Narrow search
Showing 1 - 10 of 83
Cover Image
Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures
Lean, Hooi Hooi; McAleer, Michael - Tinbergen Instituut - 2013
This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean-variance (MV) criterion and stochastic dominance (SD) approach. The MV findings cannot distinguish between the preferences of spot and futures markets. However, the SD tests...
Persistent link: https://www.econbiz.de/10011256736
Cover Image
Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
with Quasi-PORT and DPOT, with an application to value-at-risk for financial variables, evaluating inflation targeting … based on the distribution of inflation and inflation volatility, the size effects of volatility spillovers for firm …
Persistent link: https://www.econbiz.de/10011256871
Cover Image
Splitting Orders in Fragmented Markets
Menkveld, Bert - Tinbergen Instituut - 2001
A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...
Persistent link: https://www.econbiz.de/10011256874
Cover Image
Pensions, Debt and Inflation Risk in a Monetary Union
Adema, Yvonne - Tinbergen Instituut - 2010
This paper investigates the international spillovers of government debt and the associated risk of inflation within a … inflation at the cost of the funded country. In response to these conflicting interests about inflation, inflation risk may rise … with the level of debt in the PAYG country. Higher inflation risk harms both countries. Actually, in contrast to the debt …
Persistent link: https://www.econbiz.de/10011257504
Cover Image
Mutual Funds and Information Diffusion: The Role of Country-Level Governance
Lin, Chunmei; Massa, Massimo; Zhang, Hong - Tinbergen Instituut - 2014
We hypothesize that poor country-level governance, which makes public information less reliable, induces fund managers to increase their use of semi-public information. Utilizing data from international mutual funds and stocks over the 2000-2009 period, we find that semi-public...
Persistent link: https://www.econbiz.de/10011272600
Cover Image
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
Cover Image
Volatility Spillovers from the US to Australia and China across the GFC
Allen, David E.; McAleer, Michael; Powell, R.J.; Singh, A.K. - Tinbergen Instituut - 2013
This paper features an analysis of volatility spillover effects from the US market, represented by the S&P500 index to the Australian capital market as represented by the Australian S&P200 for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global...
Persistent link: https://www.econbiz.de/10011255545
Cover Image
Insurance Sector Risk
Slijkerman, Jan Frederik - Tinbergen Instituut - 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/10011255587
Cover Image
Model-based Measurement of Actual Volatility in High-Frequency Data
Jungbacker, B.; Koopman, S.J. - Tinbergen Instituut - 2005
In this paper we aim to measure actual volatility within a model-based framework using high-frequency data. In the empirical finance literature it is known that tick-by-tick prices are subject to market micro-structure such as bid-ask bounces and trade information. Such market micro-structure...
Persistent link: https://www.econbiz.de/10011255617
Cover Image
Stock Selection Strategies in Emerging Markets
Hart, Jaap van der; Slagter, Erica; Dijk, Dick van - Tinbergen Instituut - 2001
This discussion paper resulted in a publication in 'Emerging Markets Review', 2005, 6, 238-262.<P> See also the publication in the 'Journal of Empirical Finance', 2003, 10, 1-5=132.<P> Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging...</p></p>
Persistent link: https://www.econbiz.de/10011255877