Showing 61 - 70 of 703
In this paper we analyze the influence of currency movements on the value of Australian firms listed on the S&P/ASX 100 index for a period from 1980 - 2010 using daily, weekly, monthly and quarterly returns. The study estimates unconditional and conditional, time-varying and asymmetric, exchange...
Persistent link: https://www.econbiz.de/10010752825
This paper analyzes the long-run relationship between gold and silver prices. We closely follow Escribano and Granger (1998) and extend their study. First, we use a 40-year sample period from 1970-2010 and examine the existence and stability of a long-run relationship between gold and silver...
Persistent link: https://www.econbiz.de/10010752826
Gold has been a store of value for centuries and a safe haven for investors in the past decades. However, the increased investment in gold for speculative or hedging purposes has changed the safe haven property. We demonstrate theoretically and empirically that investor behaviour has the...
Persistent link: https://www.econbiz.de/10010752827
In this paper we use a test developed by Phillips et al. (2011) to identify a bubble in the gold market. We find that the price of gold followed an explosive price process between 2002 and 2012 interrupted only briefly by the subprime crisis in 2008. We also provide a theoretical foundation for...
Persistent link: https://www.econbiz.de/10010752828
We estimate quantile autoregression (QAR) models to analyze variations in the autoregressive coefficients of 55 international stock index returns and demonstrate that it is important to allow the autoregressive parameters to vary with quantiles. The empirical results identify distinctively...
Persistent link: https://www.econbiz.de/10010752829
The copula function defines the degree of dependence and the structure of dependence. This paper proposes an alternative framework to decompose the dependence using quantile regression. It is demonstrated that the methodology provides a detailed picture of dependence including asymmetric and...
Persistent link: https://www.econbiz.de/10010752830
We present two simple models for the fair value of a self-funding instalment warrant. In the rst model, we assume that the underlying share pays a continuous dividend yield and in the second we assume that it pays a series of discrete dividend yields. We show that both models admit similarity...
Persistent link: https://www.econbiz.de/10010754091
: We report the results of two laboratory experiments that study how university student and staff participants chose retirement savings investment options using ‘user-friendly’ information prescribed by regulators. We demonstrate that choices of more than 20% of participants cannot be...
Persistent link: https://www.econbiz.de/10010754092
This paper proposes a paradigm shift in the valuation of long term cash-linked annuities and equity-linked annuities with cash-linked guarantees, away from classical no-arbitrage pricing towards pricing under the real world probability measure. In contrast to risk neutral pricing, which is a...
Persistent link: https://www.econbiz.de/10010754093
In this paper, we discuss how to model credit risk under the benchmark approach. Firstly we introduce an affine credit risk model. We then show how to price credit default swaps (CDSs) and introduce credit valuation adjustment (CVA) as an extension of CDSs. In particular, our model can capture...
Persistent link: https://www.econbiz.de/10010754094