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Equity market linkage and multinational trade accords: The case of NAFTA
Darrat, A. F.; Zhong, M. S. - 2005
This paper examines the impact of multinational trade accords on the degree of stock market linkage using NAFTA as a case study. Besides liberalizing trade among the U.S., Canada and Mexico, NAFTA has also sought to strengthen linkage among stock markets of these countries. If successful, this...
Persistent link: https://www.econbiz.de/10009447946
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Essays on economic and econometric applications of Bayesian estimation and model comparison
Li, Guangjie - 2009
This thesis consists of three chapters on economic and econometric applications of Bayesian parameter estimation and … major finding in the first chapter is that consistency in parameter estimation and model selection are interrelated. The … algorithms are developed for parameter estimation and to calculate the Bayes factor for model comparison. The last chapter …
Persistent link: https://www.econbiz.de/10009474900
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Asymmetrische Effekte der Geldpolitik auf die Industrie in der Bundesrepublik Deutschland - eine Untersuchung auf Branchenebene
Hock, Thorsten - 2003
Die Arbeit setzt sich mit Unterschieden des geldpolitischen Transmissionsprozesses im Verarbeitenden Gewerbe der Bundesrepublik Deutschland auseinander. Dazu wird der Sektor nach der Systematik der BACH-Datenbank der europäischen Kommission in 10 Branchen eingeteilt. An eine kurze Betrachtung...
Persistent link: https://www.econbiz.de/10009433722
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Network effects, compatibility, and adoption of standards
Grajek, Michał - 2005
standard and international trade. The estimation results allow us to formulate some interesting policy conclusions. …
Persistent link: https://www.econbiz.de/10009467122
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Einfluss der Medienberichterstattung auf die Risikowahrnehmung
Cettier, Patrick - 2005
Im Rahmen dieser Arbeit wurden Ambiguitätsindikatoren aus Erkenntnissen der Ambiguitäts-, Medien- und Kommunikationsforschung abgeleitet, die ambige Informationszustände beschreiben bzw. unter denen eine erhöhte wahrgenommene Unsicherheit besteht oder entstehen kann. Diese lauten: Zu wenige...
Persistent link: https://www.econbiz.de/10009467408
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US Corporate Default Swap Valuation: The Market Liquidity Hypothesis and Autonomous Credit Risk
Dunbar, Kwamie - 2007
This paper develops a reduced form three-factor model which includes a liquidity proxy of market conditions which is then used to provide implicit prices. The model prices are then compared with observed market prices of credit default swaps to determine if swap rates adequately reflect market...
Persistent link: https://www.econbiz.de/10009430118
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Three Essays on Asset Pricing
Wang, Zhiguang - 2009
In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are...
Persistent link: https://www.econbiz.de/10009460573
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Pricing of Asian temperature risk
López Cabrera, Brenda - 2009
Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...
Persistent link: https://www.econbiz.de/10009467147
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THREE ESSAYS ON AGRICULTURAL FUTURES TRADERS
Aulerich, Nicole M. - 2011
This is a comprehensive study of the growth and impact of agricultural futures market traders. The growth of financial investment in commodities has introduced participants and raised both new questions and warranted revisiting old questions; these include the impact on commodity prices, the...
Persistent link: https://www.econbiz.de/10009477742