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Risk-averse and risk-seeking investor preferences for oil spot and futures

Hooi Hooi Lean; McAleer, Michael; Wong, Wing Keung - 2013

Persistent link: https://www.econbiz.de/10010191274

Wojtowicz, Marcin - 2014

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … between equity and credit default swaps (CDSs) of companies. We find that capital structure arbitrage provides an attractive … annualized return of 24.35% on invested capital. The arbitrage returns are higher for lower rated companies and surprisingly they …

Persistent link: https://www.econbiz.de/10010415520

Market liquidity and exposure of hedge funds

Siegmann, Adriaan Hendrik; Stefanova, Denitsa - 2011

Persistent link: https://www.econbiz.de/10009720730

EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments

Sluis, Pieter J. van der - 1998

Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For the Efficient Method of Moments implemented to...

Persistent link: https://www.econbiz.de/10010533201

Complete and incomplete markets with short-sale constraints

Giménez, Eduardo L. - 2001

This paper argues that the introduction of a short-sale constraint in the Arrow-Radner frameworkinvalidates standard definitions of complete and incomplete markets. In this constrained set-up,two threshold values with familiar properties arise.The case of a zero short-sale bound set on some...

Persistent link: https://www.econbiz.de/10011316880

Banks and market liquidity

Arping, Stefan - 2015

I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity-provision frictions that, in an unlevered economy, would lead...

Persistent link: https://www.econbiz.de/10010477097

A comment on revealed preference with a subset of goods

Bruggen, Paul van - 2016

Varian (1988) introduced an important proposition regarding restrictions on consumption data if observations of the quantities of a good are missing. In this paper, a simple counterexample is presented to show that the original proof is incorrect, and a new proof is provided. The new proof is...

Persistent link: https://www.econbiz.de/10011531115

Flexible mixture-amount models for business and industry using Gaussian processes

Ruseckaite, Aiste; Fok, Dennis; Goos, Peter - 2016

Many products and services can be described as mixtures of ingredients whose proportions sum to one. Specialized models have been developed for linking the mixture proportions to outcome variables, such as preference, quality and liking. In many scenarios, only the mixture proportions matter for...

Persistent link: https://www.econbiz.de/10011531150

The event-history approach to program evaluation

Abbring, Jaap H. - 2007

This paper studies the event-history approach to microeconometric programevaluation. We present a mixed semi-Markov event-history model, discussits application to program evaluation, and analyze its empirical content.The results of this paper provide fundamental insights in what can be...

Persistent link: https://www.econbiz.de/10011349178

The unobserved heterogeneity distribution in duration analysis

Abbring, Jaap H.; Berg, Gerard J. van den - 2006

In a large class of hazard models with proportional unobserved heterogeneity, the distribution of the heterogeneity among survivors converges to a gamma distribution. This convergence is often rapid. We derive this result as a general result for exponential mixtures and explore its implications...

Persistent link: https://www.econbiz.de/10011349195

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