Narrow search
Showing 1 - 10 of 1,031
Cover Image
On the 'Usual' Misunderstandings between Econophysics and Finance : Some Clarifications on Modelling Approaches and Efficient Market Hypothesis
Ausloos, Marcel - 2018
In line with the recent research and debates about econophysics and financial economics, this article discusses on … econophysics, the methodology used by financial economists is frequently considered as a top-down approach (starting from a priori …-up approach. Although this dualist perspective is very common in the econophysics literature, this paper claims that the …
Persistent link: https://www.econbiz.de/10012907171
Cover Image
The Evolution of Complex Systems Theory and the Advancement of Econophysics Methods in the Study of Stock Markets Crashes
Joe, Ho Yew - 2017
cross-disciplines, particularly from the econophysics have banded together to consolidate and diffuse the application of the … complex systems theory in the economics and further discusses the methodological contribution of the econophysics in the area … of stock market. To date, the complex systems theory and the methodologies from the econophysics are well-established as …
Persistent link: https://www.econbiz.de/10012966774
Cover Image
Risk diversification and tax competition: The influence of risk correlations and tax provisions on tax competition
Berndt, Markus; Reichl, Bettina - 2000
From standard-portfolio-models the authors derive demand elasticities for risky assets, and combine the results with a simple non-cooperative model of tax competition between capital importing countries. They find that tax rates resulting from tax competition depend heavily on the correlations...
Persistent link: https://www.econbiz.de/10010295608
Cover Image
Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10010295747
Cover Image
Forecasting the term structure of government bond yields
Diebold, Francis X.; Li, Canlin - 2003
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross...
Persistent link: https://www.econbiz.de/10010298283
Cover Image
Volatility forecasting
Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2005
Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning...
Persistent link: https://www.econbiz.de/10010298299
Cover Image
International portfolios, capital accumulation and foreign assets dynamics
Coeurdacier, Nicolas; Kollmann, Robert Miguel W. K.; … - 2008
Despite the liberalisation of capital flows among OECD countries, equity home bias remains sizable. We depart from the two familiar explanation of equity home bias: transaction costs that impede international diversification, and terms of trade responses to supply shocks that provide risk...
Persistent link: https://www.econbiz.de/10010298732
Cover Image
Privatization, international asset trade and financial markets
Girmens, Guillaume - 2002
This paper evaluates the impact of privatization on the development of capital markets in a two-country general equilibrium model. We draw particular attention to two divestment techniques, share issue privatizations (in developed market systems) and voucher privatizations (in transition...
Persistent link: https://www.econbiz.de/10011335781
Cover Image
Liquidity and Ambiguity: Banks or Asset Markets?
Eichberger, Jürgen; Spanjers, Willy - 2007
We study the impact of ambiguity on two alternative institutions of financial intermediation in an economy where consumers face uncertain liquidity needs. The ambiguity the consumers experience is modeled by the degree of confidence in their additive beliefs. We analyze the optimal liquidity...
Persistent link: https://www.econbiz.de/10011422151
Cover Image
Rare disasters and the equity premium in a two-country world
Copeland, Laurence; Zhu, Yanhui - 2007
We extend the Barro (2006) closed-economy model of the equity risk premium in the presence of extreme events (disasters) to a two-country world. In this more general setting, both the output risk of rare disasters and the associated risk of a default on Government debt, can be diversiÖed. The...
Persistent link: https://www.econbiz.de/10010322799