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Modelling general dependence between commodity forward curves

Zolotko, Mikhail; Okhrin, Ostap - 2012

This study proposes a novel framework for the joint modelling of commodity forward curves. Its key contribution is twofold. First, dynamic correlation models are applied in this context as part of the modelling scheme. Second, we introduce a family of dynamic conditional correlation models based...

Persistent link: https://www.econbiz.de/10009631566

Cartelization through buyer groups

Doyle, Chris; Han, Martijn A. - 2012

Retailers may enjoy stable cartel rents in their output market through the formation of a buyer group in their input market. A buyer group allows retailers to credibly commit to increased input prices, which serve to reduce combined final output to the monopoly level; increased input costs are...

Persistent link: https://www.econbiz.de/10009631585

Private and public control of management

Angelucci, Charles; Han, Martijn A. - 2012

This paper investigates the design of a leniency policy to fight corporate crime. We explicitly take into account the agency problem within the firm. We model this through a three-tier hierarchy: authority, shareholder, and manager. The manager may breach the law and report evidence to the...

Persistent link: https://www.econbiz.de/10009631586

Covered bonds, core markets, and financial stability

Anand, Kartik; Chapman, James; Gai, Prasanna - 2012

We examine the financial stability implications of covered bonds. Banks issue covered bonds by encumbering assets on their balance sheet and placing them within a dynamic ring fence. As more assets are encumbered, jittery unsecured creditors may run, leading to a banking crisis. We provide...

Persistent link: https://www.econbiz.de/10009634304

Herding in financial markets : bridging the gap between theory and evidence

Boortz, Christopher; Jurkatis, Simon; Kremer, Stephanie; … - 2013

Due to data limitations and the absence of testable, model-based predictions, theory and evidence on herd behavior are … use numerical simulations of a herd model to derive new, theory-based predictions for aggregate herding intensity. From an … empirical perspective, we employ high-frequency, investor-specific trading data to test the theory-implied impact of information …

Persistent link: https://www.econbiz.de/10009777856

A new perspective on the economic valuation of informal care : the well-being approach revisited

Kehl, Konstantin; Stahlschmidt, Stephan - 2013

Informal care has drawn much attention among scholars and policymakers as it concerns an essential but hard to evaluate resource of welfare. Albeit several studies addressed the monetary value of informal care, differences in the relationship between caregivers and recipients have often been...

Persistent link: https://www.econbiz.de/10009777865

Default risk calculation based on predictor selection for the Southeast Asian industry

Härdle, Wolfgang; Prastyo, Dedy Dwi - 2013

Probability of default prediction is one of the important tasks of rating agencies as well as of banks and other financial companies to measure the default risk of their counterparties. Knowing predictors that significantly contribute to default prediction provides a better insight into...

Persistent link: https://www.econbiz.de/10009779289

Location, location, location : extracting location value from house prices

Kolbe, Jens; Schulz, Rainer; Wersing, Martin; Werwatz, Axel - 2012

The price for a single-family house depends both on the characteristics of the building and on its location. We propose a novel semiparametric method to extract location values from house prices. After splitting house prices into building and land components, location values are estimated with...

Persistent link: https://www.econbiz.de/10009540136

Volatility of price indices for heterogeneous goods

Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2012

Price indices for heterogenous goods such as real estate or fine art constitute crucial information for institutional or private investors considering alternative investments in times of financial markets turmoil. Classical mean-variance analysis of alternative investments has been hampered by...

Persistent link: https://www.econbiz.de/10009540165

The labor share : a review of theory and evidence

Schneider, Dorothee - 2011

Persistent link: https://www.econbiz.de/10009349127