Showing 91 - 100 of 454
We develop an agent-based model in which heterogeneous and boundedly rational agents interact by trading a risky asset at an endogenously set price. Agents are endowed with balance sheets comprising the risky asset as well as cash on the asset side and equity capital as well as debt on the...
Persistent link: https://www.econbiz.de/10010958901
The Bitcoin has emerged as a fascinating phenomenon in the financial markets. Without any central authority issuing the currency, the Bitcoin has been associated with controversy ever since its popularity, accompanied by increased public interest, reached high levels. Here, we contribute to the...
Persistent link: https://www.econbiz.de/10010958902
The financial crisis has fueled interest in alternatives to traditional asset classes that might be less a ected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...
Persistent link: https://www.econbiz.de/10010958903
Banks have become increasingly interconnected via interbank credit and other forms of liabilities. As a consequence of the increased interconnectedness, the failure of one node in the interbank network might constitute a threat to the survival of large parts of the entire system. How important...
Persistent link: https://www.econbiz.de/10010958904
This paper studies a simple dynamic model of interbank credit relationships. Starting from a given balance sheet structure of a banking system with a realistic distribution of bank sizes, the necessity of establishing interbank credit connections 3merges from idiosyncratic liquidity shocks....
Persistent link: https://www.econbiz.de/10010958905
We perform a careful spectral analysis of the correlation structures observed in real and financial returns for a large pool of long-lived US corporations, and find that financial returns are characterized by strong collective fluctuations that are absent from real returns. Once the excessive...
Persistent link: https://www.econbiz.de/10010958906
In addition to the traditional agent types of fundamentalists and chartists, a new dimension of investment horizon is included in evaluating historical performance of strategies. Based on the three stock markets of Japan, Hong Kong and Germany, it is found that investors with different...
Persistent link: https://www.econbiz.de/10010958907
This work studies wavelet-based Whittle estimator of the Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroscedasticity (FIEGARCH) model, often used for modeling long memory in volatility of financial assets. The newly proposed estimator approximates the spectral...
Persistent link: https://www.econbiz.de/10011213921
Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional...
Persistent link: https://www.econbiz.de/10011213922
Online activity of Internet users has proven very useful in modeling various phenomena across wide range of scientific disciplines. In our study, we focus on two stylized facts or puzzles surrounding the initial public offerings (IPOs) - underpricing and long-term underperformance. Using the...
Persistent link: https://www.econbiz.de/10011213923