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Articles 1 - 19 of 19
Full-Text Articles in Social and Behavioral Sciences
The Smallest Upper Bound For The Pth Absolute Central Moment Of A Class Of Random Variables, Martin Egozcue, Luis Fuentes García, Wing Keung Wong, Ricardas Zitikis
The Smallest Upper Bound For The Pth Absolute Central Moment Of A Class Of Random Variables, Martin Egozcue, Luis Fuentes García, Wing Keung Wong, Ricardas Zitikis
Martin Egozcue
We establish the smallest upper bound for the p absolute central moment over the class of all random variables with values in a compact interval. Numerical values of the bound are calculated for the first ten integer values of p, and its asymptotic behaviour derived when p tends to infinity. In addition, we establish an analogous bound in the case of all symmetric random variables with values in a compact interval. Such results play a role in a number of areas including actuarial science, economics, finance, operations research, and reliability.
The Bank Of Tanzania (Bot) As The Custodian Of The Tanzanian Economy: Opportunities And Challenges, Conrad John Masabo Mr.
The Bank Of Tanzania (Bot) As The Custodian Of The Tanzanian Economy: Opportunities And Challenges, Conrad John Masabo Mr.
Conrad John Masabo Mr.
When Tanzania embarked on fundamental transformation of its economy almost two decades ago one of the top agenda in the economic reforms was the need to overhaul the financial system. And in view of pivotal role it plays in the country’s economy, the banking sector was the first to undergo reforms. Implementation of the reforms followed recommendations of the Presidential Commission on the need to modernize the banking sector dubbed the Nyirabu Commission. The BOT Act of 1995 was a landmark in Tanzania’s monetary history by adopting a single policy objective, i.e. price stability and moving away from multiple-policy objectives. …
How You Estimate The Yield Curve Matters!, Luiz Paulo Fichtner, Pedro Santa-Clara
How You Estimate The Yield Curve Matters!, Luiz Paulo Fichtner, Pedro Santa-Clara
Luiz Paulo Fichtner
We evaluate a two-factor Cox et al. (1985a,b) model using Euribor zero-coupon yields. We estimate this model using a state-space framework, where we sum a log-likelihood function of the state vector dynamics to a log-likelihood function of cross-section pricing errors. We introduce a likelihood-scaling weight in the joint log-likelihood function and show that there is a tradeoff in how one estimates a yield curve. Giving more weight to the cross-section of pricing errors improves the fitting and forecasting of Euribor yields, while giving more weight to the log-likelihood function of the state vector dynamics improves interest rate derivative pricing at …
Out-Of-Sample Predictability Of Bond Returns, Luiz Paulo Fichtner, Pedro Santa-Clara
Out-Of-Sample Predictability Of Bond Returns, Luiz Paulo Fichtner, Pedro Santa-Clara
Luiz Paulo Fichtner
We test the out-of-sample predictive power for one-year bond excess returns for a vari- ety of models that have been proposed in the literature. We find that these models perform well in sample, but have worse out-of-sample performance than the historical sample mean. We write the one-year excess return on a n-maturity bond at time t + 1 as the difference between n times the n-maturity bond yield at time t, and the sum of n − 1 times the (n − 1)-maturity bond yield at time t + 1 and the one-year bond yield at time t. Instead of …
An Optimal Strategy For Maximizing The Expected Real- Estate Selling Price: Accept Or Reject An Offer?, Martin Egozcue, Luis Fuentes García, Ricardas Zitikis
An Optimal Strategy For Maximizing The Expected Real- Estate Selling Price: Accept Or Reject An Offer?, Martin Egozcue, Luis Fuentes García, Ricardas Zitikis
Martin Egozcue
Motivated by a real-life situation, we put forward a model and then derive an optimal strategy that maximizes the expected real-estate selling price when one of the only two remaining buyers has already made an offer but the other one is yet to make. Since the seller is not sure whether the other buyer would make a lower or higher offer, and given no recall, the seller needs a strategy to decide whether to accept or reject the first-come offer. The herein derived optimal seller's strategy, which maximizes the expected selling price, is illustrated under several scenarios, such as independent …
Convex Combinations Of Quadrant Dependent Copulas, Martin Egozcue, Luis Fuentes García, Wing Wong, Ricardas Zitikis
Convex Combinations Of Quadrant Dependent Copulas, Martin Egozcue, Luis Fuentes García, Wing Wong, Ricardas Zitikis
Martin Egozcue
It is well known that quadrant dependent (QD) random variables are also quadrant dependent in expectation (QDE). Recent literature has offered examples rigorously establishing the fact that there are QDE random variables which are not QD. The examples are based on convex combinations of specially chosen QD copulas: one negatively QD and another positively QD. In this paper we establish general results that determine when convex combinations of arbitrary QD copulas give rise to negatively or positively QD/QDE copulas. In addition to being an interesting mathematical exercise, the established results are helpful when modeling insurance and financial portfolios.
