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An interpretation of an affine term structure model for Chile

Ochoa, J. Marcelo - In: Estudios de economía 33 (2006) 2, pp. 155-184

This paper attempts to provide an economic interpretation of the factors that drive the movements of interest rates of bonds of different maturities in a continuous-time no-arbitrage term structure model for Chile. The dynamics of yields in the model are explained by two latent factors, namely...

Persistent link: https://www.econbiz.de/10009959071

Problema de calibración de mercado y estructura implícita del modelo de bonos de Black-Cox

Sukhomlin, Nikolay; Santana Jiménez, Lisette Josefina - In: Revista de métodos cuantitativos para la economía y … 10 (2010), pp. 73-98

The main result of this paper consists in the resolution of the inverse problem for the Black-Cox (1976) model, using the method proposed by Sukhomlin (2007). Based on the backward approach, we obtain an exact expression of the implied volatility expressed as a function of quantifiable market...

Persistent link: https://www.econbiz.de/10009957380

The role of savings in the economic development of the Republic of Azerbaijan

Bairamli, Nagi; Kostoglou, Vassilis - In: International journal of economic sciences and applied … 3 (2010) 2, pp. 99-110

economic development of the Republic of Azerbaijan. Currently, the national economic growth is mostly based on the resource …. The mobilization of domestic savings is crucial for raising the economic growth and promoting development, as it is the … growth. -- economic growth and development ; savings ; investments ; financial institutions …

Persistent link: https://www.econbiz.de/10009958056

The effect of stock market wealth on private consumption in Zimbabwe

Bindu, Samuel; Chigusiwa, Lloyd; Mazambani, D.; … - In: International journal of economic sciences and applied … 4 (2011) 2, pp. 125-142

The study seeks to examine stock market wealth effects on private non-durable consumption for Zimbabwean households using quarterly data from 1994(1) to 2008(2). The bounds testing approach to cointegration is employed to test the long run relationship between stock market wealth and...

Persistent link: https://www.econbiz.de/10009958072

¿Cómo valorar los planes de pensiones del sistema individual en España?

García Padrón, Yaiza; García Boza, Juan - In: Estudios de economía 33 (2006) 1, pp. 21-43

We analyse diverse multifactor pricing models in order to determine if they allow to explain the variability of the returns on the personal Pension Plans in Spain between 1995 and 2003, as well as to find their sources of risks. We test the following models: APT, the one suggested by Chen, Roll...

Persistent link: https://www.econbiz.de/10009959069

Ukrainian companies on the Warsaw Stock Exchange : current state and future trends

Perz, Paweł; Kaźmierkiewicz, Piotr; Dzyuma, Ulyana; … - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 4, pp. 100-137

As a result of globalization trends many businesses are able to raise capital not only in their domestic market, but also abroad. Among the stock exchanges which have managed to attract foreign companies is the Warsaw Stock Exchange. Over the past few years many companies from Ukraine have...

Persistent link: https://www.econbiz.de/10009959725

The use of behavioral finance in the wealth management process

Opolski, Krzysztof; Potocki, Tomasz - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 4, pp. 55-65

The economic theories taking into consideration human behavior and based on the achievements of psychology, sociology, anthropology have been evolving at a blistering pace over the last decade. Owing to that, the behavioral finance has become one of the fastest developing academic areas focused...

Persistent link: https://www.econbiz.de/10009959729

The day-of-the-week effect for Istanbul stock exchange : a stochastic dominance approach

Başdaş, Ülkem - In: Journal of applied finance & banking 1 (2011) 4, pp. 223-238

Using the Stochastic Dominance (SD) approach, this paper revisits the day-of-the-week effect for a developing market, the Istanbul Stock Exchange (ISE). SD results provide different results independent of distribution assumptions. The results indicate that Monday and Tuesday cannot be dominated...

Persistent link: https://www.econbiz.de/10010009094

The equity premium puzzle : pitfalls in estimating the coefficient of relative risk aversion

Donadelli, Michael; Prosperi, Lorenzo - In: Journal of applied finance & banking 2 (2012) 2, pp. 177-213

Standard consumption-based models typically fail in pricing asset returns. In a famous seminal paper, Mehra and Prescott (1985), using a standard consumption model, prove the presence of a puzzle (i.e. equity premium puzzle). The recent financial literature still has to provide a convincing...

Persistent link: https://www.econbiz.de/10010009117

Financial liberalization and banking crisis : a spatial panel model

Triki, Mohamed Bilel; Maktouf, Samir - In: Journal of applied finance & banking 2 (2012) 3, pp. 81-122

emerging market economies and also to American and European countries in 2007 crisis. However, credit growth, a negative GDP … growth and a high real interest rate are on average the most important causes of a banking crisis. Besides we find that the …

Persistent link: https://www.econbiz.de/10010009130