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Institutions and financial frictions : estimating with structural restrictions on firm value and investment

Claessens, Stijn - In: Journal of development economics 110 (2014), pp. 107-122

Persistent link: https://www.econbiz.de/10011293090

How macro transactions describe the evolution and fluctuation of financial variables

Olkhov, Victor - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-19

of agents as their coordinates in the economic space. Transactions like buy-sell, investment, credits, etc., between …

Persistent link: https://www.econbiz.de/10011883437

Elasticity Theory of Structuring

Soklakov, Andrei N. - 2016

Financial derivatives have often been criticized as casino-style betting instruments. It turns out that many naive ways of making them are indeed equivalent to gambling. Fortunately, this inadvertent effect can be understood and prevented. We present a theory of product design which achieves that

Persistent link: https://www.econbiz.de/10013007527

Macro-Finance Surface-Like Waves of Investment and Profits

Olkhov, Victor - 2017

This paper studies quantitative macro-finance model and describes Investment and Profits surface-like risk waves. We … cause disturbances of macro financial variables, for instance - Investment and Profits. Such disturbances can generate … domain and impact financial sustainability. We study simple model relations between Investment and Profits and describe …

Persistent link: https://www.econbiz.de/10012955887

Modeling dependencies in finance using copulae

Härdle, Wolfgang (contributor); Okhrin, Ostap (contributor) - 2008

general setup we discuss and provide an intensive literature review of estimation and simulation techniques. Separate section …

Persistent link: https://www.econbiz.de/10003727552

Arbitrage Opportunities in Diverse Markets via a Non-Equivalent Measure Change

Osterrieder, Joerg - 2017

We study arbitrage opportunities in diverse markets as introduced by R. Fernholz in [Fer99]. By a change of measure technique we are able to generate a variety of diverse markets. The construction is based on an absolutely continuous, but nonequivalent measure change which implies the existence...

Persistent link: https://www.econbiz.de/10012954502

Continuous Time Macro-Finance, Financial Transactions and Waves

Olkhov, Victor - 2017

ratings of agents play role of their coordinates x on economic space. Financial variables of agents like Investment or Assets …

Persistent link: https://www.econbiz.de/10012956145

Financial Variables, Market Transactions, and Expectations as Functions of Risk

Olkhov, Victor - 2019

This paper develops methods and a framework of financial market theory. We model financial markets as a system of agents which perform market transactions with other agents under the action of numerous expectations. Agents' expectations are formed of economic and financial variables, market...

Persistent link: https://www.econbiz.de/10012859718

Quantitative Description of Financial Transactions and Risks

Olkhov, Victor - 2018

This paper presents a quantitative model of financial transactions between economic agents on economic space. Risk ratings of economic agents play role of their coordinates. Aggregate amounts of agent's financial variables at point x define macro financial variables as functions of time and...

Persistent link: https://www.econbiz.de/10012930589

Financial Econometrics - R Tutorial Guidance

Wang, Yizhi; Vigne, Samuel - 2021

Persistent link: https://www.econbiz.de/10013223934

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