Reserve Currency And A Lender Of Next-To-Last Resort: A Literature Review, Alida S. Skold
Reserve Currency And A Lender Of Next-To-Last Resort: A Literature Review, Alida S. Skold
Alida S. Skold
The role of the US dollar as the global dominant reserve currency is eroding. Debate is ongoing regarding next steps. Moving the international monetary system to a single global currency is part of the debate. Literature reviews the eroding role of the US dollar and implications the erosion carries for the US. The Special Drawing Rights developed by the IMF could fill the role of Keynes’ recommended global currency known as the “bancor.” Regardless of the nature of the global reserve currency, access to liquidity is required to have an effective international monetary system. Literature defines a missing layer of …
Return Predictability In International Financial Markets And The Role Of Investor Sentiment, Anjeza Kadilli
Return Predictability In International Financial Markets And The Role Of Investor Sentiment, Anjeza Kadilli
Anjeza Kadilli
We investigate the predictability of stock returns in the financial market for a large panel of developed countries using investor sentiment, business-cycle variables and financial indicators within two panel regime-switching models, with threshold and smooth transition between regimes. We find strong evidence of predictability of long-term returns following the business cycles, but much weaker results for the short-run returns. During crisis times, investor sentiment and inflation become key factors in predicting stock returns. Different tests and goodness of fit measures point out that the use of regime-switching models is more appropriate than linear models. To our knowledge, this study is …
Integration–Segregation Decisions Under General Value Functions: ‘Create Your Own Bundle—Choose 1, 2 Or All 3!’, Martin Egozcue, Sebastien Massoni, Wing Wong, Ricardas Zitkiks
Integration–Segregation Decisions Under General Value Functions: ‘Create Your Own Bundle—Choose 1, 2 Or All 3!’, Martin Egozcue, Sebastien Massoni, Wing Wong, Ricardas Zitkiks
Martin Egozcue
Whether to keep products segregated (e.g., unbundled) or integrate some or all of them (e.g., bundle) has been a problem of profound interest in areas such as portfolio theory in finance, risk capital allocations in insurance and marketing of consumer products. Such decisions are inherently complex and depend on factors such as the underlying product values and consumer preferences, the latter being frequently described using value functions, also known as utility functions in economics. In this paper, we develop decision rules for multiple products, which we generally call ‘exposure units’ to naturally cover manifold scenarios spanning well beyond ‘products’. Our …
Gains From Diversification: A Regret Theory Approach, Martin Egozcue
Gains From Diversification: A Regret Theory Approach, Martin Egozcue
Martin Egozcue
No abstract provided.
