Showing 1 - 10 of 31
Persistent link: https://www.econbiz.de/10009705338
Persistent link: https://www.econbiz.de/10003863200
Micro data on inflation expectations has two important properties: (i) there is substantial heterogeneity in inflation expectations across households, and (ii) the average inflation expectation responds slowly to shocks to actual inflation. This paper studies the effect of dispersed inflation...
Persistent link: https://www.econbiz.de/10011079982
Decision-makers often face limited liability and thus know that their loss will be bounded. We study how limited liability affects the behavior of an agent who chooses how much information to acquire and process in order to take a good decision. We find that an agent facing limited liability...
Persistent link: https://www.econbiz.de/10011080138
Persistent link: https://www.econbiz.de/10009986261
Persistent link: https://www.econbiz.de/10008279003
Recently, Diebold and Li (2003) obtained good forecasting results foryield curves in a reparametrized Nelson-Siegel framework. We analyze similarmodeling approaches for price curves of variance swaps that serve nowadaysas hedging instruments for options on realized variance. We consider the...
Persistent link: https://www.econbiz.de/10005854703
Here we develop methods for e±cient pricing multidimensional discrete-time American and Bermudan options by using regression based algorithms together with a new approach towards constructing upper bounds for the price of the option...
Persistent link: https://www.econbiz.de/10005854704
In this paper, the influence of information costs on the integration of Northern European financial markets between ca. 1350 and 1560 is explored. The approach is based on splitting information costs into their constitutive components and on measuring one of these, i.e. the costs of transmitting...
Persistent link: https://www.econbiz.de/10005854705
Recent research on international productivity comparisons with historical data has encountered large discrepancies between benchmark comparisons and time series extrapolations from other benchmarks. Broadberry and Burhop (2005) have recently argued that for Hoffmann´s (1965) widely accepted...
Persistent link: https://www.econbiz.de/10005854706