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Dynamic correlation or tail dependence hedging for portfolio selection
Elkamhia, Redouane; Stefanova, Denitsa - 2010
implications and cannot substitute each other. We alsoisolate the hedging demands due to macroeconomic and market conditions that …
Persistent link: https://www.econbiz.de/10011383108
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Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong
Peeters, Bas; Dert, Cees; Lucas, André - 2003
Persistent link: https://www.econbiz.de/10001884326
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Dynamic correlation or tail dependence hedging for portfolio selection
Elkamhi, Redouane; Stefanova, Denitsa - 2011
Persistent link: https://www.econbiz.de/10008907847
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Absolute and relative anti-inflation reputation : evidence from the bond markets
Arnold, Ivo J. M.; Hertog, René G. J. den - 1995
Persistent link: https://www.econbiz.de/10000902254
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Valuing Euro rating-triggered step-up telecom bonds
Houweling, Patrick; Mentink, Albertus André; Vorst, Ton - 2003
We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando andTurnbull (1997, JLT) framework, (ii) a similar framework using historical probabilities and(iii) as plain vanilla bonds. We find that the market seems to value single step-up bondsaccording to the JLT model,...
Persistent link: https://www.econbiz.de/10011333259
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Duration & dimension
Hallerbach, Winfried G. - 1999
Persistent link: https://www.econbiz.de/10001387278
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State-aided price coordination in the dutch mortgage market
Dijkstra, Mark A.; Schinkel, Maarten-Pieter - 2019 - Revision: July 2019
mortgage providers but the largest bank shifted the Dutch mortgage market from a competitive to a collusive price leadership … equilibrium. In May 2009, mortgage rates in The Netherlands suddenly rose against the decreasing funding cost trend to almost a …, and estimate response adjustments in cointegrating equations on a large data set of daily mortgage rates 2004 …
Persistent link: https://www.econbiz.de/10011979609
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Till debt do us part : strategic divorces and a test of moral hazard
Kim, Yeorim; Mastrogiacomo, Mauro; Hochgürtel, Stefan; … - 2022
debt. We study the Dutch context, where qualifying homeowners can buy into a mortgage guarantee scheme that insures the … administrative data, we find a significant, 44% increase in the probability to divorce for households with an underwater mortgage … mortgage. Their home equity averages to about €-50.000. Couples with similar characteristics just above the qualification …
Persistent link: https://www.econbiz.de/10013332708
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Optimal hedging with the Vector Autoregressive model
Gatarek, Lukasz; Johansen, Søren - 2014
We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model …
Persistent link: https://www.econbiz.de/10010244526
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Theory of dynamic portfolio choice for maximization of survival probability
Roy, Santanu - 1992
Persistent link: https://www.econbiz.de/10000122474