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On dynamic Knightian uncertainty models : time-consistency and optimal behavior
Bier, Monika - 2009
Diese Arbeit beschäftigt sich mit drei verschiedenen Fragestellungen bezüglich Zeitkonsistenz unter der Annahme von …
Persistent link: https://www.econbiz.de/10009452489
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Evaluating the Liquidity of Stocks using Transaction Data
Ivanchuk, Nataliya - 2004
In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows … measures of liquidity and publish them in the regular reports. But as in literature, there is still no consensus as what … liquidity really means and how it should be measured, or reported, understood or predicted, as the consistent summary of what …
Persistent link: https://www.econbiz.de/10009471789
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Merging of opinions under uncertainty
Bier, Monika; Engelage, Daniel - 2010
We consider long-run behavior of agents assessing risk in terms of dynamic convex risk measures or, equivalently, utility in terms of dynamic variational preferences in an uncertain setting. By virtue of a robust representation, we show that all uncertainty is revealed in the limit and agents...
Persistent link: https://www.econbiz.de/10009452571
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Characterization of time-consistent sets of measures in finite trees
Bier, Monika - 2010
In this paper we give an alternative characterization for time-consistent sets of measures in a discrete setting. For each measure \mathbb{P} in a time-consistent set \mathcal{P} we get a distinct set of predictable processes which in return decribe the \mathbb{P} uniquely. This implies we get a...
Persistent link: https://www.econbiz.de/10009452573
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Essays in International Macroeconomics
Liu, Xuan - 2007
This dissertation consists of two essays in international macroeconomics. Thefirst essay shows that optimal fiscal and monetary policy is time consistent in astandard small open economy. Further, there exist many maturity structuresof public debt capable of rendering the optimal policy time...
Persistent link: https://www.econbiz.de/10009475504
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TRADE POLICY AND TIME CONSISTENCY IN AN OLIGOPSONISTIC WORLD MARKET
Gervais, Jean-Philippe; Lapan, Harvey E. - 1998
This paper investigates the strategic behavior between countries that have purchasing power on the world market for a certain good. Tariffs and quotas are not equivalent protection instruments in this oligopsonistic market. Policy active importers would be better off by colluding and setting...
Persistent link: https://www.econbiz.de/10009443115
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Estimation of Expected Returns, Time Consistency of A Stock Return Model, and Their Application to Portfolio Selection
Ma, Huaqiang - 2010
Longer horizon returns are modeled by two approaches, which have different impact on skewness and excess kurtosis. The Levy approach, which considers the random variable at longer horizon as the cumulants of i.i.d random variables from shorter horizons, tends to decrease skewness and excess...
Persistent link: https://www.econbiz.de/10009450698
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Essays on empirical asset pricing
Titman, Sheridan (contributor) - 2011
pricing literature. In the first essay, I investigate whether foreign institutional investors affect stock liquidity in … higher liquidity. However, it is difficult to interpret the causal relation of this finding because institutional investors … experiment suggests a causal link between foreign institutional investors and liquidity. Consistent with the predictions of …
Persistent link: https://www.econbiz.de/10009429351
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Determinants and Effects of Maturity Mismatches in Emerging Markets: Evidence from Bank Level Data
Aysun, Uluc - 2006
Despite the extensive work on currency mismatches, research on the determinants and effects of maturity mismatches is scarce. In this paper I show that emerging market maturity mismatches are negatively affected by capital inflows and price volatilities. Furthermore, I find that banks with low...
Persistent link: https://www.econbiz.de/10009430092
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14.661 Labor Economics I, Fall 2006
Pischke, Jorn-Steffen; Angrist, Joshua - 2006
Neoclassical analysis of the labor market and its institutions. A systematic development of the theory of labor supply, labor demand, and human capital. Topics discussed also include wage and employment determination, turnover, search, immigration, unemployment, equalizing differences, and...
Persistent link: https://www.econbiz.de/10009432547