbiz.de/10005858014
Recently, Diebold and Li (2003) obtained good forecasting results foryield curves in a reparametrized Nelson-Siegel framework. We analyze similarmodeling approaches for price curves of variance swaps that serve nowadaysas hedging instruments for options on realized variance. We consider the...
Persistent link: https://www.econbiz.de/10005854703
Here we develop methods for e±cient pricing multidimensional discrete-time American and Bermudan options by using regression based algorithms together with a new approach towards constructing upper bounds for the price of the option...
Persistent link: https://www.econbiz.de/10005854704
In this paper, the influence of information costs on the integration of Northern European financial markets between ca. 1350 and 1560 is explored. The approach is based on splitting information costs into their constitutive components and on measuring one of these, i.e. the costs of transmitting...
Persistent link: https://www.econbiz.de/10005854705
Recent research on international productivity comparisons with historical data has encountered large discrepancies between benchmark comparisons and time series extrapolations from other benchmarks. Broadberry and Burhop (2005) have recently argued that for Hoffmann´s (1965) widely accepted...
Persistent link: https://www.econbiz.de/10005854706
East German wages have been below the West German wage level since unification. Moreover, the East-West wage gap implied by the contractual wagesspecified in collective wage agreements is drifting ever further apart from the wagegap in terms of effective wages. This paper looks at the role of...
Persistent link: https://www.econbiz.de/10005854707
GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulation example that the GARCH approach may lead to a serious model misspecification if the assumption of stationarity is violated. In particular, the well known integrated GARCH effect can be...
Persistent link: https://www.econbiz.de/10005854708
The first stages of any data analysis are to get to know the aims of the studyand to get to know the data. In this study the main goal is to predict acompany´s chances of going bankrupt based on its recent financial returns...
Persistent link: https://www.econbiz.de/10005854709
In his paper we introduce a quantile-based risk measure for multivariate financial positions: the vector-valued Tail-conditional-expectation (T CE). We adopt the framework proposed by Jouini, Meddeb, and Touzi [9] to deal with multi-assets portfolios when one accounts for frictions in the...
Persistent link: https://www.econbiz.de/10005854710
We study the problem of finding the minimal initial capital needed in order to hedge without risk a barrier option when the vector of proportions of wealth invested in each risky asset is constraint to lie in a closed convex domain...
Persistent link: https://www.econbiz.de/10005854711