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Hidden Markov models with t components. Increased persistence and other aspects
Bulla, Jan - Volkswirtschaftliche Fakultät, … - 2009
Hidden Markov models have been applied in many different fields during the last decades, including econometrics and finance. However, the lion’s share of the investigated models is Markovian mixtures of Gaussian distributions. We present an extension to conditional t-distributions, including...
Persistent link: https://www.econbiz.de/10008543807
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Markov-switching Asset Allocation: Do Profitable Strategies Exist?
Bulla, Jan; Mergner, Sascha; Bulla, Ingo; Sesboüé, André - Volkswirtschaftliche Fakultät, … - 2010
This paper proposes a straightforward Markov-switching asset allocation model, which reduces the market exposure to periods of high volatility. The main purpose of the study is to examine the performance of a regime-based asset allocation strategy under realistic assumptions, compared to a buy...
Persistent link: https://www.econbiz.de/10008592944
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A Simple Model of Speculation- The Welfare Analysis and Some Problems in the Decision Making Theory
Aoki, Takaaki - Volkswirtschaftliche Fakultät, … - 2003
This article analyzes the effect of speculation on the economic welfare from various criteria, using a simple Edgeworth … box within a three-period Walrasian competition framework. Here “speculation” is defined as a series of transition …), and economic value of speculation by Hirshleifer (1971, 1975, 1977). It is explicitly shown that the complete sharing of …
Persistent link: https://www.econbiz.de/10005789313
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The real estate bubble in spain has been Pumped Up by All of Us
Müller, Stefanie Claudia - Volkswirtschaftliche Fakultät, … - 2011
important role in prolonging the speculation in the real estate sector. For the first time it is proven that the guilt for the …
Persistent link: https://www.econbiz.de/10009418475
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Hedging vs. speculative pressures on commodity futures returns
Cifarelli, Giulio; Paladino, Giovanna - Volkswirtschaftliche Fakultät, … - 2011
This study introduces a non linear model for commodity futures prices which accounts for pressures due to hedging and speculative activities. The linkage with the corresponding spot market is considered assuming that a long term equilibrium relationship holds between futures and spot pricing....
Persistent link: https://www.econbiz.de/10008805878
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The effect of opening up ANWR to drilling on the current price of oil
Coats, R. Morris; Pecquet, Gary M. - Volkswirtschaftliche Fakultät, … - 2008
The Effect of Opening up ANWR to Drilling on the Current Price of Oil R. Morris Coats and Gary M. Pecquet
Persistent link: https://www.econbiz.de/10005622049
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Uncertainty and Currency Crises: Evidence from Survey Data
Prati, Alessandro; Sbracia, Massimo - Volkswirtschaftliche Fakultät, … - 2010
This paper studies empirically how uncertainty affects speculation in the foreign exchange markets. We use the …
Persistent link: https://www.econbiz.de/10008592942
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Speculative Trade under Unawareness: The Infinite Case
Meier, Martin; Schipper, Burkhard C - Volkswirtschaftliche Fakultät, … - 2010
We generalize the "No-trade" theorem for finite unawareness belief structures in Heifetz, Meier, and Schipper (2009) to the infinite case.
Persistent link: https://www.econbiz.de/10008636463
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Speculation and Demand Reduction in English Clock Auctions with Resale
Saral, Krista Jabs - Volkswirtschaftliche Fakultät, … - 2010
hypotheses of speculation (bidding above value) and demand reduction (bidding below value) which are directly tested in a … to the final buyer in resale and when the bargaining power is shifted toward the reseller, speculation is observed. The …. When the reseller has the bargaining power, and speculation is observed, this loss in revenue is somewhat mitigated by …
Persistent link: https://www.econbiz.de/10008645080
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Speculation, Futures Prices, and the U.S. Real Price of Crude Oil
Stevans, Lonnie; Sessions, David - Volkswirtschaftliche Fakultät, … - 2008
wanted to limit speculation in the oil market, it should keep the shorter-term futures contracts and eliminate the more …
Persistent link: https://www.econbiz.de/10005837084