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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

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 … settings, a simple mean-variance asset pricing model, a general equilibrium two-period overlapping generations model with … heterogeneous expectations and a noisy rational expectations asset pricing model with heterogeneous information signals. In each …

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

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

Urban Transport Policies: The Dutch Struggle with Market Failures and Policy Failures

Rietveld, Piet - Tinbergen Instituut - 2004

transport and biking. Special attention is paid to parking problems, and possibilities to cope with these by pricing measures …. It is demonstrated that in some cases parking externalities lead to non-convexities that make pricing policies less …

Persistent link: https://www.econbiz.de/10011257440

Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation

Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - Tinbergen Instituut - 2002

We model 1927-1997 U.S. business failure rates using a time series approach based on unobserved components. Clear evidence is found of cyclical behavior in default rates. The cycle has a period of around 10 years. We also detect longer term movements in default probabilities and default...

Persistent link: https://www.econbiz.de/10011256775

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 … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …

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

Discrete versus Continuous State Switching Models for Portfolio Credit Risk

Lucas, André; Klaassen, Pieter - Tinbergen Instituut - 2003

Dynamic models for credit rating transitions are important ingredients for dynamic credit risk analyses. We compare the properties of two such models that have recently been put forward. The models mainly differ in their treatment of systematic risk, which can be modeled either using discrete...

Persistent link: https://www.econbiz.de/10011256882

Modelling and Simulation: An Overview

McAleer, Michael; Chan, Felix; Oxley, Les - Tinbergen Instituut - 2013

The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving judgmental adjustment of model-based forecasts, whether forecast updates are progressive, on a constrained mixture vector autoregressive model, whether all estimators are born equal:...

Persistent link: https://www.econbiz.de/10011256964