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Efficiency and equilibria in games of optimal derivative design

Horst, Ulrich; Moreno-Bromberg, Santiago - 2010

In this paper the problem of optimal derivative design, profit maximization and risk minimization under adverse selection when multiple agencies compete for the business of a continuum of heterogenous agents is studied. In contrast with the principal-agent models that are extended within, here...

Persistent link: https://www.econbiz.de/10010281584

Existence and uniqueness of perturbation solutions to DSGE models

Lan, Hong; Meyer-Gohde, Alexander - 2012

We prove that standard regularity and saddle stability assumptions for linear approximations are sufficient to guarantee the existence of a unique solution for all undetermined coefficients of nonlinear perturbations of arbitrary order to discrete time DSGE models. We derive the perturbation...

Persistent link: https://www.econbiz.de/10010281586

Monetary policy, trend inflation and inflation Persistence

Yao, Fang - 2011

This paper presents a new mechanism through which monetary policy rules affect inflation persistence. When assuming that price reset hazard functions are not constant, backward-looking dynamics emerge in the NKPC. This new mechanism makes the traditional demand channel of monetary transmission...

Persistent link: https://www.econbiz.de/10010281589

Nonparametric regression with nonparametrically generated covariates

Mammen, Enno; Rothe, Christoph; Schienle, Melanie - 2010

We analyze the properties of non- and semiparametric estimation procedures involving nonparametric regression with … generated covariates. Such estimators appear in numerous econometric applications, including nonparametric estimation of … seems to be no unified theory to establish their statistical properties. Our paper provides such results, allowing to …

Persistent link: https://www.econbiz.de/10010281590

When to cross the spread: Curve following with singular control

Naujokat, Felix; Horst, Ulrich - 2011

In this article the problem of curve following in an illiquid market is addressed. Using techniques of singular stochastic control, we extend the results of [NW11] to a twosided limit order market with temporary market impact and resilience, where the bid ask spread is now also controlled. We...

Persistent link: https://www.econbiz.de/10010281591

Martingale approach in pricing and hedging European options under regime-switching

Milstein, Grigori N.; Spokoiny, Vladimir - 2011

The paper focuses on the problem of pricing and hedging a European contingent claim for an incomplete market model, in which evolution of price processes for a saving account and stocks depends on an observable Markov chain. The pricing function is evaluated using the martingale approach. The...

Persistent link: https://www.econbiz.de/10010281592

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 effectiveness and practical relevance of highfrequency (HF) data in portfolio allocation. Our results demonstrate that when used with proper econometric models, HF data offers gains over daily data and more importantly these gains are maintained...

Persistent link: https://www.econbiz.de/10010281594

Parametric estimation: Finite sample theory

Spokoiny, Vladimir - 2011

The paper aims at reconsidering the famous Le Cam LAN theory. The main features of the approach which make it different … results are illustrated for the i.i.d. set-up as well as for generalized linear and median estimation. The results apply for …

Persistent link: https://www.econbiz.de/10010281596

Every symmetric 3 x 3 global game of strategic complementarities is noise independent

Basteck, Christian; Daniëls, Tijmen R. - 2010

We prove that the global game selection in all 3 x 3 payoff-symmetric supermodular games is independent of the noise structure. As far as we know, all other proofs of noise independence of such games rely on the existence of a so-called monotone potential (MP) maximiser. Our result is more...

Persistent link: https://www.econbiz.de/10010281597

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory

Bibinger, Markus - 2011

The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô … distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate …, several generalizations of the model and an algorithm for the implementation warrant the utility of the estimation method in …

Persistent link: https://www.econbiz.de/10010281599