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What Type of Process Underlies Options? A Simple Robust Test
CARR, PETER; WU, LIUREN - 2002
We develop a simple robust test for the presence of continuous and discontinuous (jump) components in the price of an asset underlying an option. Our test examines the prices of at-the-money and out-of-the-money options as the option maturity approaches zero. We show that these prices converge...
Persistent link: https://www.econbiz.de/10009440725
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Recent Developments in Unit Root Tests and Historical Crop Yields
Zapata, Hector O.; Maradiaga, David I.; Pujula, Aude Liliana - 2011
nonstationarity in crop yields using these tests versus using modified versions of these tests (Ng and Perron, 2001) that are assumed …
Persistent link: https://www.econbiz.de/10009444349
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The Environmental Kuznets Curve: Implications of Non-stationarity
Perman, Roger; Stern, David I - 1999
In this paper, we apply time series techniques for panel data to the environmental Kuznets curve (EKC) model. Within the literature that estimates emissions-income relations in the EKC context, little attention has been paid to the time series properties of the data and in particular to whether...
Persistent link: https://www.econbiz.de/10009451659
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Testing for Consistency in Tourists' Willingness to Pay for New Nature Reserves in the Gulf of Morbihan (France)
Voltaire, Louinord; Nassiri, Abdelhak; Bailly, Denis; … - 2011
In this paper, we develop an empirical test of consistency in contingent willingness topay (WTP) responses, which is based on the following a priori expectation. In economics,when an individual considers paying for public goods, his decision to pay, and his WTP arebased on utility-maximising...
Persistent link: https://www.econbiz.de/10009442761
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Does Duality Theory Hold in Practice? A Monte Carlo Analysis for U.S. Agriculture
Rosas, Francisco; Lence, Sergio H. - 2011
The Neoclassical theory of production establishes a dual relationship between the profit value function of a … competitive firm and its underlying production technology. This relationship, usually referred to as the duality theory, has been … construction prevents duality theory from holding exactly. Hence, the true production parameters may not be recovered with enough …
Persistent link: https://www.econbiz.de/10009444351
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Do Fertilizer Subsidies Affect the Demand for Commercial Fertilizer? An Example from Malawi
Ricker-Gilbert, Jacob; Jayne, Thomas S. - 2009
function approach to deal with endogeneity of subsidized fertilizer in a commercial fertilizer demand equation. Our results …
Persistent link: https://www.econbiz.de/10009444833
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Spinoffs, Privatization and Corporate Performance in Emerging Markets
Hanousek, Jan; Kocenda, Evžen; Svejnar, Jan - 2004
changes in ownership when analyzing spinoffs and generally to control for endogeneity, selection and data attrition when …
Persistent link: https://www.econbiz.de/10009477049
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Ownership, Control and Corporate Performance After Large-Scale Privatization
Hanousek, Jan; Ko?enda, Evžen; Svejnar, Jan - 2004
cost without increasing profitability. The effects of concentrated foreign ownership support the agency theory and go …
Persistent link: https://www.econbiz.de/10009477240
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Divestitures, privatization and corporate performance in emerging markets
Hanousek, Jan; Kočenda, Evžen; Svejnar, Jan - 2009
changes in ownership when analyzing divestitures and to control for endogeneity, selection and data attrition when analyzing …
Persistent link: https://www.econbiz.de/10009477561
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Health Insurance and Joint Off?Farm Labor Allocation Decisions of Farm Families
D'Antoni, Jeremy M.; Mishra, Ashok K. - 2012
operator and spouse are dependent. We then find significant evidence of endogeneity in the health insurance coverage variable …
Persistent link: https://www.econbiz.de/10009483611