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Menkveld, Bert - Tinbergen Institute - 2001

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais et al. (2000), a phenomenon increasingly witnessed in modern markets. The key assumption generating the results is that there is at least one liquidity demander exploiting access to all markets by...

Persistent link: https://www.econbiz.de/10005209503

Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures

Lean, Hooi Hooi; McAleer, Michael - Tinbergen Instituut - 2013

This paper examines risk-averse and risk-seeking investor preferences for oil spot and futures prices by using the mean …

Persistent link: https://www.econbiz.de/10011256736

Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013

-trading, using CARRX models to study factors affecting the volatilities of Asian equity markets, deciphering the Libor and Euribor … America, time-varying mixture GARCH models and asymmetric volatility, and diagnostic checking for non-stationary ARMA models …

Persistent link: https://www.econbiz.de/10011256871

Splitting Orders in Fragmented Markets

Menkveld, Bert - Tinbergen Instituut - 2001

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...

Persistent link: https://www.econbiz.de/10011256874

Mutual Funds and Information Diffusion: The Role of Country-Level Governance

Lin, Chunmei; Massa, Massimo; Zhang, Hong - Tinbergen Instituut - 2014

We hypothesize that poor country-level governance, which makes public information less reliable, induces fund managers to increase their use of semi-public information. Utilizing data from international mutual funds and stocks over the 2000-2009 period, we find that semi-public...

Persistent link: https://www.econbiz.de/10011272600

Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements

Lizyayev, Andrey - Tinbergen Instituut - 2010

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...

Persistent link: https://www.econbiz.de/10011255464

Volatility Spillovers from the US to Australia and China across the GFC

Allen, David E.; McAleer, Michael; Powell, R.J.; Singh, A.K. - Tinbergen Instituut - 2013

This paper features an analysis of volatility spillover effects from the US market, represented by the S&P500 index to the Australian capital market as represented by the Australian S&P200 for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global...

Persistent link: https://www.econbiz.de/10011255545

Insurance Sector Risk

Slijkerman, Jan Frederik - Tinbergen Instituut - 2006

We model and measure simultaneous large losses of the market value of insurers to understand the impact of shocks on the insurance sector. The downside risk of insurers is explicitly modelled by common and idiosyncratic risk factors. Since reinsurance is important for the capacity of insurers,...

Persistent link: https://www.econbiz.de/10011255587

Model-based Measurement of Actual Volatility in High-Frequency Data

Jungbacker, B.; Koopman, S.J. - Tinbergen Instituut - 2005

empirical finance literature it is known that tick-by-tick prices are subject to market micro-structure such as bid-ask bounces … and trade information. Such market micro-structure effects become more and more apparent as prices or returns are sampled … mean and variance of high-frequency prices simultaneously. An illustration is given for three months of tick …

Persistent link: https://www.econbiz.de/10011255617

Stock Selection Strategies in Emerging Markets

Hart, Jaap van der; Slagter, Erica; Dijk, Dick van - Tinbergen Instituut - 2001

This discussion paper resulted in a publication in 'Emerging Markets Review', 2005, 6, 238-262.<P> See also the publication in the 'Journal of Empirical Finance', 2003, 10, 1-5=132.<P> Recent empirical evidence suggests that value and momentum strategies generate significantexcess returns in emerging...</p></p>

Persistent link: https://www.econbiz.de/10011255877

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