Firms invest heavily in different types of business-to-business relationship marketing activities in the belief that such programs bolster their bottom line. In this study, we develop and test a conceptual model that links customer-specific relationship marketing investments to short-term,...

Nous comparons les relations de domination temporelles avec trois déformations temporelles (les temps :horloge, transaction et volume) et quatre longueurs d’intervalles de cinq à trente minutes. En accord avec les options étudiées, nous employons le modèle de valorisation de Cox, Ross et...

There are a number of reasons to assume that significant interdependences exist between the financial asset markets and the housing market. Identifying the linkages between stock, bond and housing markets may improve return forecasts in different asset markets. Interdependence and predictability...

Ultra-high-frequency data is defined to be a full record of transactions and their associated characteristics. In this paper marked point processes are applied to describe ultra-high-frequency data. By producing general marked point process sample function density, inserting the Markov process,...

In standard static Mean-Variance approach portfolio is presented by one allocation vector optimized in terms of expected returns & variance-covariance (VcV) matrix. Such one-dimensional approach is not suitable for Fixed Income: i) portfolio cannot be described by allocation vector only, and ii)...

Generally, in the financial literature, the notion of quadratic VaR is implicitly confused with the Delta-Gamma VaR, because more authors dealt with portfolios that contained derivatives instruments. In this paper, we postpone to estimate both the expected shortfall and Value-at-Risk of a...

This paper uses standard tools of empirical macro economics to examine how well the existing historical time series support a role for financial factors in real sector activity in four economies that experienced what are widely considered to be 'financial revolutions' over the past 400 years....

This paper investigates movements of market indicators of banking fragility, namely, Japan premium, stock prices, and credit derivative spreads of Japanese banks. Although the Japan premium in the euro-dollar market seemed to have virtually disappeared since April 1999, credit and default risks...

The paper estimates and examines the empirical plausibiltiy of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run risks model of Bansal and Yaron (2004), low...