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The micro dynamics of macro announcements
Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - 2013
response analysis. Second, we examine the announcements effects on market volatility in a more detailed fashion by … adequately analyze both conditional mean and volatility effects. …
Persistent link: https://www.econbiz.de/10010190208
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On the estimation of the volatility-growth link
Launov, Andrey; Posch, Olaf; Wälde, Klaus - 2014
It is common practice to estimate the volatility-growth link by specifying a standard growth equation such that the … a biased and inconsistent estimate of the volatility-growth link. Our simulations show that this effect is large. Once … variance equation must include relevant control variables to estimate the volatility-growth link. …
Persistent link: https://www.econbiz.de/10010418202
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Using chebyshev polynomials to approximate partial differential equations
Caporale, Guglielmo Maria (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003712503
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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
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Incentives to (irreversible) investments under different regulatory regimes
Scarpa, Carlo; Panteghini, Paolo - 2001
This paper addresses the issue of how regulatory constraints affect firm's investment choices when the firm has the option to delay investment. The RPI-x rule is compared to a profit sharing rule, which increases the x factor in case profits go beyond a given level. It is shown that these rules...
Persistent link: https://www.econbiz.de/10011397941
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A structural model of tenure and specific investments
Teulings, Coen N.; Ende, Martin Adriaan van der - 2001
Though a lot of work has been done on the distribution of job tenures, we are still uncertain about its main determinants. In this paper, we stress random shocks to match productivity after the start of an employment relation. The specificity of investment makes hiring and separation decisions...
Persistent link: https://www.econbiz.de/10011399579
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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
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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
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Taxation under uncertainty problems of dynamic programming and contingent claims analysis in real option theory
Niemann, Rainer; Sureth, Caren - 2002
This article deals with the integration of taxes into real option-based investment models under risk neutrality and risk averison. It compares the possible approaches dynamic programming and contingent claims analysis to analyze their effects on the optimal investment rules before and after...
Persistent link: https://www.econbiz.de/10011409752
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Model averaging and value-at-risk based evaluation of large multi asset volatility models for risk management
Pesaran, M. Hashem (contributor);  … - 2004
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the …-tailed than if based on an individual underlying model with the same average volatility. Evaluation of volatility models is also …
Persistent link: https://www.econbiz.de/10002523934