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Hidden skewness : on the difficulty of multiplicative compounding under random shocks

Ensthaler, Ludwig; Nottmeyer, Olga; Weizsäcker, Georg; … - 2014

Multiplicative growth processes that are subject to random shocks often have a skewed distribution of outcomes. In a number of incentivized laboratory experiments we show that a large majority of participants either strongly underestimate skewness or ignore it completely. Participants...

Persistent link: https://www.econbiz.de/10010345197

Extracting leading indicators of bank fragility from market prices : Estonia focus

Chen, Yu-Fu (contributor); Funke, Michael (contributor); … - 2006

Banking reform has proved to be one of the most problematic elements of economic transition in central and Eastern Europe. Therefore the paper considers the development of the Estonian banking sector and derives individual banks ́fragility scores during transition. To this end we use...

Persistent link: https://www.econbiz.de/10003300957

Corporate debt, hybrid securities and the effective tax rate

Panteghini, Paolo (contributor) - 2008

In this article we use contingent-claim analysis to calculate the effective tax rate (ETR) under corporate debt finance. In particular, we deal with both pure debt and two of the most well-known hybrid securities, i.e., convertible, and reverse convertible bonds. We show that: 1) effective...

Persistent link: https://www.econbiz.de/10003720594

Using chebyshev polynomials to approximate partial differential equations

Caporale, Guglielmo Maria (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003712503

A probabilistic solution to high-dimensional continuous-time macro and finance models

Ji, Huang - 2023

This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential equations (SDE) govern the dynamics of backward-looking variables, and backward SDEs capture that of forward-looking variables. Deep learning streamlines the search for the...

Persistent link: https://www.econbiz.de/10014331249

The short-term effects of generative artificial intelligence on employment : evidence from an online labor market

Hui, Xiang; Reshef, Oren; Zhou, Luofeng - 2023

Generative Artificial Intelligence (AI) holds the potential to either complement knowledge workers by increasing their productivity or substitute them entirely. We examine the short-term effects of the recent release of the large language model (LLM), ChatGPT, on the employment outcomes of...

Persistent link: https://www.econbiz.de/10014323255

Offshoring and volatility of demand

Benz, Sebastian; Kohler, Wilhelm; Yalçin, Erdal - 2016

offshoring plays for domestic volatility of employment. Offshoring is modeled as in Antràs & Helpman (2004), but we assume … has a pro-offshoring effect. And 2), under this same condition, offshoring increases volatility in domestic employment of … offshoring firms and the volatility of offshore employment of these same firms is larger than volatility of domestic employment. …

Persistent link: https://www.econbiz.de/10011497799

National and supranational business cycles (1960 - 2000) : a multivariate description of central G7 and EURO15 NIPA aggregates

Süssmuth, Bernd - 2002

This paper applies volatility measures and VAR spectral analytic techniques to give a thorough description of the ….The central findings are summarized with regard to (i) national product share, contribution-to-variance and volatility …

Persistent link: https://www.econbiz.de/10011408998

Total, asymmetric and frequency connectedness between oil and forex markets

Baruník, Jozef; Kočenda, Evžen - 2019

that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio … shocks dominate forex volatility connectedness, positive shocks prevail when oil and forex markets are assessed jointly …

Persistent link: https://www.econbiz.de/10012035050

Modelling volatility of cryptocurrencies using Markov-switching GARCH models

Caporale, Guglielmo Maria; Zekokh, Timur - 2018

This paper aims to select the best model or set of models for modelling volatility of the four most popular …

Persistent link: https://www.econbiz.de/10011882344