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Aboura, Sofiane - Université Paris-Dauphine - 2005

European style options for various maturities. We analyze the validity of the model given its ability to price one-day ahead … out-of-sample call options and also its ability to capture the empirical dynamic of the volatility skew. First, we get a … severe mispricing for deep out-of-the-money and short term call options. Second, this model reveals a good ability to capture …

Persistent link: https://www.econbiz.de/10008520036

Pricing CAC 40 Index Options under Asymmetry of Information.

Aboura, Sofiane - Université Paris-Dauphine - 2005

This article analyses, for the first time, the financial impact on the French market of September 11th, 2001. Was there any information asymmetry around this date? How deep was the reaction of the French investors? This study measures the magnitude of the shock in the stock price process.

Persistent link: https://www.econbiz.de/10008572194

Changing Current Net Nutrition with Weight as a Measure of Net Nutritional Change with the Transition from Bound to Free Labor: A Difference-in-Decompositions Approach

Carson, Scott A. - 2019

A population’s weight conditioned on height reflects its current net nutrition and demonstrates health variation during economic development. This study builds on the use of weight as a measure for current net nutrition and uses a difference-in-decompositions technique to illustrate how black...

Persistent link: https://www.econbiz.de/10012018193

On comparing the accuracy of default predictions in the rating industry

Kraemer, Walter; Güttler, André - 2008

We consider 1927 borrowers from 54 countries who had a credit rating by both Moody's and S&P at the end of 1998, and their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we consider partial orderings among competing probability...

Persistent link: https://www.econbiz.de/10010264293

Determinants of pollution abatement and control expenditure in Romania: A multilevel analysis

Caporale, Guglielmo Maria; Rault, Christophe; Sova, Robert - 2010

The transition process in Central and Eastern Europe was associated with growing environmental awareness. This paper analyses the determinants of Pollution Abatement and Control Expenditure (PACE) at plant level in the case of Romania using survey data and a Multilevel Regression Model (MRM)....

Persistent link: https://www.econbiz.de/10010274993

Survey expectations

Pesaran, Mohammad Hashem; Weale, Martin R. - 2005

This paper focuses on survey expectations and discusses their uses for testing and modeling of expectations. Alternative models of expectations formation are reviewed and the importance of allowing for heterogeneity of expectations is emphasized. A weak form of the rational expectations...

Persistent link: https://www.econbiz.de/10010276172

A Post Bellum Paradox: Net Nutrition Variation by Socioeconomic Status, Gender and Race in the Late 19th Century

Carson, Scott Alan - 2024

When traditional measures for material conditions are scarce or unreliable, body mass, height, and weight are complements to standard income and wealth measures. A persistent question in welfare studies is the 19th century's 2nd and 3rd quarter's stature diminution, a pattern known as the...

Persistent link: https://www.econbiz.de/10014534303

Comparing Default Predictions in the Rating Industry for Different Sets of Obligors

Krämer, Walter; Neumärker, Simon - 2016

We generalize the refinement ordering for well calibrated probability forecasters to the case were the debtors under consideration are not necessarily identical. This ordering is consistent with many well known skill scores used in practice. We also add an illustration using default predictions...

Persistent link: https://www.econbiz.de/10011451384

A Female-Male Net Nutrition Comparison Using Differences-in-Decompositions: Late 19th and Early 20th Century Social Feminism and Women's Suffrage

Carson, Scott A. - 2019

When other measures for economic welfare are scarce or unreliable, the body mass index (BMI) is a biological measure that reflects current net nutrition. This study uses a difference-in-decompositions framework to analyze how women's BMIs varied with the advent of early 20th century social...

Persistent link: https://www.econbiz.de/10012179836

Voluntary and Mandatory Social Distancing: Evidence on COVID-19 Exposure Rates from Chinese Provinces and Selected Countries

Chudik, Alexander; Pesaran, M. Hashem; Rebucci, Alessandro - 2020

This paper considers a modification of the standard Susceptible-Infected-Recovered (SIR) model of epidemic that allows for different degrees of compulsory as well as voluntary social distancing. It is shown that the fraction of population that self-isolates varies with the perceived probability...

Persistent link: https://www.econbiz.de/10012208008

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