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A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance
Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao - In: Risks : open access journal 7 (2019) 4/103, pp. 1-18
In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The aim of the paper is to introduce a more general process that includes many models in the...
Persistent link: https://www.econbiz.de/10012128012
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The response of bond prices to insurer ratings changes
Miao, Hong; Ramchander, Sanjay; Wang, Tianyang - In: The Geneva papers on risk and insurance - issues and … 39 (2014) 2, pp. 389-413
Persistent link: https://www.econbiz.de/10010354082
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Government insurance, information, and asset prices
Wegner, Danilo Lopomo Beteto - In: International review of economics & finance : IREF 37 (2015), pp. 165-183
Persistent link: https://www.econbiz.de/10011542054
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Tax clienteles and asset pricing
Dybvig, Philip H. - In: The journal of finance : the journal of the American … 41 (1986) 3, pp. 751-762
Persistent link: https://www.econbiz.de/10001047815
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Der Einfluss von Dividenden auf Aktienrenditen
Schulz, Anja - 2006 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003389030
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Der Einfluss von Transaktionskosten und Steuern auf die Preisbildung bei DAX-Futures
Weber, Nadine M. - 2005
Persistent link: https://www.econbiz.de/10002776846
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Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium
Sialm, Clemens - 2002
Tax rates have fluctuated considerably since federal income taxes were introduced in the United States in 1913. This … taxation affects the after-tax returns of both risky and safe assets. Whenever taxes change, bond and equity prices adjust to … for the risk introduced by tax changes …
Persistent link: https://www.econbiz.de/10012787069
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Arbitragefreie Kapitalmärkte und Steuern
Rümmele, Peter - 1997
Persistent link: https://www.econbiz.de/10013269067
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Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium
Sialm, Clemens - 2002
Tax rates have fluctuated considerably since federal income taxes were introduced in the United States in 1913. This … taxation affects the after-tax returns of both risky and safe assets. Whenever taxes change, bond and equity prices adjust to … for the risk introduced by tax changes …
Persistent link: https://www.econbiz.de/10012469405
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Dividenden, Steuern und Aktienpreise : Theorie und empirische Ergebnisse für die Schweiz
Capitelli, René - 1989
Persistent link: https://www.econbiz.de/10013386252