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Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
Jaskowski, Marcin; McAleer, Michael - Tinbergen Instituut - 2013
Credit risk models should reflect the observation that the relevant value of collateral is generally not the average value of the asset over all possible states of nature. In most cases, the relevant value of collateral for the lender is its secondary market value in bad states of nature, where...
Persistent link: https://www.econbiz.de/10011256955
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Price and Transaction Volume in the Dutch Housing Market
Wit, Erik R. de; Englund, Peter; Francke, Marc - Tinbergen Instituut - 2010
Housing markets typically exhibit a strong positive correlation between the rate of price increase and the number of houses sold. We document this correlation on high-quality Dutch data for the period 1985-2007, and estimate a VEC-model that allows us to study the mechanism giving rise to the...
Persistent link: https://www.econbiz.de/10011257482
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Economic Valuation of Liquidity Timing
Karstanje, Dennis; Sojli, Elvira; Tham, Wing Wah; Wel, … - Tinbergen Instituut - 2013
This discussion paper resulted in a publication in the 'Journal of Banking and Finance' (2013). Vol. 37, issue 12, 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...</p>
Persistent link: https://www.econbiz.de/10011257598
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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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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 …
Persistent link: https://www.econbiz.de/10011255975
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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 … regime-switching approaches, quantitative evaluation of contingent capital and its applications, high quantiles estimation …
Persistent link: https://www.econbiz.de/10011256871
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Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong
Peeters, Bas; Dert, Cees L.; Lucas, André - Tinbergen Instituut - 2003
Taking a portfolio perspective on option pricing and hedging, we show that within the standard Black-Scholes-Merton framework large portfolios of options can be hedged without risk in discrete time. The nature of the hedge portfolio in the limit of large portfolio size is substantially different...
Persistent link: https://www.econbiz.de/10011257082
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Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2014
model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … normalization for the estimation and prediction of the spread — the deviation from the equilibrium relationship — which leads to …
Persistent link: https://www.econbiz.de/10011272592
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Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
Asai, Manabu; McAleer, Michael - Tinbergen Instituut - 2014
Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....
Persistent link: https://www.econbiz.de/10011272593
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Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation
Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - Tinbergen Instituut - 2013
estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part …
Persistent link: https://www.econbiz.de/10011255481