Similar Search Results

Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013

, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …

Persistent link: https://www.econbiz.de/10011256871

The Forward Premium Puzzle only emerges gradually

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - Tinbergen Instituut - 2007

The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...

Persistent link: https://www.econbiz.de/10011256149

The Euro Introduction and Non-Euro Currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - Tinbergen Instituut - 2005

This discussion paper resulted in a publication in 'Applied Financial Economics', 2011, 21, 95-116.<P> This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates...</p>

Persistent link: https://www.econbiz.de/10011255883

Defending against Speculative Attacks

Daniels, Tijmen R.; Jager, Henk; Klaassen, Franc - Tinbergen Instituut - 2008

While virtually all modern models of exchange rate crises recognise that the decision to abandon an exchange rate peg depends on how harshly policy makers are willing to defend the regime, they virtually never model how the exchange rate is defended. In this paper we incorporate both the...

Persistent link: https://www.econbiz.de/10011256910

Model-free Measurement of Exchange Market Pressure

Klaassen, Franc; Jager, Henk - Tinbergen Instituut - 2007

If there is exchange market pressure (EMP), monetary authorities can use the interest rate and official interventions to offset this depreciation tendency, or they can let the exchange rate change. We introduce a new approach to derive how these three variables should be combined to measure EMP....

Persistent link: https://www.econbiz.de/10011257027

A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles

Heidergott, Bernd; Volk-Makarewicz, Warren - Tinbergen Instituut - 2013

Quantiles play an important role in modelling quality of service in the service industry and in modelling risk in the financial industry. Recently, Hong showed in his breakthrough papers that efficient simulation based estimators can be obtained for quantile sensitivities by means of sample path...

Persistent link: https://www.econbiz.de/10011257156

Volatility Smirk as an Externality of Agency Conflict and Growing Debt

Jaskowski, Marcin; McAleer, Michael - Tinbergen Instituut - 2013

Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is a side effect of agency conflict. An important distinction is that the smirk occurs in the optimum, even after agency conflict has been resolved. The slope of the smirk is found...

Persistent link: https://www.econbiz.de/10011268659

Pricing and Hedging Guaranteed Annuity Options via Static Option Replication

Pelsser, Antoon - Tinbergen Instituut - 2002

In this paper we derive a market value for Guaranteed Annuity Optionusing martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanillainterest rate swaptions that replicates the Guaranteed Annuity Option. Finally, we illustrate with historical...

Persistent link: https://www.econbiz.de/10011255515

Is Power Production Flexibility a Substitute for Storability? Evidence from Electricity Futures Prices

Kilic, Mehtap; Huisman, Ronald - Tinbergen Instituut - 2010

Electricity is not storable. As a consequence, electricity demand and supply need to be in balance at any moment in time as a shortage in production volume cannot be compensated with supply from inventories. However, if the installed power supply capacity is very flexible, variation in demand...

Persistent link: https://www.econbiz.de/10011255605

A Comparison of Biased Simulation Schemes for Stochastic Volatility Models

Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - Tinbergen Instituut - 2006

introduce the new full truncation scheme, tailored to minimise the upward bias found when pricing European options. Thirdly and …

Persistent link: https://www.econbiz.de/10011255776