Showing 1 - 10 of 50
It is often assumed that financial markets are frictionless. Bond markets are illiquid and bond prices are observed with errors. The magnitude of these errors leads to violation of no--arbitrage conditions and, consequently, prevents researchers from obtaining an estimate of the term structure...
Persistent link: https://www.econbiz.de/10009191665
In each of the asset and liability markets in which the banking firm is an intermediary, typically there are instruments with differing maturities. The bank matching book problem is to manage the term structures of assets and liabilities. In our first model, the bank borrows and lends only short...
Persistent link: https://www.econbiz.de/10009218085
From a large array of economic and financial data series, this paper identifies three fundamental risk dimensions underlying an economy: inflation, real output growth, and financial market volatility. Furthermore, through a no-arbitrage model, the paper links the dynamics and market pricing of...
Persistent link: https://www.econbiz.de/10009218094
that forecasting behavior systematically deviates from normative predictions: Forecasters overreact to forecast errors in …
Persistent link: https://www.econbiz.de/10010990449
We integrate a case-based model of probability judgment with prospect theory to explore asset pricing under uncertainty. Research within the "heuristics and biases" tradition suggests that probability judgments respond primarily to case-specific evidence and disregard aggregate characteristics...
Persistent link: https://www.econbiz.de/10010990558
This paper proposes a new approach to time series forecasting based upon three premises. First, a model is selected not … forecasting horizon separately, making it possible to have different models/methods to predict each of the m horizons. This …
Persistent link: https://www.econbiz.de/10009191229
-forecast information. We show that the manufacturer's expected profit is convex in the retailer's forecasting accuracy: The manufacturer … benefits from selling to a better-forecasting retailer if and only if the retailer is already a good forecaster. If the … retailer has poor forecasting capabilities, then the manufacturer is hurt as the retailer's forecasting capability improves …
Persistent link: https://www.econbiz.de/10009191698
forecasting) are also provided. …
Persistent link: https://www.econbiz.de/10009191885
Movie studios often have to choose among thousands of scripts to decide which ones to turn into movies. Despite the huge amount of money at stake, this process--known as green-lighting in the movie industry--is largely a guesswork based on experts' experience and intuitions. In this paper, we...
Persistent link: https://www.econbiz.de/10009197428
Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing literature on GARCH models favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time series of...
Persistent link: https://www.econbiz.de/10009197435