Now showing items 11-20 of 243
Time-Adaptive Probabilistic Forecasts of Electricity Spot Prices with Application to Risk Management.
The increasing exposure to renewable energy has amplified the need for risk management in electricity markets. Electricity price risk poses a major challenge to market participants. We propose an approach to model and ...
Functional Principal Component Analysis for Derivatives of Multivariate Curves
We present two methods based on functional principal component analysis (FPCA) for the estimation of smooth derivatives of a sample of random functions, which are observed in a more than one-dimensional domain. We apply ...
Revisiting the effect of VAT changes on output
The importance of pass-through dynamics
Standard models used in academic and institutional research implement the value-added tax (VAT) as a simple consumption tax levied on consumers, implying that tax changes instantaneously translate into consumer price ...
Specification Testing in Nonparametric Instrumental Quantile Regression
There are many environments in econometrics which require nonseparable modeling of a structural disturbance. In a nonseparable model, key conditions are validity of instrumental variables and monotonicity of the model in ...
Relative Performance of Liability Rules
We compare the performance of liability rules for managing environmental disasters when third parties are harmed and cannot always be compensated. A firm can invest in safety to reduce the likelihood of accidents. The ...
Do voluntary payments to advisors improve the quality of financial advice?
An experimental sender-receiver game
The market for retail financial products (e.g. investment funds or insurances) is marred by information asymmetries. Clients are not well informed about the quality of these products. They have to rely on the recommendations ...
Can a Bonus Overcome Moral Hazard?
An Experiment on Voluntary Payments, Competition, and Reputation in Markets for Expert Services
Interactions between players with private information and opposed interests are often prone to bad advice and inefficient outcomes, e.g. markets for financial or health care services. In a deception game we investigate ...
What renders financial advisors less treacherous?
On commissions and reciprocity
An advisor is supposed to recommend a financial product in the best interest of her client. However, the best product for the client may not always be the product yielding the highest commission to the advisor. Do advisors ...