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On the Variation of Hedging Decisions in Daily Currency Risk Management

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - Tinbergen Institute - 2001

Internationally operating firrns naturally face the decision whether or not to hedge the currency risk implied by foreign investments. In a recent paper, Bos, Mahieu and van Dijk (2000) evaluate the returns from optimal and alternative currency hedging strategies, for a series of 7 models, using...

Persistent link: https://www.econbiz.de/10005137021

Stock Selection Strategies in Emerging Markets

Hart, Jaap van der; Slagter, Erica; Dijk, Dick van - Tinbergen Institute - 2001

Recent empirical evidence suggests that value and momentum strategies generate significant excess returns in emerging markets. We confirm these results and extend them in several directions. First, we examine a broader range of stock selection strategies, including strategies based on analysts'...

Persistent link: https://www.econbiz.de/10005137045

Daily Exchange Rate Behaviour and Hedging of Currency Risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - Tinbergen Institute - 2001

methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed disturbance …

Persistent link: https://www.econbiz.de/10005137067

Insurance Sector Risk

Slijkerman, Jan Frederik - Tinbergen Institute - 2006

We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers,...

Persistent link: https://www.econbiz.de/10005137081

Daily Exchange Rate Behaviour and Hedging of Currency Risk

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - Tinbergen Institute - 1999

Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed …

Persistent link: https://www.econbiz.de/10005137117

Global Loss Diversification in the Insurance Sector

Sheremet, Oleg; Lucas, André - Tinbergen Institute - 2008

We study the possibility for international diversification of catastrophe risk by the insurance sector. Adopting the argument that large insurance losses may be a `globalizing factor' for the industry, we study the dependence of geographically distant insurance markets via equity returns. In...

Persistent link: https://www.econbiz.de/10005137123

Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence

Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2003

U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. market and, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to the standard "variance ratio'' approach,...

Persistent link: https://www.econbiz.de/10005137175

Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - Tinbergen Institute - 2004

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

Persistent link: https://www.econbiz.de/10005137234

Countries of a Feather flock together

Marrewijk, Charles van; Garita, Gus - Tinbergen Institute - 2008

We analyze the economic forces underlying cross-border Mergers and Acquistions (M&As) using a large bilateral panel data set. The frequent occurrence of "zero" observations provides essential information on the structure of M&A flows, which we model empirically using a two-stage procedure. At...

Persistent link: https://www.econbiz.de/10005137257

Model-based Measurement of Actual Volatility in High-Frequency Data

Jungbacker, B.; Koopman, S.J. - Tinbergen Institute - 2005

In this paper we aim to measure actual volatility within a model-based framework using high-frequency data. In the … at smaller and smaller time intervals. High-frequency returns are used for the computation of realised volatility. Recent … theoretical results have shown that realised volatility is a consistent estimator of actual volatility but when it is subject to …

Persistent link: https://www.econbiz.de/10005137287