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The merit of high-frequency data in portfolio allocation

Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - 2011

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a...

Persistent link: https://www.econbiz.de/10010308574

Lifecycle impacts of the financial and economic crisis on household optimal consumption, portfolio choice, and labor supply

Chai, Jingjing; Maurer, Raimond H.; Mitchell, Olivia S.; … - 2011

The direct financial impact of the financial crisis has been to deal a heavy blow to investment-based pensions; many workers lost a substantial portion of their retirement saving. The financial sector implosion produced an economic crisis for the rest of the economy via high unemployment and...

Persistent link: https://www.econbiz.de/10010308576

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2011

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...

Persistent link: https://www.econbiz.de/10010308578

Saving rates and portfolio choice with subsistence consumption

Achury, Carolina; Hubar, Sylwia; Koulovatianos, Christos - 2011

We analytically show that a common across rich/poor individuals Stone-Geary utility function with subsistence consumption in the context of a simple two-asset portfolio-choice model is capable of qualitatively and quantitatively explaining: (i) the higher saving rates of the rich, (ii) the...

Persistent link: https://www.econbiz.de/10010308579

Stock prices and monetary policy: Re-examining the issue in a New Keynesian model with endogenous investment

Grossi, Michele; Tamborini, Roberto - In: Economics: The Open-Access, Open-Assessment E-Journal 6 (2012) 2012-14, pp. 1-47

In this paper the authors present a New Keynesian quantitative model with endogenous investment and stock-market sector …

Persistent link: https://www.econbiz.de/10010308738

Existence of an exact Walrasian equilibrium in nonconvex economies

D'Agata, Antonio - In: Economics: The Open-Access, Open-Assessment E-Journal 6 (2012) 2012-12, pp. 1-16

The existence of an exact Walrasian equilibrium in nonconvex economies is still a largely unexplored issue. This paper shows that such an equilibrium exists in nonconvex economies by following the nearby economyapproach introduced by Postlewaite and Schmeidler (Approximate Walrasian Equilibrium...

Persistent link: https://www.econbiz.de/10010308740

Resale price maintenance and manufacturer competition for retail services

Hunold, Matthias; Muthers, Johannes - 2012

We investigate the incentives of manufacturers to use resale price maintenance (RPM) when selling products through common retailers. In our model retailers provide product specific pre-sales services. If the competitive retail margins are low, each manufacturer fixes a minimum price to induce...

Persistent link: https://www.econbiz.de/10010308751

Reversibilität und Irreversibilität: Mathematische Untersuchungen zum Zeitverhalten des Produktlebenszyklus

Herold, Jörg; Ahrens, Bernd - 2011

sein, um sich auf dem Markt zu behaupten. Zur Sicherung des langfristigen Unternehmenserfolgs sind im Zeitablauf produkt …Accurate forecasts of sales opportunities and market potential for innovation can now be a crucial factor in order to … compete in the market. To secure the long-term business success is over time and product-range policy decisions. Over time …

Persistent link: https://www.econbiz.de/10010308754

Implizite Führungstheorien in der empirischen Forschung: Eine Untersuchung empirischer Studien zu impliziten Führungstheorien

Albrecht, Brit - 2006

Persistent link: https://www.econbiz.de/10010308936

Individual identity and cultural unlocking: Consequences of changing performance management in organizations

Faßauer, Gabriele - 2005

The purpose of the present paper is to examine new performance management patterns in regard to their consequences for the individual identity of organizational members. In modern societies values and norms of individual performance and success play a crucial role for the constitution of...

Persistent link: https://www.econbiz.de/10010308941