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Quantifying the Reversibility Phenomenon for the Repeat-Sales Index

Simon, Arnaud - HAL - 2007

The reversibility phenomenon for the repeat-sales index (RSI) is a serious obstacle for the derivatives products; it … estimations of the reversibility percentages are reliable. For the derivatives our technique has strong implications for the … choice of the underlying index. Indeed, even if the reversibility of the RSI is probably higher compared to the hedonic one …

Persistent link: https://www.econbiz.de/10008793252

Information and repeat-sales

Simon, Arnaud - HAL - 2007

volatility of the index and the reversibility phenomenon. We study the formal link between the repeat-sales index and the price …

Persistent link: https://www.econbiz.de/10008793522

Reversibility and switching options values in the geological disposal of radioactive waste

Ionescu, Oana; Spaeter, Sandrine - HAL - 2011

stages. We consider that the value of reversibility, related to the radioactive waste packages, is jointly affected by …

Persistent link: https://www.econbiz.de/10010899407

Nuclear Waste Disposal in France: the Contribution of Economic Analysis

Héraud, Jean-Alain; Ionescu, Oana - HAL - 2011

This article addresses the following question: How to deal with uncertainty, emergence of new information and irreversibility in the decision process of the long-term disposal of radioactive waste? Intuitively, one might think that measures taken today are more relevant when they are ‡exible....

Persistent link: https://www.econbiz.de/10010821298

Decomposing the U.S. external returns differential

Curcuru, Stephanie; Dvorak, Tomas; Warnock, Francis E. - Federal Reserve Board (Board of Governors of the … - 2009

We decompose the returns differential between U.S. portfolio claims and liabilities into the composition, return, and timing effects. Our most striking and robust finding is that foreigners exhibit poor timing when reallocating between bonds and equities within their U.S. portfolios. The poor...

Persistent link: https://www.econbiz.de/10008615669

Bayesian analysis of stochastic volatility models with Lévy jumps: application to risk analysis

Szerszen, Pawel J. - Federal Reserve Board (Board of Governors of the … - 2009

In this paper I analyze a broad class of continuous-time jump diffusion models of asset returns. In the models, stochastic volatility can arise either from a diffusion part, or a jump part, or both. The jump component includes either compound Poisson or Lévy alpha-stable jumps. To be able to...

Persistent link: https://www.econbiz.de/10008616968

Asset returns with earnings management

Sun, Bo - Federal Reserve Board (Board of Governors of the … - 2009

by individual firms does not only deliver the observed features in their own stocks, but can also be strong enough to …

Persistent link: https://www.econbiz.de/10008498914

How the stock market could learn to live with index futures and options

Kling, Arnold - Federal Reserve Board (Board of Governors of the … - 1986

Persistent link: https://www.econbiz.de/10005361177

The Stambaugh bias in panel predictive regressions

Hjalmarsson, Erik - Federal Reserve Board (Board of Governors of the … - 2007

This paper analyzes predictive regressions in a panel data setting. The standard fixed effects estimator suffers from a small sample bias, which is the analogue of the Stambaugh bias in time-series predictive regressions. Monte Carlo evidence shows that the bias and resulting size distortions...

Persistent link: https://www.econbiz.de/10005498753

Motor vehicle stocks, scrappage, and sales

Greenspan, Alan; Cohen, Darrel - Federal Reserve Board (Board of Governors of the … - 1996

, a new historical annual time series estimate of motor vehicle stocks in the United States is presented. …

Persistent link: https://www.econbiz.de/10005513050