Search Results - subject:"Probabilities"

The Rationality of Irrationality for Managers: Returns- Based Beliefs and the Traveller’s Dilemma

Velu, C.; Iyer, S. - Faculty of Economics, University of Cambridge - 2008

probabilities of the players. We proffer an alternative basis upon which beliefs in game theory might be formed - 'returns …

Persistent link: https://www.econbiz.de/10005783830

Volatility Spillovers and Contagion From Mature to Emerging Stock Markets

Caporale, Guglielmo Maria; Schulze-Ghattas, Marianne; … - International Monetary Fund (IMF) - 2008

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41...

Persistent link: https://www.econbiz.de/10005825961

The attitude toward probabilities of portfolio managers : an experimental study.

Roux, Nicolas - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008

This paper proposes an experiment about the attitude toward probabilities on a population of portfolio managers. Its … aim is to check whether or not portfolio managers are neutral toward probabilities. Meanwhile, it presents a experimental … probability weighting function. Results unambiguously show that portfolio managers are not neutral toward probabilities and that …

Persistent link: https://www.econbiz.de/10005696763

A statistical development of fixed odds betting rules in soccer

Milliner, Ian; White, Paul; Webber, Don - Department of Accounting, Economics and Finance, … - 2008

Two simple but seemingly profitable betting rules for betting on the away win in association football are developed. One rule is consistent with avoiding those games in which there is a clear favourite. The second rule is based directly on modelling bookmaker odds and assessing the residuals...

Persistent link: https://www.econbiz.de/10005700233

Forecasting Cross-Sections of Frailty-Correlated Default

Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - Tinbergen Institute - 2008

probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by … probabilities by about 10-35% in terms of Mean Absolute Error, particularly in years of default stress. …

Persistent link: https://www.econbiz.de/10005144415

Much Ado About Nothing? Estimating the Impact of a U.S. Slowdownon Thai Growth

Aiyar, Shekhar; Tchakarov, Ivan - International Monetary Fund (IMF) - 2008

External demand was the main driver of growth in Thailand in 2006 and 2007. However, WEO projections indicate moderating foreign demand in 2008, with U.S. growth being revised downwards to reflect the turmoil in housing and credit markets, and high oil prices. While the share of Thai exports to...

Persistent link: https://www.econbiz.de/10005248323

Herd Behavior in Financial Markets; An Experiment with Financial Market Professionals

Cipriani, Marco; Guarino, Antonio - International Monetary Fund (IMF) - 2008

We study herd behavior in a laboratory financial market with financial market professionals. We compare two treatments, one in which the price adjusts to the order flow so that herding should never occur, and one in which event uncertainty makes herding possible. In the first treatment, subjects...

Persistent link: https://www.econbiz.de/10005263673

Do IMF Programs Improve Economic Governance?

Honda, Jiro - International Monetary Fund (IMF) - 2008

This paper examines the effects of IMF financial assistance on economic governance in developing countries, based on panel data analyses of perceived governance indicators. It uses a two-stage approach to address possible endogeneity issues. The results show that successful implementation of IMF...

Persistent link: https://www.econbiz.de/10005263964

Trade Creation and Diversion Revisited; Accounting for Model Uncertainty and Natural Trading Partner Effects

Papageorgiou, Chris; Henn, Christian; Eicher, Theo S. - International Monetary Fund (IMF) - 2008

Trade theories covering Preferential Trade Agreements (PTAs) are as diverse as the literature in search of their empirical support. To account for the model uncertainty that surrounds the validity of the competing PTA theories, we introduce Bayesian Model Averaging (BMA) to the PTA literature....

Persistent link: https://www.econbiz.de/10005263980

Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System

Gray, Dale F.; Walsh, James P - International Monetary Fund (IMF) - 2008

This paper derives risk indicators for the major Chilean banks based on contingent claims analysis, an extension of Black-Scholes-Merton option-pricing theory. These risk indicators are clearly tied to macroeconomic and financial developments in Chile and outside, but bank responses are highly...

Persistent link: https://www.econbiz.de/10005264053