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Demand Volatility, Adjustment Costs, and Productivity : An Examination of Capacity Utilization in Hotels and Airlines
Butters, R. Andrew - 2017
Measures of productivity reveal large differences across producers even within narrowly defined industries. Traditional measures of productivity, however, will associate differences in demand volatility to differences in productivity when adjusting factors of production is costly. I document...
Persistent link: https://www.econbiz.de/10012967587
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Outsourcing and Financing Decisions in Industry Equilibrium
Kanatas, George - 2016
In a competitive product market, firms that buy their input have lower profit volatility than they would have if they were to make it. This effect on profit volatility is an important consideration in the firms' capital structure choices and their make or buy decisions when it interacts with the...
Persistent link: https://www.econbiz.de/10012999897
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Value at risk for a mixture of normal distributions : the use of quasi-Bayesian estimation techniques
Venkataraman, Subu - In: Economic perspectives 21 (1997) 2, pp. 2-13
Persistent link: https://www.econbiz.de/10001218351
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Bayesian estimation of stochastic tail index from high-frequency financial data
Doğan, Osman; Taṣpınar, Süleyman; Bera, Anil K. - In: Empirical economics : a quarterly journal of the … 61 (2021) 5, pp. 2685-2711
Persistent link: https://www.econbiz.de/10012664628
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The influence of shock signals on the change in volatility term structure
Choi, Sun-Yong - In: Economics letters 183 (2019), pp. 1-5
Persistent link: https://www.econbiz.de/10012122602
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High-Frequency Causality in the VIX Index and Its Derivatives : Empirical Evidence
Farokhnia, Kia; Osterrieder, Joerg - 2023
In February 2018, the VIX index has seen its largest ever increase and has lead to significant losses for some major … linear causality in the VIX index and its derivatives during January and February 2018. Due to the shortcomings of … statistical inferences for stochastic volatility models, the dynamics of the volatility expectation index VIX remain controversial …
Persistent link: https://www.econbiz.de/10014361986
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Spatial GARCH : A Spatial Approach to Multivariate Volatility Modeling
Borovkova, Svetlana - 2012
This paper introduces a new approach to modelling the conditional variance in a multivariate setting. It is essentially a combination of the popular GARCH model class with a spatial component, inspired by generalized space-time models. The resulting spatial GARCH model takes into account both...
Persistent link: https://www.econbiz.de/10013097898
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Volatility, Adjustment Cost and Capital Misallocation : Evidence from Chinese Industrial Firms
Tang, Sarah; Zhang, Jun; Shen, Jim Huangnan - 2021
This paper investigates the impact of volatility in profitability shock and capital adjustment cost on aggregate total factor productivity (TFP) in Chinese industries firms. To quantify the effects of volatility and adjustment costs on aggregate TFP, we recover key structural parameters in a...
Persistent link: https://www.econbiz.de/10013243599
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Discussion of "Microeconomic uncertainty, international trade, and aggregate fluctuations"
Lustig, Hanno - In: Journal of monetary economics 69 (2015), pp. 39-41
Persistent link: https://www.econbiz.de/10011326721
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Firm size and the interlinkages between sales volatility, exports, and financial stability of Pakistani manufacturing firms
Rashid, Abdul; Hassan, M. Kabir; Karamat, Hafsa - In: Eurasian business review 11 (2021) 1, pp. 111-134
Persistent link: https://www.econbiz.de/10012495419