Now showing items 11-20 of 47
Dynamic Contracting with Long-Term Consequences
Optimal CEO Compensation and Turnover
We examine optimal managerial compensation and turnover policy in a principal-agent model in which the firm output is serially correlated over time. The model captures a learning-by-doing feature: higher effort by the ...
Dynamic Valuation of Weather Derivatives under Default Risk
Weather derivatives are contingent claims with payoff based on a pre-specified weather index. Firms exposed to weather risk can transfer it to financial markets via weather derivatives. We develop a utility-based model for ...
RiskAnalytics: an R package for real time processing of Nasdaq and Yahoo finance data and parallelized quantile lasso regression methods
In order to integrate and facilitate the research, calculation and analysis methods around the Financial Risk Meter (FRM) project, the R package RiskAnalytics has been developed. Its main goal is to provide data processing ...
Testing Missing at Random using Instrumental Variables
This paper proposes a test for missing at random (MAR). The MAR assumption is shown to be testable given instrumental variables which are independent of response given potential outcomes. A nonparametric testing procedure ...
Dynamic semi-parametric factor model for functional expectiles
High-frequency data can provide us with a quantity of informa- tion for forecasting, help to calculate and prevent the future risk based on extremes. This tail behaviour is very often driven by ex- ogenous components and ...
Is Scientific Performance a Function of Funds?
The management of universities demands data on teaching and research performance. While teaching parameters can be measured via student performance and teacher evaluation programs, the connection of research outputs and ...
Dynamic Semiparametric Factor Model with a Common Break
For change-point analysis of high dimensional time series, we consider a semiparametric model with dynamic structural break factors. The observations are described by a few low dimensional factors with time-invariate loading ...