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Environmental options and technological innovation : an evolutionary game model
Antoci, Angelo; Borghesi, Simone; Galeotti, Marcello - 2009
This paper analyses the effects on economic agents' behaviour of an innovative environmental protection mechanism that the Public Administration of a tourist region may adopt to attract visitors while protecting the environment. On the one hand, the Public Administration sells to the tourists an...
Persistent link: https://www.econbiz.de/10008823899
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The evolution of core stability in decentralized matching markets
Nax, Heinrich H.; Pradelski, Bary S. R.; Young, H. Peyton - 2013
Decentralized matching markets on the internet allow large numbers of agents to interact anonymously at virtually no cost. Very little information is available to market participants and trade takes place at many different prices simultaneously. We propose a decentralized, completely uncoupled...
Persistent link: https://www.econbiz.de/10009756276
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The contribution of frictions to expected returns
Hirakiy, Kazuhiro; Skiadopoulos, George - 2018
We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...
Persistent link: https://www.econbiz.de/10011932555
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The contribution of transaction costs to expected stock returns : a novel measure
Hiraki, Kazuhiro; Skiadopoulos, George - 2023
We document that a theoretically founded, real-time, and easy-to-implement option-based measure, termed synthetic-stock difference (SSD), accurately estimates the part of stock's expected return arising from stock's transaction costs. We calculate SSD for U.S. optionable stocks. SSD can be more...
Persistent link: https://www.econbiz.de/10014231634
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Integrated ARCH, FIGARCH and AR models : origins of long memory
Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius - 2015
Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH … solution was not established in the literature. These two popular ARCH type models which are widely used in applied literature … exist. Since ARCH models with non-zero intercept have a unique stationary solution and exclude long memory, the existence of …
Persistent link: https://www.econbiz.de/10011405303
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STAR-GARCH models for stock market interactions in the Pacific Basin region, Japan and US
Busetti, Giorgio; Manera, Matteo - 2003
We investigate the financial interactions between countries in the Pacific Basin region (Korea, Singapore, Malaysia, Hong Kong and Taiwan), Japan and US. The originality of the paper is the use of STAR-GARCH models, instead of standard correlation-cointegration techniques. For each country in...
Persistent link: https://www.econbiz.de/10011591386
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Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023
This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models such as Generalized Autoregressive Conditional...
Persistent link: https://www.econbiz.de/10014252427
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Oil price dynamics, macro-finance interactions and the role of financial speculation
Morana, Claudio - 2012 - First draft December 2011; this draft February 2011
What is the role of financial speculation in determining the real oil price? We find that while macroeconomic shocks have been the major upward driver of the real oil price since the mid 1980s, also financial shocks have sizably contributed since the early 2000s, and at a much larger extent...
Persistent link: https://www.econbiz.de/10009506394
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The oil price-macroeconomy relationship since the mid-1980s : a global perspective
Morana, Claudio - 2012 - This draft April, 17, 2012
In this paper the oil price-macroeconomy relationship is investigated from a global perspective, by means of a large scale macro-financial-econometric model. In addition to real activity, fiscal and monetary policy responses and labor and financial markets are considered as well. We find that...
Persistent link: https://www.econbiz.de/10009535971
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Risk spillovers between global corporations and Latin American sovereigns : global factors matter
Gómez González, José Eduardo; Uribe, Jorge; … - 2022
This paper studies volatility spillovers in credit default swaps (CDS) between the corporate sectors and Latin American countries. Daily data from October 14, 2006, to August 23, 2021, are employed. Spillovers are computed both for the raw data and for filtered series which factor out the effect...
Persistent link: https://www.econbiz.de/10014495999