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AN OPERATIONAL APPROACH FOR EVALUATING INVESTMENT RISK: AN APPLICATION TO THE NO-TILL TRANSITION

Upadhyay, Bharat M.; Young, Douglas L. - EconWPA - 2004

Roy’s safety-first rule is used to provide measures popular with farmers of short and long term business risk associated with various no-till transition strategies over an investment horizon. The short run rule provided more sensitivity to inter-year financial risk than other commonly used...

Persistent link: https://www.econbiz.de/10005407764

Panel Unit Roots Tests for Cross-Sectionally Correlated Panels: A Monte Carlo Comparison

Gutierrez, Luciano - EconWPA - 2003

) tests are analyzed by a Monte Carlo simulation study. In synthesis, Moon and Perron’s (2003) tests show good size and power … for different values of T and N and model specifications. Focusing on Bai and Ng’s (2003) procedure, the simulation study … simulation shows that the pooled Dickey-Fuller-GLS test provides higher power than the pooled ADF test for the analysis of …

Persistent link: https://www.econbiz.de/10005407993

Simulation-Based Pricing of Convertible Bonds

Ammann, Manuel; Kind, Axel; Wilde, Christian - EconWPA - 2005

We propose and empirically study a pricing model for convertible bonds based on Monte Carlo simulation. The method uses … of real-world convertible bond specifications. Furthermore, using the simulation model proposed, we present an empirical …

Persistent link: https://www.econbiz.de/10005413169

Risk Analysis in Investment Appraisal

Savvides, Savvakis C. - EconWPA - 2004

This paper was prepared for the purpose of presenting the methodology and uses of the Monte Carlo simulation technique …

Persistent link: https://www.econbiz.de/10005561672

A Nonparametric Way of Distribution Testing

Kilic, Ekrem - EconWPA - 2005

Testing the distribution of a random sample can be considered ,indeed, as a goodness-of-fit problem. If we use the nonparametric density estimation of the sample as a consistent estimate of exact distribution, the problem reduces, more specifically, to the distance of two functions. This paper...

Persistent link: https://www.econbiz.de/10005119063

Modeling the risk process in the XploRe computing environment

Burnecki, Krzysztof; Weron, Rafal - EconWPA - 2005

A user friendly approach to modeling the risk process is presented. It utilizes the insurance library of the XploRe computing environment which is accompanied by on-line, hyperlinked and freely downloadable from the web manuals and e-books. The empirical analysis for Danish ﬁre losses for the...

Persistent link: https://www.econbiz.de/10005124987

REINSURANCE, TAXES AND EFFICIENCY: A CONTINGENT CLAIMS MODEL OF INSURANCE MARKET EQUILIBRIUM

GARVEN, James R.; Louberge, Henri - EconWPA - 1994

This paper presents an analytical model of underwriting capacity and insurance market equilibrium under an asymmetric corporate tax schedule. It is shown that reinsurance markets enable risk-neutral insurers to allocate tax shields to those firms that have the greatest capacity for utilizing...

Persistent link: https://www.econbiz.de/10005413066

The Term Structure of Interest Rates and Future Inflation

Kotlán, Viktor - EconWPA - 2000

Expected inflation is a major decision factor of various economic agents. Since expected inflation is not directly observable, economists have been seeking ways of extracting market’s inflation expectations from observable variables. One of the most reliable sources of inflation expectations...

Persistent link: https://www.econbiz.de/10005412621

Phenomenology of the interest curve

BOUCHAUD, Jean-Philippe; CONT, Rama; KAROUI, Nicole EL; … - EconWPA - 1997

This paper contains a statistical description of the whole U.S. forward rate curve (FRC), based on data from the period 1990-1996. We find that the average deviation of the FRC from the spot rate grows as the square- root of the maturity, with a proportionality constant which is comparable to...

Persistent link: https://www.econbiz.de/10005413172

Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets

Bhar, Ram; Chiarella, Carl; To, Thuy-Duong - EconWPA - 2004

This paper considers a class of Heath-Jarrow-Morton (1992) term structure models, characterized by time deterministic volatilities for the instantaneous forward rate. The bias that arises from using observed futures yields as a proxy for the unobserved instantaneous forward rate is analyzed. The...

Persistent link: https://www.econbiz.de/10005413218