Search Results - subject:"Slope Factor"

Patterns of the distribution of the demand of end-consumers among retailers in the zone of their residence

Galkin, Andrii; Zaytsev, Vitaliy; Shyshkin, Viktor; … - In: Foundations of Management : the journal of Warsaw … 13 (2021) 1, pp. 145-158

The rapid development of retail and e-commerce is forcing marketing and logistics to be competitive and adapt to the demands of end-customers. At the same time, accurately determining the demand for goods allows to better understand customers and plan deliveries. The purpose of this article is...

Persistent link: https://www.econbiz.de/10012650756

Assessing the utility of retailer based on generalized costs of end-consumers

Halkin, Andrii - In: Foundations of Management : the journal of Warsaw … 12 (2020) 1, pp. 31-42

This paper gives a methodology to estimate the generalized costs of end-consumers visiting any retailer. The attractiveness and utility of retailers for end-consumers have been calculated based on their possible generalized costs according to their choice. According to the developed model,...

Persistent link: https://www.econbiz.de/10012171033

Assessing the utility of retailer based on generalized costs of end-consumers

Halkin, Andrii - In: Foundations of Management 12 (2020) 1, pp. 31-42

Persistent link: https://www.econbiz.de/10012601092

Monetary policy and the stock market : time-series evidence

Neuhierl, Andreas; Weber, Michael - 2016

We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns … increases in weekly Sharpe ratios of 20% conditioning on the slope factor. The tone of speeches by the FOMC chair correlates … with the slope factor. Slope predicts changes in future interest rates and forecast revisions of professional forecasters …

Persistent link: https://www.econbiz.de/10011566444

Monetary policy and the stock market : time-series evidence

Neuhierl, Andreas; Weber, Michael - 2016

Persistent link: https://www.econbiz.de/10011585385

A term structure model with level factor cannot be realistic and arbitrage free

Dubecq, S.; Gourieroux, C. - Banque de France - 2012

A large part of the term structure literature interprets the first underlying factors as a level factor, a slope factor …, and a curvature factor. In this paper we consider factor models interpretable as a level factor model, a level and a slope … factor model, respectively. We prove that such models are compatible with no-arbitrage restrictions and the positivity of …

Persistent link: https://www.econbiz.de/10009421798

Stress-Test Exercises and the Pricing of Very Long-Term Bonds

Dubecq, Simon - Université Paris-Dauphine (Paris IX) - 2013

In the first part of this thesis, we introduce a new methodology for stress-test exercises. Our approach allows to consider richer stress-test exercises, which assess the impact of a modification of the whole distribution of asset prices’ factors, rather than focusing as the common practices...

Persistent link: https://www.econbiz.de/10011074681