Information Insensitive Securities: The Benefits Of Central Counterparties, David C. Mills Jr, Francesca Carapella
Information Insensitive Securities: The Benefits Of Central Counterparties, David C. Mills Jr, Francesca Carapella
David C Mills Jr
This paper combines the idea that securities should be information insensitive in order to be liquid, with the idea that an infrastructure which performs clearing of trades, and offers additional services to the counterparties, facilitates securities to be liquid. In a recent paper, Gorton et al.\cite{DGH} argue that securities that serve as a transaction medium should be the least information-sensitive, and derive sufficient conditions for such security to be debt. Also, a few recent papers\footnote{Acharya and Bisin \cite{AB}, Duffie and Zhu \cite{DuffieZhu} and Koeppl and Monnet \cite{KoepplMonnet} among others.} emphasize the role of a Central Counterparty (CCP) in internalizing externalities …
A Comparison Of Anti-Manipulation Rules In U.S. And Eu Electricity And Natural Gas Markets: A Proposal For A Common Standard, Shaun D. Ledgerwood, Dan Harris
A Comparison Of Anti-Manipulation Rules In U.S. And Eu Electricity And Natural Gas Markets: A Proposal For A Common Standard, Shaun D. Ledgerwood, Dan Harris
Shaun D. Ledgerwood
In this paper, we describe the development and current status of anti-manipulation rules as they apply to wholesale electricity and natural gas markets in the United States and the European Union, including the institutions that are responsible for overseeing these rules. We then compare and contrast these jurisdictions to discuss similarities, differences, and potential gaps in coverage within and across their internal markets. We note that while the behavior prohibited by the U.S. and EU statutes is remarkably similar, there is in fact no common standard for defining market manipulation. The absence of a common EU/U.S. framework for examining manipulative …
Why Do U.S. Securities Laws Matter To Non-U.S. Firms? Evidence From Private Class-Action Lawsuits, Amar Gande, Darius P. Miller
Why Do U.S. Securities Laws Matter To Non-U.S. Firms? Evidence From Private Class-Action Lawsuits, Amar Gande, Darius P. Miller
Amar Gande
A continuing controversy is whether U.S. securities laws are enforced against foreign firms, since public enforcement actions by the SEC are infrequent and often result in insignificant penalties. We examine private enforcement actions of U.S. securities laws and find that 269 securities class-action lawsuits were filed against foreign firms from 1996 to 2008. We document the severity of the penalties imposed on foreign firms and show that while firms paid a total of $9 billion to settle lawsuits brought against them, the monetary penalties levied by the market are even larger. During the three-day period surrounding the lawsuit filing date, …
A Panel Smooth Transition Regression Model For The Determinants Of Inflation Expectations And Credibility In The Ecb And The Recent Financial Crisis, Anjeza Kadilli
Anjeza Kadilli
No abstract provided.
Sisteme Bancare Comparate. Comparative Analysis Of Banking Systems, Cristi Spulbăr, Mihai Nițoi
Sisteme Bancare Comparate. Comparative Analysis Of Banking Systems, Cristi Spulbăr, Mihai Nițoi
Mihai Nițoi
No abstract provided.
Smart Stimulus Amid Deepening Debt: Future-Flow Tax Credit Programs, William Werkmeister
Smart Stimulus Amid Deepening Debt: Future-Flow Tax Credit Programs, William Werkmeister
William Werkmeister
No abstract provided.
Harmonising And Regulating Financial Markets, Mads Andenas
Harmonising And Regulating Financial Markets, Mads Andenas
Mads Andenas
This paper discusses problems of harmonisation and regulation of the European Internal Financial Market. The argument is that the current division of powers between the EU and Member States is not achieving sufficient harmonisation to develop an internal market. The obstacles to the Internal Financial Market presented by national regulatory and supervisory regimes remain too high, and the EU minimum standards and mutual recognition regime has failed to lower these barriers sufficiently. There is a need for broader based regulatory and supervisory institutions, undertaking at a European level what cannot effectively be done at a national level, including providing a …
Sisteme Bancare Comparate. Comparative Analysis Of Banking Systems, Cristi Spulbăr, Mihai Nițoi
Sisteme Bancare Comparate. Comparative Analysis Of Banking Systems, Cristi Spulbăr, Mihai Nițoi
Cristi Spulbăr
No abstract provided.
Μood Effects In Optimal Debt Contracts, Nicholas Apergis, Dimitris Voliotis
Μood Effects In Optimal Debt Contracts, Nicholas Apergis, Dimitris Voliotis
Dimitris Voliotis
The impact of strong emotions or mood on decision making and risk taking is well recognized in behavioral economics and finance. Yet, and in spite of the immense interest, no study, so far, has provided any comprehensive evidence on the impact of such emotions on financial contracts and particularly on debt contracts. This paper provides the theoretical framework to study the impact of mood on financial contracting.