Now showing items 1501-1505 of 1505
Price discovery in the markets for credit risk
We examine price discovery in the Credit Default Swap and cor- porate bond market. By using a Markov switching framework we are able to analyze the dynamic behavior of the information shares dur- ing tranquil and crisis ...
Projection Pursuit for Exploratory Supervised Classification
In high-dimensional data, one often seeks a few interesting low-dimensional projections that reveal important features of the data. Projection pursuit is a procedure for searching high-dimensional data for interesting ...
Difference based Ridge and Liu type Estimators in Semiparametric Regression Models
We consider a difference based ridge regression estimator and a Liu type estimator of the regression parameters in the partial linear semiparametric regression model, y = Xβ + f + ε. Both estimators are analysed and compared ...
Strategic Delegation Improves Cartel Stability
Fershtman and Judd (1987) and Sklivas (1987) show that strategic delegation reduces firm profits in the one-shot Cournot game. Allowing for infinitely repeated interaction, strategic delegation can increase firm profits ...
Price Adjustment to News with Uncertain Precision
Bayesian learning provides a core concept of information processing in financial markets. Typically it is assumed that market participants perfectly know the quality of released news. However, in practice, news’ precision ...