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Econometric Modelling in Blockholder Systems of Corporate Governance
Manjon, M.C. - Tilburg University, Center for Economic Research - 2004
Persistent link: https://www.econbiz.de/10011090535
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The Behaviour of Implied Volatility Surface : Evidence from Crude Oil Futures Options
Bouden, Amine - 2006
In this paper, I investigate Implied Volatility Surface patterns for Call options on crude oil futures. Instead of studying the power of the large number of explanatory factors inherent to oil markets, I focus on the common characteristics of option prices. By using quadratic Implied Volatility...
Persistent link: https://www.econbiz.de/10012732899
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Conditional Beta Estimation and Forecasting with Panel Data Methods
Barnes, Michelle L. - 2005
Standard approaches to the estimation and testing of conditional CAPM models with time-varying or random beta have … ignored the potential panel nature of financial data. We test for whether or not homogeneity restrictions on the time … expected returns and beta. Further, this panel approach yields more precise parameter estimates, and a greater understanding of …
Persistent link: https://www.econbiz.de/10012735948
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Multifractal Modeling of the Us Treasury Term Structure and Fed Funds Rate
Jamdee, Sutthisit - 2005
This paper identifies the Multifractal Models of Asset Return (MMARs) from the eight nodal term structure series of US Treasury rates as well as the Fed Funds rate and, after proper synthesis, simulates those MMARs. We show that there is an inverse persistence term structure in the sense that...
Persistent link: https://www.econbiz.de/10012736805
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Interest Rate Modelling Framework in Discrete Rolling Spot Measure
Antonov, Alexandre - 2004
This paper presents a discrete framework on event time grid, for a cross-currency term structure modelling. The discrete model is generic, in the sense that it can link together any single currency model to form a multi-factor cross currency model, provided that it is known (analytically or...
Persistent link: https://www.econbiz.de/10012738507
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Investor Rationality : An Analysis of Ncreif Commercial Property Data
Hendershott, Patric H. - 2006
flows are above trend and visa versa. In the panel estimates, the opposite is seen to be the case. Whether this is due to …
Persistent link: https://www.econbiz.de/10012778902
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Identification of a Loan Supply Function : A Cross-Country Test for the Existence of a Bank Lending Channel
Brissimis, Sophocles N. - 2010
by perfect substitutability between loans and bonds in bank portfolios. Estimations are carried out on bank panel data …
Persistent link: https://www.econbiz.de/10012759250
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Are the Global REIT Markets Efficient by a New Approach?
Fang, Hao; Lee, Yen-Hsien - In: Panoeconomicus 60 (2013) 6, pp. 743-757
This study uses a panel KSS test by Nuri Ucar and Tolga Omay (2009), with a Fourier function based on the sequential … panel selection method (SPSM) procedure proposed by Georgios Chortareas and George Kapetanios(2009) to test the efficiency …) and I(1) series in a panel settingto clarify how many and which are random walk processes. Our empirical results …
Persistent link: https://www.econbiz.de/10010857980
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THE IMPACT OF GROWTH ON BIODIVERSITY: AN EMPIRICAL ASSESSMENT
SANTIS, Roberta DE - In: Journal of Applied Economic Sciences 7 (2012) 3(21)/ Fall 2012, pp. 283-290
Several studies investigating environmental Kuznets curve (EKC) relationship for biodiversity, suffer from limitations and the empirical evidence is inconclusive. More specifically, with few exceptions, the previous EKC studies for biodiversity looked into the diversity of a particular species...
Persistent link: https://www.econbiz.de/10010858980
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Extending Unobserved Heterogeneity - A Strategy for Accounting for Respondent Perceptions in the Absence of Suitable Data
Weterings, Timothy A.; Harris, Mark N.; Hollingsworth, Bruce - Department of Econometrics and Business Statistics, … - 2012
given, with extensive post-estimation analysis utilised to better assess the likely implications of model choice on …
Persistent link: https://www.econbiz.de/10010860407