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Stock Markets, Banks and Economic Growth: a Reasonable Extreme Bounds Analysis.
Akhand, H.A. - School of Economics, UNSW Business School - 1999
Do well-functioning stock markets and banks promote long-run economic growth? Recent studies answer this important …
Persistent link: https://www.econbiz.de/10005478640
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The Effect of Excess-of-Loss Reinsurance with Reinstatements of the Cedent's Portfolio.
Walhin, J.F.; Paris, J. - Catholique de Louvain - Institut de statistique - 2000
The adjustment for the cedent's retained risk after excess-of-loss reinsurance with reinstatements is calculated. Therefore we need a multivariate aggregate claims distribution. This distribution is easily given by a multivariate extension of Panjer's recursion. Numerical examples show the...
Persistent link: https://www.econbiz.de/10005776112
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Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics.
Barndorff-Nielsen, O.E.; Shepard, N. - Economics Group, Nuffield College, University of Oxford - 2000
econometrics. A main feature of the paper is the use of positive Ornstein-Uhlenbeck (OU) type processes inside stochastic …
Persistent link: https://www.econbiz.de/10005687562
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The Effect of Excess-of-Loss Reinsurance with Reinstatements of the Cedent's Portfolio.
Walhin, J.F.; Paris, J. - Catholique de Louvain - Institut de statistique - 2000
The adjustment for the cedent's retained risk after excess-of-loss reinsurance with reinstatements is calculated. Therefore we need a multivariate aggregate claims distribution. This distribution is easily given by a multivariate extension of Panjer's recursion. Numerical examples show the...
Persistent link: https://www.econbiz.de/10005625680
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Developpement limite d'une diffusion en temps petit. Estimation du prix d'une option sur maxima proche de sa maturite.
Corbin, O.; Leblanc, B. - 1996
Estimation du prix d'une option sur maximum proche de sa maturite.
Persistent link: https://www.econbiz.de/10005780834
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Breadth Momentum and Vigilant Asset Allocation (VAA) : Winning More by Losing Less
Keller, Wouter J. - 2017
VAA (Vigilant Asset Allocation) is a dual-momentum based investment strategy with a vigorous crash protection and a fast momentum filter. Dual momentum combines absolute (trendfollowing) and relative (strength) momentum. Compared to the traditional dual momentum approaches, we have replaced the...
Persistent link: https://www.econbiz.de/10012951980
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Lazy Momentum with Growth-Trend timing : Resilient Asset Allocation (RAA)
Keller, Wouter J. - 2021
Resilient Asset Allocation (RAA) is a more aggressive version of our Lethargic Asset Allocation (LAA) strategy. It combines a more robust “All Weather” portfolio with even slower growth-trend (GT) filter and a faster market crash-protection. GT timing goes risk-off only when both the US...
Persistent link: https://www.econbiz.de/10013242285
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Contemporaneous Asymmetry in Weak Garch Processes.
El Babsiri, M.; Zakoian, J.M. - Center for Operations Research and Econometrics (CORE), … - 1996
The paper proposes an original class of conditionally heteroskedastic models aimed to capture a new concept of asymmetry. Not only past up and down moves of stock market returns have different impacts on the conditional variance, but also, positive and negative changes are governed by different...
Persistent link: https://www.econbiz.de/10005669219
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Economic growth in oil-exporting countries : do stock market and banking sector development matter? ; evidence from Nigeria
Nwani, Chinazaekpere; Orie, Jacob Bassey - In: Cogent economics & finance 4 (2016) 1, pp. 1-11
This study empirically examines the independent effects of stock market and banking sector development on economic growth in Nigeria over the period 1981-2014 using the autoregressive distributed lag (ARDL) approach to co-integration analysis. Controlling for the possible effects of crude oil...
Persistent link: https://www.econbiz.de/10011450677
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Efficiency, Solvency, and Size of Banking Firms.
Reboredo, J.C. - Departament d'Economia i Història Econòmica, … - 1997
Are the most efficient risk-return banks more solvent than the inefficient banks? From a theoretical point of view, the … puzzle? This paper develops an empirical analysis both to test if the most efficient banks are also the most solvent, and to … test the effects that size has on the solvency and efficiency of banks. …
Persistent link: https://www.econbiz.de/10005823965