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725151
Realized copula
Fengler, Matthias R.
;
Okhrin, Ostap
-
2012
portfolio
risk
-management applica- tion, we find that time-varying realized copula is superior to standard benchmark models in …
Persistent link: https://www.econbiz.de/10010318779
Saved in:
725152
Modelling general dependence between commodity forward curves
Zolotko, Mikhail
;
Okhrin, Ostap
-
2012
-of-sample forecasts of the distribution of the returns of various commodity futures portfolios. The Value-at-
Risk
analysis shows that HAC …
Persistent link: https://www.econbiz.de/10010318781
Saved in:
725153
Consumer standards as a strategic device to mitigate ratchet effects in dynamic regulation
Fiocco, Raffaele
;
Strausz, Roland
-
2012
Strategic delegation to an independent regulator with a pure consumer standard improves dynamic regulation by mitigating ratchet effects associated with short term contracting. A consumer standard alleviates the regulator's myopic temptation to raise output after learning the firm is...
Persistent link: https://www.econbiz.de/10010318782
Saved in:
725154
Location, location, location: Extracting location value from house prices
Kolbe, Jens
;
Schulz, Rainer
;
Wersing, Martin
;
Werwatz, Axel
-
2012
The price for a single-family house depends both on the characteristics of the building and on its location. We propose a novel semiparametric method to extract location values from house prices. After splitting house prices into building and land components, location values are estimated with...
Persistent link: https://www.econbiz.de/10010318783
Saved in:
725155
Volatility of price indices for heterogeneous goods
Bocart, Fabian Y. R. P.
;
Hafner, Christian M.
-
2012
Price indices for heterogenous goods such as real estate or fine art constitute crucial information for institutional or private investors considering alternative investments in times of financial markets turmoil. Classical mean-variance analysis of alternative investments has been hampered by...
Persistent link: https://www.econbiz.de/10010318789
Saved in:
725156
Strategic delegation improves cartel stability
Han, Martijn A.
-
2012
Fershtman and Judd (1987) and Sklivas (1987) show that strategic delegation reduces firm profits in the one-shot Cournot game. Allowing for infinitely repeated interaction, strategic delegation can increase firm profits as it improves cartel stability.
Persistent link: https://www.econbiz.de/10010318791
Saved in:
725157
Short-term managerial contracts and cartels
Han, Martijn A.
-
2012
This paper shows how a series of commonly observed short-term CEO employment contracts can improve cartel stability compared to a long-term employment contract. When a manager's short-term appointment is renewed if and only if the firm hits a certain profit target, then (i) defection from...
Persistent link: https://www.econbiz.de/10010318793
Saved in:
725158
Competitive
risk
sharing contracts with one-sided commitment
Uhlig, Harald
;
Krueger, Dirk
-
2005
This paper analyzes dynamic equilibrium
risk
sharing contracts between profit-maximizing intermediaries and a large …, even though a
risk
allocation superior to autarky can be achieved. …
Persistent link: https://www.econbiz.de/10010319185
Saved in:
725159
FFT based option pricing
Borak, Szymon
;
Detlefsen, Kai
;
Härdle, Wolfgang Karl
-
2005
Persistent link: https://www.econbiz.de/10010319188
Saved in:
725160
Volatility investing with variance swaps
Härdle, Wolfgang Karl
;
Silyakova, Elena
-
2010
Traditionally volatility is viewed as a measure of variability, or
risk
, of an underlying asset. However recently …
Persistent link: https://www.econbiz.de/10010319195
Saved in:
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