Now showing items 221-230 of 243
Downside riskand stock returns
An empirical analysis ofthe long-run and short-run dynamics from the G-7 Countries
This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations ...
What Derives theBond Portfolio Value-at-Risk
Information Rolesof Macroeconomic and Financial Stress Factors
This paper first develops a new approach, which is based on the Nelson-Siegel term structure factor-augmented model, to compute the VaR of bond portfolios. We then applied the model to examine whether information contained ...
Leveraged ETF optionsimplied volatility paradox
a statistical study
In this paper, we study the statistical properties of the moneyness scaling transformation by Leung and Sircar (2015). This transformation adjusts the moneyness coordinate of the implied volatility smile in an attempt to ...
Budget-neutral fiscal rulestargetinginflation differentials
In light of persistent in ation dispersion and rising debt levels in the EMU, this paper investigates the welfare implications of budget-neutral fiscal policies that counteract in ation differentials. In a two-country DSGE ...
No Role for the HartzReforms?
Demand and Supply Factorsin the German Labor Market,1993-2014
The supply and demand framework of Katz and Murphy (1992) provides new evidence on the source of changes in socially insured full-time and part-time employment in years preceding and following the implementation of the ...
Neighborhood Effects in Wind Farm Performance
An Econometric Approach
The optimization of turbine density in wind farms entails a trade-off between the usage of scarce, expensive land and power losses through turbine wake effects. A quantification and prediction of the wake effect, however, ...