infonet-economy

Nowadays BYOD and mobile work are a reality even if they challenge traditional security perimeters and risk management that mainly focus on the threats that these mobile opportunities create. They do not consider their potential benefits, e.g., if a user cannot work when being paid then the productivity is lower. It is the reason that in this paper we introduce a new risk management...

The use of mixture distributions for modeling asset returns has a long history in finance. New methods of demonstrating support for the presence of mixtures in the multivariate case are provided. The use of a two-component multivariate normal mixture distribution, coupled with shrinkage via a quasi-Bayesian prior, is motivated, and shown to be numerically simple and reliable to...

It is well-known in empirical finance that virtually all asset returns, whether monthly, daily, or intraday, are heavy-tailed and, particularly for stock returns, are mildly but often significantly negatively skewed. However, the tail indices, or maximally existing moments of the returns, can differ markedly across assets. To accommodate these stylized facts when modeling the joint...

We present a software system to create and implement internal markets in organizations that want to limit the CO2 emissions or the use of scarce resources by their employees. This system can be applied to domains such as business travel by distributing a limited number of permits for business travel-related CO2 emissions at the beginning of a period and then allowing the permits to...

We investigate the impact of legislative reforms in merger control legislation in nineteen industrial countries between 1987 and 2004. We find that strengthening merger control decreases the stock prices of non-financial firms, while increasing those of banks. Cross sectional regressions show that the discretion embedded in the supervisory control of bank mergers is a major...

We develop a measure of maximum sustainable government debt for advanced economies. How much investors are willing to lend to a country's government depends on how high a primary surplus they expect that government to generate, how fast they expect the country to grow, how volatile they expect that growth to be, and how much debt they expect the government will be able to raise...

In this paper we develop a one-factor non-affine stochastic volatility option pricing model where the dynamics of the underlying is endogenously determined from micro-foundations. The interaction and herding of the agents trading the underlying asset induce an amplification of the volatility of the asset over the volatility of the fundamentals. Although the model is non-affine, a...