Narrow search
Showing 1 - 10 of 98
Cover Image
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
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
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
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
Cover Image
Will Islamic Banking make the World less risky? An Empirical Analysis of Capital Structure, Risk Shifting and Financial Stability
Farooq, Moazzam; Wijnbergen, Sweder van; Zaheer, Sajjad - Tinbergen Instituut - 2015
We use a classic Merton credit risk framework to argue that Islamic Banking Institutions (IBIs) face less incentive to take on risks than Conventional Banking Institutions (CBI). IBIs have less incentive for risk shifting both in and outside of distress situations. We test and confirm this...
Persistent link: https://www.econbiz.de/10011272595
Cover Image
Using Preferred Outcome Distributions to estimate Value and Probability Weighting Functions in Decisions under Risk
Donkers, Bas; Lourenco, Carlos J.S.; Dellaert, Benedict G.C. - Tinbergen Instituut - 2013
In this paper we propose the use of <I>preferred outcome</I> distributions as a new method to elicit individuals' value and probability weighting functions in decisions under risk. Extant approaches for the elicitation of these two key ingredients of individuals' risk attitude typically rely on a long,...</i>
Persistent link: https://www.econbiz.de/10011255452
Cover Image
Strategic versus Financial Investors: The Role of Strategic Objectives in Financial Contracting
Arping, Stefan; Falconieri, Sonia - Tinbergen Instituut
Strategic investors, such as corporate venture capitalists, engage in the financing of start-up firms to complement their core businesses and to facilitate the internalization of externalities. We argue that while strategic objectives make it more worthwhile for an investor to elicit high...
Persistent link: https://www.econbiz.de/10011261927
Cover Image
Cheap but Flighty: How Global Imbalances create Financial Fragility
Perotti, Enrico; Ahnert, Toni - Tinbergen Instituut - 2015
Can a wealth shift to emerging countries explain instability in developed countries? Investors exposed to political risk seek safety in countries with better property right protection. This induces private intermediaries to offer safety via inexpensive demandable debt, and increase lending into...
Persistent link: https://www.econbiz.de/10011265233
Cover Image
Behavioural Real Estate
Salzman, Diego A.; Zwinkels, Remco C.J. - Tinbergen Instituut - 2013
The behavioural approach to decision making under uncertainty combines insights from psychology and sociology into economic decision making. It steps away from the normative homo economicus and introduces a positive approach to human decision making under uncertainty. We provide an overview of...
Persistent link: https://www.econbiz.de/10011256779
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