Publications des institutions partenaires
Choosing (and reneging on) exchange rate regimes
Institution partenaire
English / 01/01/2006
Value-at-risk prediction: A comparison of alternative strategies
Institution partenaire
English / 01/01/2006
Accurate value-at-risk forecasting based on the Normal-GARCH model
A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast, easy to implement, numerically reliable, and, except for having to choose a window length L for the bias-correction step, fully data...
Institution partenaire
English / 01/01/2006
Modeling and predicting market risk with Laplace-Gaussian mixture distributions
Institution partenaire
English / 01/01/2006
Reply to 'Asset Trading Volume in Innite-Horizon Economies with Dynamically Complete Markets and Heterogeneous Agents: Comment'
In a comment, Peter Bossaerts and William R. Zame [2006. Finance Research Letters. This issue] claim that the main result of our paper [Judd, K.L., Kubler, F., Schmedders, K., 2003. The Journal of Finance 58, 2203–2217], namely the no-trade theorem for the dynamic Lucas infinite horizon economy with heterogeneous agents, is an artifact of the assumption that asset dividends and...
Institution partenaire
English / 01/01/2006
Characterisations of function spaces of generalized smoothness
Institution partenaire
English / 01/01/2006
Disclosure, investment and regulation
This paper provides a framework to analyze voluntary and mandatory disclosure. Since improved disclosure reduces the entrepreneur's ability to extract private benefits, it secures funding for new investments, but also provides existing claimholders with a windfall gain. As a result, the entrepreneur may choose to forgo investment in favor of extracting more private benefits. A...
Institution partenaire
English / 01/01/2006
Equilibrium impact of value-at-risk regulation
Institution partenaire
English / 01/01/2006
The economic benefit of powerful credit scoring
Institution partenaire
English / 01/01/2006
Optimal credit limit management under different information regimes
Institution partenaire
English / 01/01/2006
Optimal Product Design: A CAPM Approach
We study properties of structured financial products optimizing a utility functional of a customer. The conventional method may have the disadvantage that the a priori restriction to a certain number of assets could make it impossible to find the optimal portfolio. So instead of optimizing the distribution of given assets, we impose only the price constraint as given by the CAPM and...
Institution partenaire
English / 01/01/2006
Modelling Alpha-Opportunities Within the CAPM
We consider a simple CAPM with heterogenous expectations on assets mean returns while keeping the assumption of homogenous expectations on the covariance of returns. Our first result derives the security market line as an aggregation result without using the two-fund-separation property. In particular every investor can hold optimal portfolios that are underdiversified.In our model...
Institution partenaire
English / 01/01/2006
Market Selection in an Evolutionary Market with Creation and Disappearance of Assets
Identifying investment strategies that will survive in the long run is a main endeavor in the eld of evolutionary nance. The evolutionary perspective on the nancial market considers rather long time horizons, making the creation and disappearance of rms a highly relevant factor in determining such strategies. However, this factor has not been examined in existing research. This paper...
Institution partenaire
English / 01/01/2006
Une importante décision suisse en matière de transfert international de biens culturels : l'arrêt du Tribunal fédéral sur les pièces d'or anciennes du 8 avril 2005
Institution partenaire
Français / 01/01/2006
An Important Swiss Decision Relating to the International Transfer of Cultural Goods: The Swiss Supreme Court's Decision on the Giant Mogul Gold Coins
Institution partenaire
English / 01/01/2006
Evolutions récentes dans le domaine du transfert international des biens culturels
Institution partenaire
Français / 01/01/2006
QoS-predictions service: infrastructural support for proactive QoS- and context-aware mobile services
Today's mobile data applications aspire to deliver services to a user anywhere – anytime while fulfilling his Quality of Service (QoS) requirements. However, the success of the service delivery heavily relies on the QoS offered by the underlying networks. As the services operate in a heterogeneous networking environment, we argue that the generic information about the networks...
Institution partenaire
English / 01/01/2006
Using revealed preferences to infer environmental benefits, evidence from recreational fishing licenses
We develop and apply a new method for estimating the economic benefits of an environmental amenity. The method is based upon the notion of estimating the derived demand for a privately traded option to utilize an open access good. In particular, the demand for state fishing licenses is used to infer the benefits of recreational fishing. Using panel data on state fishing license sales...
Institution partenaire
English / 01/09/2005
The impact of bank consolidation on commercial borrower welfare
We estimate the impact of bank merger announcements on borrowers' stock prices for publicly traded Norwegian firms. Borrowers of target banks lose about 0.8% in equity value, while borrowers of acquiring banks earn positive abnormal returns, suggesting that borrower welfare is influenced by a strategic focus favoring acquiring borrowers. Bank mergers lead to higher relationship...
Institution partenaire
English / 01/08/2005
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