Showing 1 - 7 of 7
We characterize a firm as a nexus of activities and projects with their associated cashflow distributions across states of the world and time. With specialized managers intent on maximizing firm value, we show that such a representation leads to a transformation possibility frontier between the...
Persistent link: https://www.econbiz.de/10008617033
To match the stylized facts of high frequency financial time series precisely and parsimoniously, this paper presents a finite mixture of conditional exponential power distributions where each component exhibits asymmetric conditional heteroskedasticity. We provide stationarity conditions and...
Persistent link: https://www.econbiz.de/10005784565
To match the stylized facts of high frequency financial time series precisely and parsimoniously, this paper presents a finite mixture of conditional exponential power distributions where each component exhibits asymmetric conditional heteroskedasticity. We provide stationarity conditions and...
Persistent link: https://www.econbiz.de/10005015279
We estimate by Bayesian inference the mixed conditional heteroskedasticity model of (Haas, Mittnik, and Paolella 2004a). We construct a Gibbs sampler algorithm to compute posterior and predictive densities. The number of mixture components is selected by the marginal likelihood criterion. We...
Persistent link: https://www.econbiz.de/10005651477
Royal Bank and the Placer Dome stocks traded on the Toronto Stock Exchange. Results show that our approach constitutes …
Persistent link: https://www.econbiz.de/10005696310
, our data from a very large US bank show that this bank could suffer, on average, more than four major losses a year. This … bank had seven losses exceeding hundreds of millions of dollars over its 52 documented losses of more than $1 million … characteristic exponent is 0.95 ? ? ? 1) shows that this bank can fear extreme operational losses ranging from $1 billion to $11 …
Persistent link: https://www.econbiz.de/10008512963
preventing bank runs. Pricing deposit insurance according to the individual bank's risk seems to be the most appropriate strategy … countries as part of their national regulation of banks' risk. Current regulation of bank capital adequacy has its critics … major source of a bank's risk (about 70%). Moreover, diversification of a bank's credit-risk portfolio is not taken into …
Persistent link: https://www.econbiz.de/10005696337