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Short-Selling Bans around the World: Evidence from the 2007-09 Crisis

Beber, Alessandro; Pagano, Marco - Tinbergen Instituut - 2010

liquidity, especially for stocks with small market capitalization,high volatility and no listed options; (ii) slowed down price …

Persistent link: https://www.econbiz.de/10011255488

How to measure Corporate Bond Liquidity?

Houweling, Patrick; Mentink, Albert; Vorst, Ton - Tinbergen Instituut - 2003

We consider eight different measures (issued amount, coupon, listed, age, missingprices, price volatility, number of … contributors and yield dispersion) to approximate corporatebond liquidity and use a five-variable model to control for maturity …, credit and currencydifferences between bonds. The null hypothesis that liquidity risk is not priced in our dataset of euro …

Persistent link: https://www.econbiz.de/10011256564

Central Clearing and Asset Prices

Menkveld, Albert J.; Pagnotta, Emiliano; Zoican, Marius A. - Tinbergen Instituut - 2013

counterparties and,consistent with the margin-CAPM, more pronounced for stocks with higher margins. Our results suggest that …

Persistent link: https://www.econbiz.de/10011256681

Economic Valuation of Liquidity Timing

Karstanje, Dennis; Sojli, Elvira; Tham, Wing Wah; Wel, … - Tinbergen Instituut - 2013

, pages 5073-5087.<P> This paper conducts a horse-race of different liquidity proxies using dynamic asset allocation … strategies to evaluate the short-horizon predictive ability of liquidity on monthly stock returns. We assess the economic value … of the out-of-sample power of empirical models based on different liquidity measures and find three key results …

Persistent link: https://www.econbiz.de/10011257598

Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices

Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - Tinbergen Instituut - 2003

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series.For the older electricity market of Nord Pool in Norway, it is found that a …

Persistent link: https://www.econbiz.de/10011256477

Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

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

Continuous Beliefs Dynamics

Diks, Cees; Weide, Roy van der - Tinbergen Instituut - 2003

We propose a general framework for studying the evolution ofheterogeneous beliefs in a dynamic feedback setting. Beliefsdistributions are defined on a continuous space representingthe possible strategies agents can choose from. Agents base theirchoices on past performances. As new information...

Persistent link: https://www.econbiz.de/10011249542

Positive Expectations Feedback Experiments and Number Guessing Games as Models of Financial Markets

Sonnemans, Joep; Tuinstra, Jan - Tinbergen Instituut - 2008

This discussion paper resulted in a publication in the <A href="http://www.sciencedirect.com/science/article/pii/S0167487010000929">'Journal of Economic Psychology'</A>, 31(6), 964-84.<P>In repeated number guessing games choices typically converge quickly to the Nash equilibrium. In positive expectations feedback experiments, however, convergence to the equilibrium price tends...</p></a>

Persistent link: https://www.econbiz.de/10011255527

Heterogeneity as a Natural Source of Randomness

Diks, Cees; Weide, Roy van der - Tinbergen Instituut - 2003

We propose a new framework for studying the evolution of heterogeneous beliefs in a dynamic feedback setting. Beliefs distributions are defined on a beliefs space representing a continuum of possible strategies agents can choose from. Agents base their choices on past performances, re-evaluating...

Persistent link: https://www.econbiz.de/10011255553

Valuing Euro Rating-Triggered Step-Up Telecom Bonds

Houweling, Patrick; Mentink, Albert; Vorst, Ton - Tinbergen Instituut - 2003

We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando andTurnbull (1997, JLT) framework, (ii) a similar framework using historical probabilities and(iii) as plain vanilla bonds. We find that the market seems to value single step-up bondsaccording to the JLT model,...

Persistent link: https://www.econbiz.de/10011255659