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Capital structure arbitrage revisited
Wojtowicz, Marcin - 2014
We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … annualized return of 24.35% on invested capital. The arbitrage returns are higher for lower rated companies and surprisingly they …
Persistent link: https://www.econbiz.de/10010415520
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OPEC, shale oil, and global warming : on the importance of the order of extraction
Benchekroun, Hassan; Meijden, Gerard van der; Withagen, Cees - 2017
We show that OPEC's market power contributes to global warming by enabling producers of relatively expensive and dirty oil to start producing before OPEC reserves are depleted. We fully characterize the equilibrium of a cartel-fringe model and use a calibration to examine the importance of this...
Persistent link: https://www.econbiz.de/10011773005
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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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Smooth transition spatial autoregressive models
Andree, Bo Pieter Johannes; Blasques, Francisco; … - 2017
geometric ergodicity of the model. Simulation results justify the use of limit theory in empirically relevant settings. The …
Persistent link: https://www.econbiz.de/10011658755
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Demography and provisions for retirement : the pension composition, an equilibrium approach
Praag, Bernard M. S. van; Hop, J. Peter - 2018
Pensions may be provided for in a modern society by several methods, viz., voluntary individual savings, mandatory fully funded occupational pension systems, and mandatory social security financed by pay-as-you-go. The specific mixture of the three systems we will call the pension composition....
Persistent link: https://www.econbiz.de/10011870742
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The influence of exogenous variables on long run parameters : an application to price level and import demand models
Kleibergen, Frank - 1995
Persistent link: https://www.econbiz.de/10000912281
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Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier approaches that have been applied to oil price forecasting, by allowing...
Persistent link: https://www.econbiz.de/10012545165
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Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier approaches that have been applied to oil price forecasting, by allowing...
Persistent link: https://www.econbiz.de/10012795319
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Cross- and auto-correlation effects arising from averaging : the case of US interest rates and equity duration
Hallerbach, Winfried G. - 2000
Most of the available monthly interest data series consist of monthlyaverages of daily observations. It is well-known that this averaging introduces spurious autocorrelation effectsin the first differences of the series. It isexactly this differenced series we are interested in when...
Persistent link: https://www.econbiz.de/10011303868
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The effects of learning in interactive monetary policy committees
Berk, Jan Marc; Bierut, Beata K. - 2004
We develop a theoretical framework for studying the effects of interaction on the quaJity of decision-making by monetary policy committees. We show that interaction, i.e. increasing one's expertise through an exchange of views, is most likely not to result in interdependent voting...
Persistent link: https://www.econbiz.de/10011334835