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Föllmer, Hans; Leukert, Peter - 1998

In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling...

Persistent link: https://www.econbiz.de/10009574876

On model based seasonal adjustment procedures

Breitung, Jörg - 1998

-Nelson type of decomposition for seasonal time series. The main strength of the SEATS approach lies in the appealing model …

Persistent link: https://www.econbiz.de/10009574877

The monetary model of the exchange rate : a structural interpretation

Moersch, Mathias; Nautz, Dieter - 1998

We emphasize the importance of properly identifying the long-run relations underlying the monetary model of the … an interpretation of the various channels affecting the exchange rate in the monetary model. We apply this approach to … the analysis of the DM/Dollar exchange rate where the structural model yields better results than various alternative …

Persistent link: https://www.econbiz.de/10009574885

Sequential versus independent commitment : an indirect evolutionary analysis of bargaining rules

Güth, Werner - 1998 - Rev.

Rational bargaining behavior depends crucially on the rules of bargaining, especially on whether parties decide sequentially or independently. Whereas in ultimatum bargaining the proposer can exploit the responder, independent commitments result in more balanced payoffs. To limit the scope of...

Persistent link: https://www.econbiz.de/10009574886

Smooth discrimination analysis

Mammen, Enno; Cybakov, Aleksandr B. - 1998

Discriminant analysis for two data sets in IRd with probability densities f and g can be based on the estimation of the set G = {x : f(x) ≥ g(x)}. We consider applications where it is appropriate to assume that the region G has a smooth boundary. In particular, this assumption makes sense if...

Persistent link: https://www.econbiz.de/10009574887

Local risk-minimization under transaction costs

Lamberton, Damien; Pham, Huyên; Schweizer, Martin - 1998

costs in a model with bid-ask spreads on the underlying asset is also locally risk-minimizing without transaction costs in a … fictitious model which is frictionless and where the fictitious asset price lies between the bid and ask price processes of the … original model. In particular, our results apply to any nondegenerate model with a finite state space if the transaction cost …

Persistent link: https://www.econbiz.de/10009576212

Additional logarithmic utility of an insider

Amendinger, Jürgen; Imkeller, Peter; Schweizer, Martin - 1998

In this paper, we consider a security market in which two investors on different information levels maximize their expected logarithmic utility from terminal wealth. While the ordinary investor's portfolio decisions are based on a public information flow, the insider possesses from the beginning...

Persistent link: https://www.econbiz.de/10009577457

A note on stochastic volatility, GARCH models, and hyperbolic distributions

Jaschke, Stefan R. - 1997

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove...

Persistent link: https://www.econbiz.de/10009577459

Nonparametric factor analysis of time series

Rodríguez Poo, Juan Manuel; Linton, Oliver - 1998

We introduce a nonparametric smoothing procedure for nonparametric factor analaysis of multivariate time series. The asymptotic properties of the proposed procedures are derived. We present an application based on the residuals from the Fair macromodel. -- Factor Analysis ; Time Series ; Kernel...

Persistent link: https://www.econbiz.de/10009578000

A framework for micropayment evaluation

Schmidt, Carsten; Müller, Rudolf - 1998

Lacking payment systems become a bottleneck for the vision of the Information Economy. In many cases payments of fractions of a cent, so-called micropayments, are of particular interest. In this paper we propose a framework to evaluate payment systems. The framework consists of a well structured...

Persistent link: https://www.econbiz.de/10009578003

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