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Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect

Dunbar, Kwamie; Edwards, Albert J. - 2007

In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co … that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the …

Persistent link: https://www.econbiz.de/10009430120

The Role of Emerging Market in Investment Portfolios

Hallinan, Kelly - 2011

This thesis explores the role of emerging markets in investment portfolios. Could an investment portfolio consisting of emerging market securities have outperformed similar portfolios that did not contain emerging markets over recent years? Gathering data from January 1, 2009 to December 31,...

Persistent link: https://www.econbiz.de/10009430255

14.123 Microeconomic Theory III, Spring 2009

Eso, Peter - 2009

, repeated games, and correlation. …

Persistent link: https://www.econbiz.de/10009432546

Testing non-linear dependence in the hedge fund industry

Mencía González, Javier - 2010

This paper proposes a parsimonious approach to test non-linear dependence on the conditional mean and variance of hedge funds with respect to several market factors. My approach introduces non-linear dependence by means of empirically relevant polynomial functions of the factors. For comparison...

Persistent link: https://www.econbiz.de/10012530285

Natural Gas Prices Forecast Comparison--AEO vs. Natural Gas Markets

Wong-Parodi, Gabrielle; Lekov, Alex; Dale, Larry - 2008

period between 2000 to 2003. For the time period between 1996 to 1999, AEO showed a weak negative correlation (R-square = 0 ….19) between forecast price by actual U.S. Wellhead natural gas price versus the Henry Hub with a weak positive correlation (R … shows a moderate positive correlation (R-square = 0.37) between forecasted natural gas price and U.S. Wellhead natural gas …

Persistent link: https://www.econbiz.de/10009435573

Status of European appliance standards

Turiel, I.; Lebot, B. - 2008

The European Community (EC) recently commissioned a study of the impact of potential appliance standards on electricity consumption in the twelve EC nations. This study looks at refrigerators, freezers, dishwashers, clothes washers, and clothes dryers. The impact of minimum efficiency standards...

Persistent link: https://www.econbiz.de/10009435833

Insights into multivariate calibration using errors-in-variables modeling

Thomas, E.V. - 2009

A {ital q}-vector of responses, y, is related to a {ital p}-vector of explanatory variables, x, through a causal linear model. In analytical chemistry, y and x might represent the spectrum and associated set of constituent concentrations of a multicomponent sample which are related through...

Persistent link: https://www.econbiz.de/10009435935

Forecasting urban highway travel for year 2005

Miaou, Shaw-Pin; Rathi, A.K.; Southworth, F.; Greene, D.L. - 2008

As part of a study aimed at estimating suburban highway needs for year 2005, models were developed for forecasting daily vehicle miles of travel (DVMT) for urban areas and its distribution by highway functional class, urban location, and urban area size. A regression model combining both time...

Persistent link: https://www.econbiz.de/10009435975

Status of European appliance standards

Turiel, I.; Lebot, B. - 2008

Persistent link: https://www.econbiz.de/10009436199

An Analysis of the Price Elasticity of Demand for Household Appliances

Fujita, Kimberly; Dale, Larry; Fujita, K. Sydny - 2008

This report summarizes our study of the price elasticity of demand for home appliances, including refrigerators, clothes washers, and dishwashers. In the context of increasingly stringent appliance standards, we are interested in what kind of impact the increased manufacturing costs caused by...

Persistent link: https://www.econbiz.de/10009436639