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Döttling, Robin; Ladika, Tomislav; Perotti, Enrico C. - 2016

In response to technological change, U.S. corporations have been investing more in intangible capital. This transformation is empirically associated with lower leverage and greater cash holdings, and commonly explained as a precautionary response to reduced debt capacity. We model how firms'...

Persistent link: https://www.econbiz.de/10011556238

The valuation and hedging of variable rate savings account

Jong, Frank de; Wielhouwer, Jacco L. - 2001

Variable rate savings accounts have two main features. The client rate is variable and deposits can be invested and withdrawn at any time. However, customer behaviour is not fully rational and actions are often performed with a delay. This paper focusses on measuring the interest rate risk of...

Persistent link: https://www.econbiz.de/10011318571

Evaluating the capacity of standard investment appraisal methods : evidence from the practice

Akalu, Mehari Mekonnen - 2002

Persistent link: https://www.econbiz.de/10001699706

A Monte Carlo comparison between the free cash flow and discounted cash flow approaches

Akalu, Mehari Mekonnen; Turner, Rodney - 2002

Persistent link: https://www.econbiz.de/10001699714

Strong stochastic bounds for the stationary distribution of a class of multicomponent performability models

Taylor, P. G.; Dijk, Nicolaas M. van - 1994

Persistent link: https://www.econbiz.de/10000151658

Tail distribution of the maximum of correlated Gaussian random variables

Botev, Zdravko I.; Mandjes, Michel; Ridder, Ad - 2015

In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...

Persistent link: https://www.econbiz.de/10011431354

Flexible mixture-amount models for business and industry using Gaussian processes

Ruseckaite, Aiste; Fok, Dennis; Goos, Peter - 2016

Many products and services can be described as mixtures of ingredients whose proportions sum to one. Specialized models have been developed for linking the mixture proportions to outcome variables, such as preference, quality and liking. In many scenarios, only the mixture proportions matter for...

Persistent link: https://www.econbiz.de/10011531150

A weak bifurcation theory for discrete time stochastic dynamical systems

Diks, Cees G. H.; Wagener, Florian Oskar Ottokar - 2006

This article presents a bifurcation theory of smooth stochastic dynamical systems that are governed by everywhere … of the system. By introducing a weak equivalence notion of these dependence ratios, we arrive at a bifurcation theory for … which in the compact case, the set of stable (non-bifurcating) systems is open and dense. The theory is illustrated with …

Persistent link: https://www.econbiz.de/10011349208

Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model

Koopman, Siem Jan; Lucas, André; Ooms, Marius; … - 2007

We model panel data of crime careers of juveniles from a Dutch Judicial Juvenile Institution. The data are decomposed into a systematic and an individual-specific component, of which the systematic component reflects the general time-varying conditions including the criminological climate....

Persistent link: https://www.econbiz.de/10011372520

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10011373822

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