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A Simple Model of Trading and Pricing RiskyAssets Under Ambiguity: Any Lessons forPolicy-Makers?
Guidolin, Massimo; Rinaldi, Francesca - Manchester Business School - 2008
The 2007-2008 financial crises has made it painfully obvious that markets may quickly turn illiquid.Moreover, recent experience has shown that distress and lack of active trading can jump “around”between seemingly unconnected parts of the financial system contributing to transforming...
Persistent link: https://www.econbiz.de/10005870697
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Liquidity in the Foreign Exchange Market:Measurement, Commonality, and Risk Premiums
Mancini, Loriano; Ranaldo, Angelo; Wrampelmeyer, Jan - National Centre of Competence in ResearchFinancial … - 2009
This paper develops a liquidity measure tailored to the foreign exchange (FX) market, quanties the amount of … commonality in liquidity across dierent exchange rates, and determines theextent of liquidity risk premiums embedded in FX returns …. The new liquidity measure utilizesultra high frequency data and captures cross-sectional and temporal variation in FX …
Persistent link: https://www.econbiz.de/10005868531
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Konzeption eines renditeorientierten Liquiditätsmanagements für private Immobiliendirektinvestoren
Eugster, Matthias - Center for Urban & Real Estate Management <Zürich> - 2008
Der private Investor mit Fokus Immobiliendirektinvestitionen verfügt über relativ konstante Cash Flows aus dem Immobilienbestand, so wie allenfalls unregelmäßig anfallenden Erträgen aus Verkäufen, beziehungsweise Entwicklungsgewinnen. Den Erträgen stehen antizipierbare Kosten gegenüber....
Persistent link: https://www.econbiz.de/10005871043
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Contraction consistent stochastic choice correspondence
Dasgupta, Indraneel - University <Nottingham> / Department of Economics - 2008
Dasgupta andPattanaik (Econ Theory 31: 35-50, 2007) fall out as corollaries. Thus, conditions are established,under which our … for a general revealed preference theory of choice behaviour. …
Persistent link: https://www.econbiz.de/10005868593
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Revealed Preference with Stochastic DemandCorrespondence
Dasgupta, Indraneel; Pattanaik, Prasanta K. - University <Nottingham> / Department of Economics; … - 2007
We unify and expand the theory of consumer’s behavior, based on Samuelson’s Weak Axiomof Revealed Preference, to permit …
Persistent link: https://www.econbiz.de/10005868598
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Testing for Concordance Ordering
Cebrian, Ana C.; Denuit, Michel; Scaillet, Olivier - 2002
This paper delevops a tools to analyse the ordering of concordance of random vectors.
Persistent link: https://www.econbiz.de/10005843302
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Nonparametric Tests for Positive Quadrant Dependence
Denuit, Michel; Scaillet, Olivier - 2001
This papfer deals with distributional free inference to test for positive quadrant dependence, i.e. for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent.
Persistent link: https://www.econbiz.de/10005843307
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Closed Form Integration of Artificial Neural Networks With Some Applications to Finance
Gottschling, Andreas; Haefke, Christian; White, Halbert - 1999
Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...
Persistent link: https://www.econbiz.de/10005843731
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Model Risk for European Stock Index Options
Gençay, Ramo; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
In empirical modeling, there have been two strands for pricing in the options literature, namely the parametric and nonparametric models. Often, the support for the nonparametric methods is based on a benchmark such as theBlack-Scholes model with constant volatility. In this paper, we examine...
Persistent link: https://www.econbiz.de/10005857988
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Firm Specific Wage Spread in Germany - Decomposition of regional differences in inter firm wage dispersion
Görzig, Bernd; Gornig, Martin; Werwatz, Axel - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006
The purpose of this paper is to sort out firm-related differences from effects that result from different economic structures. A non-parametric decomposition is used to analyse firm level difference between the wage spread in the two major regions of unified Germany. If firm-specific effects...
Persistent link: https://www.econbiz.de/10005861315