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Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-Chung; … - Tinbergen Instituut - 2013
See the publication in the <I>Journal of Risk and Financial Management</I> (2012). Volume 5(1), pages 78-114.<P> The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test,...</p></i>
Persistent link: https://www.econbiz.de/10011257617
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Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach
Haldrup, Niels; Jansson, Michael - Tinbergen Instituut - 1999
cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …
Persistent link: https://www.econbiz.de/10011257374
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Optimal Hedging with the Vector Autoregressive Model
Gatarek, Lukasz; Johansen, Søren - Tinbergen Instituut - 2014
with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that … correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long horizons, the … hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite …
Persistent link: https://www.econbiz.de/10011257633
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For Better and for Worse - How Unpaid Bride Wealth provides Security
Hoogeveen, Hans - Tinbergen Instituut - 2000
The obligation to pay bride wealth at marriage is usually associated with thecontinuation of the lineage or considered a compensation for the loss of laborfor the family that provides the bride. In this paper a different interpretationis advanced. The obligation to pay of bride wealth is seen as...
Persistent link: https://www.econbiz.de/10011255899
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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
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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
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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
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A Comparison of Biased Simulation Schemes for Stochastic Volatility Models
Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - Tinbergen Instituut - 2006
This discussion paper resulted in a publication in 'Quantitative Finance', 2010, 10, 177-194.<P> When using an Euler discretisation to simulate a mean-reverting square root process, one runs into the problem that while the process itself is guaranteed to be nonnegative, the discretisation is not....</p>
Persistent link: https://www.econbiz.de/10011255776
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The Joint Estimation of Term Structures and Credit Spreads
Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - Tinbergen Instituut - 1999
We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...
Persistent link: https://www.econbiz.de/10011255975
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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