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Loss Functions in Option Valuation: A Framework for Model Selection
Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2005
In this paper, we investigate the importance of different loss functions when estimating and evaluating option pricing models. Our analysis shows that it is important to take into account parameter uncertainty, since this leads to uncertainty in the predicted option price. We illustrate the...
Persistent link: https://www.econbiz.de/10005791774
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Macroeconomic Sources of FOREX Risk
Smith, Peter N; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2002
and the macro factors satisfies the no-arbitrage assumption, and is a suitably restricted version of multivariate GARCH …
Persistent link: https://www.econbiz.de/10005661706
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An Evaluation Framework for Alternative VaR Models
Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2002
case of the GARCH(1,1)-Student-t model the average VaR may be adjusted for parameter uncertainty to arrive at levels which …
Persistent link: https://www.econbiz.de/10005123557
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Integration, Regional Agglomeration and International Trade
Monfort, Philippe; van Ypersele, Tanguy - C.E.P.R. Discussion Papers - 2003
then examine how both the integration and the agglomeration process inside a given country affects the pattern of …) both integration and agglomeration in one country reduces the likelihood to observe agglomeration in the partner country. …
Persistent link: https://www.econbiz.de/10005791590
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The Real Effects of EMU
Lane, Philip R. - C.E.P.R. Discussion Papers - 2006
substantial. EMU has indeed contributed to greater economic integration - however, economic linkages with the rest of the world …
Persistent link: https://www.econbiz.de/10005791619
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EMU: Countries or Regions? Lessons from the EMS Experience
Fatás, Antonio - C.E.P.R. Discussion Papers - 1997
paper characterizes regional and national fluctuations within the European Union and studies how the process of integration … economic significance reduced over time as the process of integration has increased cross-border correlations and reduced …
Persistent link: https://www.econbiz.de/10005791644
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Integration, Trade Policy and European Footwear Trade
Winters, L. Alan - C.E.P.R. Discussion Papers - 1992
This paper constructs a simulation model of the EC footwear market with which to consider the effects of EC trade policies. It examines the Southern enlargement of the EC, the quotas imposed on Korean and Taiwanese sales - initially in France and Italy and subsequently, in line with the `1992'...
Persistent link: https://www.econbiz.de/10005791810
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The Endogeneity of the Optimum Currency Area Criteria
Frankel, Jeffrey A; Rose, Andrew K - C.E.P.R. Discussion Papers - 1996
the criteria for entry into a currency union after taking steps towards economic integration than before. …
Persistent link: https://www.econbiz.de/10005792116
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The Liberalization of European Steel Trade
Winters, L. Alan - C.E.P.R. Discussion Papers - 1994
This paper constructs a simple model of the steel sector in Europe distinguishing eight West and two East European regions. It models the production of steel and also the various trade restrictions extant in 1992. It uses this model first to calculate the output and welfare effects of...
Persistent link: https://www.econbiz.de/10005792435
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Tear Down this Wall: On the Persistence of Borders in Trade
Nitsch, Volker; Wolf, Nikolaus - C.E.P.R. Discussion Papers - 2009
-West border; political integration is not rapidly followed by economic integration. Instead, we estimate that it takes at least …
Persistent link: https://www.econbiz.de/10008496456