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Hierarchical time varying estimation of a multi factor asset pricing model

Baillie, Richard; Calonaci, Fabio; Kapetanios, George - 2019

This paper presents a new hierarchical methodology for estimating multi factor dynamic asset pricing models. The approach is loosely based on the sequential approach of Fama and MacBeth (1973). However, the hierarchical method uses very flexible bandwidth selection methods in kernel weighted...

Persistent link: https://www.econbiz.de/10011960113

Conditional correlations in the returns on oil companies stock prices and their determinants

Giovannini, Massimo; Grasso, Margherita; Lanza, Alessandro - 2004

The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of...

Persistent link: https://www.econbiz.de/10011603089

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

The importance of leasing for SME finance

Kraemer-Eis, Helmut; Lang, Frank - 2012

It is well known that Micro and Small and Medium sized Enterprises (SMEs) are the backbone of the economy. Most of these companies use external financing sources like debt and equity capital to finance their activities. However, in general, in the area of SMEs' access to finance, there are...

Persistent link: https://www.econbiz.de/10011862387

Trees and greenhouse : the costs of sequestering Australian transport emissions

Motha, Joe (agent) - 1996

Persistent link: https://www.econbiz.de/10000960869

European forests and carbon sequestration services: an economic assessment of climate change impacts

Ding, Helen; Nunes, Paulo A. L. D.; Teelucksingh, Sonja - 2010

This paper reports an original economic valuation of the impact of climate change on the provision of forest regulating services in Europe. To the authors’ knowledge the current paper represents the first systematic attempt to estimate human well-being losses with respect to changes in...

Persistent link: https://www.econbiz.de/10008702331

A hybrid approach to the valuation of climate change effects on ecosystem services: evidence from the European forests

Ding, Helen; Silvestri, Silvia; Chiabai, Aline; Nunes, … - 2010

In this paper we present a systematic attempt to assess economic value of climate change impact on forest ecosystems and human welfare. In the present study, climate change impacts are downscaled to the different European countries, which in turn constitute the elements of our analysis. First,...

Persistent link: https://www.econbiz.de/10008728741

The economic and environmental effects of an EU ban on illegal logging imports : insights from a CGE assessment

Bosello, Francesco; Parrado, Ramiro; Rosa, Renato - 2010

. -- Forestry ; Illegal Logging ; International Trade ; Economy and Environment ; Computable General Equilibrium Models …

Persistent link: https://www.econbiz.de/10008729121

Modeling linkages between climate policy and land use : an overview

Van der Werf, Edwin (contributor); … - 2007

Agriculture and forestry play an important role in emitting and storing greenhouse gases. For an efficient and cost …-effective climate policy it is therefore important to explicitly include land use, land use change, and forestry (LULUCF) in … forestry into climate-economy models or to link economy-climate models to land-use models. …

Persistent link: https://www.econbiz.de/10003544556

Forestry and the carbon market : response to stabilize climate

Tavoni, Massimo (contributor); Sohngen, Brent (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003545185

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