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The information content of cross-sectional volatility for future market volatility : evidence from Australian equity returns
Rahman, Md. Arifur - University of Western Sydney; University of Western Sydney - 2007
This paper presents research into the information content of firm-level and industry-level cross-sectional volatility (CSV) of daily equity returns for future market-level volatility in Australia. Using a conditional volatility framework that allows for commonly observed excess kurtosis in asset...
Persistent link: https://www.econbiz.de/10009481991
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Pricing mortgages: an options approach
Pozdena, Randall J.; Iben, Ben - In: Economic Review (1984) Spr, pp. 39-55
Persistent link: https://www.econbiz.de/10005352295
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Wind as a price-maker and ancillary services provider in competitive electricity markets
Troy, Niamh; Twohig, Sonya - 2010
Electricity markets are currently evolving to accommodate large scale penetration of wind generation. In this research, potential changes to the classification and role of windgenerators in the Single Electricity Market (SEM), the market for Northern Ireland and the Republic of Ireland, are...
Persistent link: https://www.econbiz.de/10009475687
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Capital as a factor of production in OECD agriculture: measurement and data.
Ball, V. Eldon; Lindamood, W.A.; Nehring, Richard; San … - 2008
convert estimates of capital stock into estimates of capital service flows by means of capital rental prices. Comparisons of … levels of capital input among countries require data on relative prices of capital input. We obtain relative price levels for … capital input via relative investment goods prices, taking into account the flow of capital input per unit of capital stock in …
Persistent link: https://www.econbiz.de/10009429438
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Welfare maximization, pricing, and allocation with a product performance or environmental quality standard: Illustration for the gasoline and additives market.
Gallagher, Paul W.; Shapouri, Hosein; Price, Jeffrey - 2006
Programming models approximate market prices and quantities when regulations constrain firm choices, because market …
Persistent link: https://www.econbiz.de/10009429512
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The social and economic effects of introducing reverse mortgages in Chile
Ruiz, José Luis; Tapia, Pablo; Donoso, José - In: CEPAL review (2019) 129, pp. 221-244
Persistent link: https://www.econbiz.de/10012295620
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SOFR term structure dynamics : discontinuous short rates and stochastic volatility forward rates
Brace, Alan; Gellert, Karol; Schlögl, Erik - In: The journal of futures markets 44 (2024) 6, pp. 936-985
Persistent link: https://www.econbiz.de/10014536708
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Hedging securities and Silicon Valley Bank idiosyncrasies
Kim, Raymond - In: The journal of futures markets 44 (2024) 4, pp. 653-672
Persistent link: https://www.econbiz.de/10014536665
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Nascent entrepreneurs in German regions : evidence from the Regional Entrepreneurship Monitor (REM)
Lückgen, Ingo; Oberschachtsiek, Dirk; Sternberg, Rolf G.; … - In: Entrepreneurship in the region, (pp. 7-34). 2005
Persistent link: https://www.econbiz.de/10003279888
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Do works councils inhibit investment?
Addison, John T.; Schank, Thorsten; Schnabel, Claus; … - In: ILR review : the journal of work and policy 60 (2006/07) 2, pp. 187-203
Theory suggests that firms confront a hold-up problem in dealing with workplace unionism: unions will appropriate a portion of the quasi-rents stemming from long-lived capital. As a result, firms may be expected to limit their exposure to rent-seeking by reducing investments. The U.S. evidence...
Persistent link: https://www.econbiz.de/10003411000