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Location of Investors and Capital Flight

Botman, Dennis P J; Diks, Cees G H - Tinbergen Instituut - 2002

This paper utilizes a very simple model to study the timing and determinants of speculationagainst a fixed exchange rate regime when investors are heterogeneous because of locationaldifferences. Location matters because resident players may incur smaller costs when takinga short-position, are...

Persistent link: https://www.econbiz.de/10011255904

A General Framework for Observation Driven Time-Varying Parameter Models

Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2008

We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...

Persistent link: https://www.econbiz.de/10011255643

Frontiers in Time Series and Financial Econometrics: An Overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - Tinbergen Instituut - 2015

Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...

Persistent link: https://www.econbiz.de/10011257486

Forecasting Volatility with Copula-Based Time Series Models

Sokolinskiy, Oleg; Dijk, Dick van - Tinbergen Instituut - 2011

copulas do not improve the accuracy of volatility forecasts. …

Persistent link: https://www.econbiz.de/10011257654

The Determinants of CDS Bid-ask Spreads

Wojtowicz, Marcin - Tinbergen Instituut - 2014

We investigate the determinants of bid-ask spreads on corporate credit default swaps (CDSs). We find that proxies for dealer inventory costs such as variability of CDS premia and CDS trading volume explain as much as 80% of variation in CDS bid-ask spreads. We also analyze the influence of...

Persistent link: https://www.econbiz.de/10011256084

Credit Protection and Lending Relationships

Arping, Stefan - Tinbergen Instituut - 2012

We examine the impact CDS protection on lending relationships and efficiency. CDS insulate lenders against losses from forcing borrowers into default and liquidation. This improves the credibility of foreclosure threats, which can have positive implications for borrower incentives and credit...

Persistent link: https://www.econbiz.de/10011256236

Aggregate Stock Market Illiquidity and Bond Risk Premia

Bouwman, Kees E.; Sojli, Elvira; Tham, Wing Wah - Tinbergen Instituut - 2012

We assess the effect of aggregate stock market illiquidity on U.S. Treasury bond risk premia. We find that the stock … market illiquidity variable adds to the well established Cochrane-Piazzesi and Ludvigson-Ng factors. It explains 10%, 9%, 7 …, dispersion in beliefs, and funding liquidity. We argue that stock market illiquidity is a timely variable that is related to …

Persistent link: https://www.econbiz.de/10011256063

The Effects of Liquidity Regulation on Bank Assets and Liabilities

Duijm, Patty; Wierts, Peter - Tinbergen Instituut - 2014

Under Basel III rules, banks become subject to a liquidity coverage ratio (LCR) from 2015 onwards, to promote short-term resilience. We investigate the effects of such liquidity regulation on bank liquid assets and liabilities. Results indicate co-integration of liquid assets and liabilities, to...

Persistent link: https://www.econbiz.de/10011256455

Banks and Market Liquidity

Arping, Stefan - Tinbergen Instituut - 2015

I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity-provision frictions that, in an unlevered economy, would lead...

Persistent link: https://www.econbiz.de/10011256979

Market Liquidity and Exposure of Hedge Funds

Siegmann, Arjen; Stefanova, Denitsa - Tinbergen Instituut - 2011

significantlypositive loading on the pairs trading return. The results suggest thatbefore 2003, time-varying illiquidity led to a time …

Persistent link: https://www.econbiz.de/10011256985