Calibration to FX triangles of the 4/2 model under the benchmark approach

Decisions in Economics and Finance - We calibrate a novel multifactor stochastic volatility model that includes as special cases the Heston-based model of De Col et al. (J Bank Finance...     

THE POWER OF THE FEDERAL RESERVE CHAIR

This article examines the influence exerted by the Federal Reserve chair on monetary policy decisions. We construct a voting model where the chair selects the proposal that is initially put to a vote but is subject to an acceptance constraint that incorporates the preferences of the median Federal Open Market Committee (FOMC) member and the probability of counterproposals. The model is estimated by maximum likelihood using real-time data from FOMC meetings. Results for all chairs in our sample show that the chair's proposal is the result of a compromise, reflecting a stable balance of power within the FOMC.     

A fuzzy-hybrid analysis of citizens’ perception toward immigrants in Europe

Quality & Quantity - The public and political debate about immigration now play a big role in all European elections, and there is a trend increasing an anti-immigrant sentiment that receives...     

Closed-loop Nash competition for liquidity

We study a multiplayer stochastic differential game, where agents interact through their joint price impact on an asset that they trade to exploit a common trading signal. In this context, we prove that a closed-loop Nash equilibrium exists if the price impact parameter is small enough. Compared to the corresponding open-loop Nash equilibrium, both the agents' optimal trading rates and their performance move towards the central-planner solution, in that excessive trading due to lack of coordination is reduced. However, the size of this effect is modest for plausible parameter values.