Rebalancing alpha is the excess return of a fixed-weight portfolio, which is regularly rebalanced, over its buy-and-hold counterpart. Two kinds of effects, both results of portfolio rebalancing, contribute to rebalancing alpha. The first is a volatility effect that arises from randomness of...

This paper suggests spatial models as an alternative to the Armington approach to model bilateral trade. While the use of spatial models has been accepted for decades, they are rarely chosen for such analyses. However, problems inherent in the application of the Armington approach can be...

In this paper, an agent-based search model of the labor market with heterogeneous agents and an on-the-job search is developed, i.e. the long-term unemployed and other job seekers compete for vacancies which differ in skills demands and in the sector of the economy. Job placement agencies help...

The production of bioenergy is considered to be a promising energy source for a sustainable energy mix and it is politically promoted in many countries. With the exception of Brazilian ethanol, bioenergy not competitive to fossil energy sources, and therefore needs to be subsidised. Several...

One of the main drawbacks of the original CreditRisk+ methodology is that it models the default rates of the sectors (e.g. industry) as independently distributed random variables. Such an assumption has been considered as unrealistic and various approaches have been proposed in order to overcome...

In this paper we focus on analyzing the predictive accuracy of three different types of forecasting techniques, Autoregressive Integrated Moving Average (ARIMA), Artificial Neural Network (ANN), and Singular Spectral Analysis (SSA), used for predicting chaotic time series data. These techniques...

Our study deals with interest rate pass-through for household and corporate deposits in the Central and Eastern European (CEE) region, focusing on the tightening cycle starting in the middle of 2021. This period is of particular interest for interest rate pass-through, as the sharp hikes by...