The authors apply a class of Markov switching models (independent spike models) to six European electricity markets and two European gas markets. This paper extends the current framework by introducing Gamma distributed spikes, which improves the fit for most energy markets. The models are quite...

The cost of trading in securities markets is often estimated on the basis of: 1. the number of shares executed rather than the number of shares in the original order; and 2. the quote midpoint at the time of trade execution rather than at the time of order submission. In our paper, we obtain...

Financial risk modeling and management are very important and challenging tasks for financial institutions’ quantitative units. Owing to the complex nature of portfolios, and given recent financial market developments, contemporary research is focused on tail modeling and/or dependency...

The authors introduce an improved multi-factor credit risk model describing simultaneously the default rate and the loss given default. Their methodology is based on the KMV model, which they generalize in three ways. First, they add a model for loss given default (LGD), second, they bring...

Does foreign ownership improve corporate performance, or do foreign firms merely select more productive targets for takeover? Do workers benefit from foreign acquisitions? We answer these questions by comparing the before/after change in several performance indicators of Czech firms subject to...

This survey gives insight into the ongoing research in financial frictions modeling. The recent financial turmoil has fueled interest in operationalizing financial frictions concepts. The rapid growth of the literature on financial frictions motivates this review. The empirical facts that...

The present study analyzes the extra insights that option pricing models may achieve when uncertainty about parameters is modeled through fuzzy numbers. Specifically, the authors consider the Heston stochastic volatility model, which assumes that stock price changes and their instantaneous...

When a country’s banking system becomes more linked to the global banking network, does that system get more or less prone to a banking crisis? Using simulations and econometric estimates based on a world-wide dataset, we find an M-shaped relationship between the stability and the...

This paper investigates the determinants and dynamics of deposit euroization (DE) in twelve European post-transition economies using threshold models. The results suggest that exchange rates and interest rate differentials are important for explaining DE. The results for the two countries with...

Time-varying risk premiums and CAPM betas for several assets traded on the Prague Stock Exchange are estimated within a model which is derived as a restriction of a general stochastic discount factor model. The restriction takes the form of the Sharpe-Lintner capital asset pricing model. A...