The effect of model and parameter misspecification on the effectiveness of Gaussian hedging strategies for derivative financial instruments is analyzed, showing that Gaussian hedges in the `natural'' hedging instruments are particularly robust. This is true for all models that imply...

In this paper, the effects of so-called model misspecification and the effects of dropping the assumption that continuous rebalancing is possible are examined. Strategies which are robust if applied continuously fail to be robust if applied in discrete time. Therefore, the hedging bias which...

It is well-known that Gaussian hedging strategies are robust in the sense that they always lead to a cost process of bounded variation and that a superhedge is possible if upper bounds on the volatility of the relevant processes are available, cf. El Karoui, Jeanblanc-Picque and Shreve (1998)...

To improve the detection of the economic ”danger zones” from which severe banking crises emanate, this paper introduces classification tree ensembles to the banking crisis forecasting literature. I show that their out-of-sample performance in forecasting binary banking crisis indicators...

This paper studies the effects of non-contractability of investment on the choices made by a health authority and the hospital with which it contracts for the provision of a specific service. We deal with a situation where the parties must write a short-term contract, that is, where they are...

Cross section consumer expenditure data are frequently used to make conclusions about consumer demand behavior. Such conclusions, however, can only be justified under certain assumptions, which are often left unstated in the empirical demand literature. An assumption of this type, the metonymy...