Showing 1 - 10 of 41
We live in a ‘zero-risk society', characterized by a culture that is obsessed with controlling and removing any possible risks. Obviously, one of the fundamental objectives of any civilization is to improve the safety and security of its citizens. However, we should not let the cozy comfort...
Persistent link: https://www.econbiz.de/10012271226
Humanity has been fascinated by the pursuit of fortune since time immemorial, and many successful outcomes benefit from strokes of luck. But success is subject to complexity, uncertainty, and change – and at times becoming increasingly unequally distributed. This leads to tension and confusion...
Persistent link: https://www.econbiz.de/10012003281
-agent model with a representative investor and a fund manager in an asymmetric information framework. This model shows that the … Fee ; Mutual Fund ; Asymmetric Information ; Principal-Agent Relationship ; Markup …
Persistent link: https://www.econbiz.de/10009561613
We propose a reduced form model for the Minskian dynamics of liquidity and of asset prices in terms of the so-called financial accelerator mechanism. In a nutshell, credit creation is driven by the market value of the financial assets employed as collateral in the bank loans. This leads to a...
Persistent link: https://www.econbiz.de/10009561751
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks and continuous updates of the investors' beliefs and sentiments. The conditional expected returns...
Persistent link: https://www.econbiz.de/10003970340
Krugman (1991)'s target zone model has become the reference of a large part of this literature. Despite its simplicity and elegance, empirical evidence has been lacking. Deriving from Krugman's model analytical expressions for the conditional volatility and density distribution close to the...
Persistent link: https://www.econbiz.de/10011411918
We present a careful analysis of possible issues of the application of the self-excited Hawkes process to high-frequency financial data and carefully analyze a set of effects that lead to significant biases in the estimation of the "criticality index'' n that quantifies the degree of endogeneity...
Persistent link: https://www.econbiz.de/10010257507
% in 1998 to less than 30% since 2007 of the price changes resulting from some revealed exogenous information. Analogous to …
Persistent link: https://www.econbiz.de/10009561617
Persistent link: https://www.econbiz.de/10009561750
Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be...
Persistent link: https://www.econbiz.de/10009009600