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Do Firms Sell Forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas
van Eijkel, Remco - 2010
Building on a model of the interaction of risk-averse firms that compete in forward and spot markets, we develop an empirical strategy to test whether oligopolistic firms use forward contracts for strategic motives, for risk-hedging, or for both. An increase in the number of players weakens the...
Persistent link: https://www.econbiz.de/10013135361
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The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis
Gronwald, Marc - 2013
This paper applies different copulas in order to investigate the complex dependence structure between EU emission allowance (EUA) futures returns and those of other commodities, equity and energy indices. The analysis yields important insights into the relationship between carbon, commodities...
Persistent link: https://www.econbiz.de/10013093522
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A Strategic R&D Investment with Flexible Development Time in Real Option Game Analysis
Villani, Giovanni - 2009
The real option theory provides a useful tool to evaluate an R&D investment under uncertainty because, unlike the NPV … considerations become extremely important. In this paper we analyze a real option game between two firms that invest in R&D. The firm … externalities and so, the option exercise by the Leader generates an “Information Revelation” that benefits the Follower. Moreover …
Persistent link: https://www.econbiz.de/10013157504
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Firm Heterogeneity and Credit Risk Diversification
Pesaran, M. Hashem - 2013
This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic and idiosyncratic risks and the nature of firm heterogeneity. It documents a rich and complex interaction between the underlying model...
Persistent link: https://www.econbiz.de/10012754519
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A Strategic R&D Investment with Flexible Development Time in Real Option Game Analysis
Villani, Giovanni - CESifo - 2009
The real option theory provides a useful tool to evaluate an R&D investment under uncertainty because, unlike the NPV … considerations become extremely important. In this paper we analyze a real option game between two firms that invest in R&D. The firm … externalities and so, the option exercise by the Leader generates an “Information Revelation” that benefits the Follower. Moreover …
Persistent link: https://www.econbiz.de/10005013067
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Time-Varying Spot and Futures Oil Price Dynamics
Caporale, Guglielmo Maria - 2013
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10013094836
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Time-Varying Spot and Futures Oil Price Dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - CESifo - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10008534005
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The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis
Gronwald, Marc; Ketterer, Janina; Trück, Stefan - CESifo - 2011
This paper applies different copulas in order to investigate the complex dependence structure between EU emission allowance (EUA) futures returns and those of other commodities, equity and energy indices. The analysis yields important insights into the relationship between carbon, commodities...
Persistent link: https://www.econbiz.de/10008914281
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Do Firms Sell Forward for Strategic Reasons? An Application to the Wholesale Market for Natural Gas
Eijkel, Remco van; Gonzalez, José Luis Moraga - CESifo - 2010
Building on a model of the interaction of risk-averse firms that compete in forward and spot markets, we develop an empirical strategy to test whether oligopolistic firms use forward contracts for strategic motives, for risk-hedging, or for both. An increase in the number of players weakens the...
Persistent link: https://www.econbiz.de/10008799744
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Log-Normal Approximation of the Equity Premium in the Production Model
Heer, Burkhard - 2011
The conditional equity premium in the model with production is often approximated by assuming a jointly log-normal distribution of the marginal rate of substitution in consumption and the marginal productivity of capital. We show that, for standard parameterization, this premium is about one...
Persistent link: https://www.econbiz.de/10013131345