Similar Search Results

Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - C.E.P.R. Discussion Papers - 2012

includes (i) Gaussian shocks with stochastic variance, (ii) jumps up and down in the exchange rate, and (iii) jumps in the … probability of jumps in variance is increasing in the variance but not related to interest rates. Many of the jumps in exchange … rates are associated with macroeconomic and political news, but jumps in variance are not. Overall, jumps account for 25% of …

Persistent link: https://www.econbiz.de/10011083487

Valuation of VIX Derivatives

Mencía, Javier; Sentana, Enrique - C.E.P.R. Discussion Papers - 2010

volatility mean reverting assumptions. We propose generalisations with a time varying central tendency, jumps and stochastic …

Persistent link: https://www.econbiz.de/10008468615

No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2014

We propose a method to produce density forecasts of the term structure of government bond yields that accounts for (i) the possible mispecification of an underlying Gaussian Affine Term Structure Model (GATSM) and (ii) the time varying volatility of interest rates. For this, we derive a Bayesian...

Persistent link: https://www.econbiz.de/10011083412

Bond Return Predictability: Economic Value and Links to the Macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2014

Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return predictability and the failure to convert return forecasts into economic gains. We show that resolving this puzzle requires accounting for important features of bond return models such...

Persistent link: https://www.econbiz.de/10011083511

Common Drifting Volatility in Large Bayesian VARs

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2012

The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common unobserved factor. This is justified by the observation that the pattern of...

Persistent link: https://www.econbiz.de/10011083279

Of Religion and Redemption: Evidence from Default on Islamic Loans

Baele, Lieven; Farooq, Moazzam; Ongena, Steven - C.E.P.R. Discussion Papers - 2011

Do religious beliefs affect real economic decisions? We investigate this fundamental question by comparing default rates on conventional and Islamic loans using a comprehensive monthly dataset from Pakistan that follows more than 150,000 loans over the period 2006:04 to 2008:12. We find robust...

Persistent link: https://www.econbiz.de/10009209832

Collateral, Renegotiation And The Value Of Diffusely Held Debt

Hege, Ulrich; Mella-Barral, Pierre - C.E.P.R. Discussion Papers - 2000

Debt with many creditors is analysed in a continuous-time pricing model of the levered firm. We specifically allow for debtor opportunism vis-à-vis a non-coordinated group of creditors, in form of repeated strategic renegotiation offers and default threats. We show that the creditors' initial...

Persistent link: https://www.econbiz.de/10005662221

The U-Shaped Investment Curve: Theory and Evidence

Cleary, Sean; Povel, Paul E M; Raith, Michael - C.E.P.R. Discussion Papers - 2004

This Paper examines how the investment of financially constrained firms varies with their level of internal funds. We develop a theoretical model of optimal investment under financial constraints. Our model endogenizes the costs of external funds and allows for negative levels of internal funds....

Persistent link: https://www.econbiz.de/10005789183

How to Sell a (Bankrupt) Company?

Cornelli, Francesca; Felli, Leonardo - C.E.P.R. Discussion Papers - 2001

The restructuring of a bankrupt company often entails its sale. This Paper suggests a way to sell the company that maximizes the creditors' proceeds. The key to this proposal is the option left to the creditors to retain a fraction of the shares of the company. Indeed, by retaining the minority...

Persistent link: https://www.econbiz.de/10005791603

Asset Bubbles, Domino Effects and 'Lifeboats': Elements of the East Asian Crisis

Edison, Hali J; Luangaram, Pongsak; Miller, Marcus - C.E.P.R. Discussion Papers - 1998

Credit market imperfections have been blamed for the depth and persistence of the Great Depression in the US. Could similar mechanisms have played a role in ending the East Asian miracle? After a brief account of the nature of the recent crises, we use Kiyotaki and Moore’s (1997) model of...

Persistent link: https://www.econbiz.de/10005792127

1
2
3
4
5
6
7
8
9
10
Next
Last