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Quantifying the Scope for Efficiency Defense in Merger Control: The Werden-Froeb-Index

Goppelsroeder, Marie; Schinkel, Maarten Pieter; … - Tinbergen Instituut - 2006

This paper introduces the Werden-Froeb Index (WFI) to assist in evaluating merger-specific efficiencies in horizontal … mergers. The index measures the weighted average reduction in marginal costs required to restore pre-merger equilibrium prices … has relatively low information requirements. We propose to use the index as a natural complement to concentration measures …

Persistent link: https://www.econbiz.de/10011257357

Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements

Lizyayev, Andrey - Tinbergen Instituut - 2010

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...

Persistent link: https://www.econbiz.de/10011255464

Risk Diversification by European Financial Conglomerates

Slijkerman, Jan Frederik; Schoenmaker, Dirk; Vries, … - Tinbergen Instituut - 2005

diversification within large banks and financial conglomerates. We discuss the limited value of the normal distribution based … of the risk distribution. This measure is estimated and indicates better diversification benefits for conglomerates …

Persistent link: https://www.econbiz.de/10011255734

Aggregating Credit and Market Risk: The Impact of Model Specification

Lucas, Andre; Verhoef, Bastiaan - Tinbergen Instituut - 2012

models. We first show analytically how model specification impacts 'diversification benefits' for aggregated market and …

Persistent link: https://www.econbiz.de/10011256003

Global Loss Diversification in the Insurance Sector

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

We study the possibility for international diversification of catastrophe risk by the insurance sector. Adopting the … time, thus reducing the scope for international diversification of large losses in this sector. …

Persistent link: https://www.econbiz.de/10011256770

Portfolio Diversification Effects of Downside Risk

Hyung, Namwon; Vries, Casper G. de - Tinbergen Instituut - 2005

the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case of fat …

Persistent link: https://www.econbiz.de/10011256893

More Hedging Instruments may destablize Markets

Brock, William; Hommes, Cars; Wagener, Florian - Tinbergen Instituut - 2006

. 1912-1928. This paper formalizes the idea that more hedging instruments may destabilize markets when traders are …

Persistent link: https://www.econbiz.de/10011255525

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - Tinbergen Instituut - 2013

Published in the Journal of Reviews on Global Economics (2013). Volume 2, pages 307-329. Economists and financial analysts have begun to recognise the importance of the actions of other agents in the decision-making process. Herding is the deliberate mimicking of the decisions of other agents....

Persistent link: https://www.econbiz.de/10011256404

Optimal Hedging with the Vector Autoregressive Model

Gatarek, Lukasz; Johansen, Søren - Tinbergen Instituut - 2014

We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model …

Persistent link: https://www.econbiz.de/10011257633

Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails

Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008

to daily S&P 500 index returns. …

Persistent link: https://www.econbiz.de/10011255794