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排序方式: 共有69条查询结果,搜索用时 15 毫秒
1.
In this paper, we study the excursions of Bessel and Cox–Ingersoll–Ross (CIR) processes with dimensions . We obtain densities for the last passage times and meanders of the processes. Using these results, we prove a variation of the Azéma martingale for the Bessel and CIR processes based on excursion theory. Furthermore, we study their Parisian excursions, and generalize previous results on the Parisian stopping time of Brownian motion to that of the Bessel and CIR processes. We obtain explicit formulas and asymptotic results for the densities of the Parisian stopping times, and develop exact simulation algorithms to sample the Parisian stopping times of Bessel and CIR processes. We introduce a new type of bond, the zero‐coupon Parisian bond. The buyer of such a bond is betting against zero interest rates, while the seller is effectively hedging against a period where interest rates fluctuate around 0. Using our results, we propose two methods for pricing these bonds and provide numerical examples. 相似文献
2.
ABSTRACTThis study investigates whether the previously reported price impact of OTC trades in the EU ETS can be attributed to their distinctively larger size (liquidity related) or to their discretionary feature (information related). The findings suggest that OTC trades induce volatility shocks that are higher in magnitude and faster resolved than those of solely high trading-intensity trades, which appears to be driven mainly by their presence, rather than by their size. An analysis of intraday price premia reveals that they are strategically placed by interacting with the organized market whenever their price and volatility impact is lower. 相似文献
3.
Kanas Angelos Zervopoulos Panagiotis D. 《Review of Quantitative Finance and Accounting》2021,57(2):461-485
Review of Quantitative Finance and Accounting - Using a mixed frequency VAR methodology, which can accommodate variables with different frequencies in a VAR framework, we model the relation between... 相似文献
4.
In this paper, we try to identify the price determinants in the biggest real estate market of Greece, the metropolitan area of Athens. For that purpose, various spatial econometric models are used to explore their prediction ability and we are displaying the variations in property prices for the wider area of Athens. These models have been compared based on different criteria such as model fit, the Akaike information criterion and variance of the residuals. Our results indicate that, in our case, the spatial general model is the most appropriate simultaneous autoregressive model when dealing with spatially autocorrelated prices of housing properties data, in terms of our selection criteria. 相似文献
5.
Efficiency analysis is an important tool for evaluating firms' performance. This paper introduces a novel approach for measuring technical efficiency (TE) in the case of technologies with multiple outputs which deals with the endogeneity of outputs issue. The proposed approach uses Artificial Neural Networks (ANNs) and the method of Limited Information Maximum Likelihood (LIML). The validity of the proposed approach is illustrated by fitting it to a large US data set for all commercial banks in the 1989–2000 time span. Meanwhile, we compare the proposed approach to the single-equation Translog output distance function and the proposed approach was found to yield very satisfactory results, while dealing with the issue of the endogeneity of outputs. 相似文献
6.
Panayotis G. Michaelides John Milios Angelos Vouldis Spyros Lapatsioras 《Forum for Social Economics》2010,39(2):171-189
This paper compares Joseph Schumpeter and Emil Lederer with respect to their visions concerning the notions of economic growth,
technology and business cycles. Their theoretical investigations in a number of thematic areas seem to converge to similar
views. More precisely, both Schumpeter and Lederer regard the capitalist economy as a dynamic system where the introduction
of innovations is its distinctive characteristic. In such a system, static analysis based on the concept of equilibrium is
useful as an expository device to describe the adjustment mechanisms of the economic system. They also paid attention to the
emergence of large oligopolistic firms and considered this development as being interwoven with technological progress. Both
economists used similar arguments to emphasize the link between economic development and technological change. In their analyses,
Schumpeter and Lederer referred to psychological factors motivating the entrepreneur, in order to explain the forces that
set in motion the process of innovation and thus economic development. The concept of technological unemployment is also described
in a similar manner by both of them. Regarding the issue of business cycles, Schumpeter and Lederer considered them to be
a result of endogenous processes within a capitalist economy. Lederer in his late works, argued in a way analogous to Schumpeter,
that economic fluctuations are caused from the disruptions created by innovations, which are introduced discontinuously into
the economic system. Conclusively, Schumpeter and Lederer delivered theses which are similar in scope and conclusions probably
because they were developed in the same social, political, theoretical and ideological environment and were also well acquainted
with each other’s ideas. 相似文献
7.
Aikaterini Vassilikopoulou George Siomkos Kalliopi Chatzipanagiotou Angelos Pantouvakis 《Journal of Retailing and Consumer Services》2009,16(3):174-180
This paper focuses on product-harm crises and examines consumer responses associated with product defect in three time periods (i.e., 3 days, 3 months and 1 year after a crisis). An experiment was conducted based on three widely accepted- influences on product-harm crisis management (i.e., crisis extent, social responsibility and organizational responses). The fourth influencing factor, time, was introduced in the present study. The four-factor model for measuring the effectiveness of product-harm crisis management was tested with particular attention to the impact of time. Crises were described in scenarios for a fictitious mobile phone. The results demonstrate that the effects of a crisis are minimal a few months after the crisis has occurred. Consumers tend to “forget” about the crisis and its effects, especially in cases when the company is socially responsible, and when the company issues a voluntary recall of its product. 相似文献
8.
We compare the out-of-sample performance of monthly returns forecasts for two indices, namely the Dow Jones (DJ) and the Financial Times (FT) indices. A linear and a nonlinear artificial neural network (ANN) model are used to generate the out-of-sample competing forecasts for monthly returns. Stationary transformations of dividends and trading volume are considered as fundamental explanatory variables in the linear model and the input variables in the ANN model. The comparison of out-of-sample forecasts is done on the basis of forecast accuracy, using the Diebold and Mariano test [J. Bus. Econ. Stat. 13 (1995) 253.], and forecast encompassing, using the Clements and Hendry approach [J. Forecast. 5 (1998) 559.]. The results suggest that the out-of-sample ANN forecasts are significantly more accurate than linear forecasts of both indices. Furthermore, the ANN forecasts can explain the forecast errors of the linear model for both indices, while the linear model cannot explain the forecast errors of the ANN in either of the two indices. Overall, the results indicate that the inclusion of nonlinear terms in the relation between stock returns and fundamentals is important in out-of-sample forecasting. This conclusion is consistent with the view that the relation between stock returns and fundamentals is nonlinear. 相似文献
9.
Angelos Adonis Antzoulatos 《International Advances in Economic Research》2011,17(3):241-257
The Greek crisis in 2010 was a tragedy waiting to happen. However, and contrary to the impression created by the stabilization
program’s immediate focus on restoring fiscal balance, its roots lie in the erosion of international competitiveness over
the past three decades and the attendant de-industrialization of the country. Catharsis, i.e., the creation of the conditions for sustainable long-run growth, requires a coherent, medium-term strategy, bolstered by
wide social consensus, to improve competitiveness and redeploy labor and other production factors to the tradeable sector.
Nevertheless, owing to the accumulated imbalances, catharsis is fraught with risks. Yet, the proposed alternatives, such as,
government debt rescheduling with possible discount and a temporary or permanent exit from EMU, are even worse. They are not
likely to succeed, for they do not adequately address the dramatic erosion of competitiveness and have severe potential repercussions. 相似文献
10.
Angelos Kanas 《Review of Quantitative Finance and Accounting》2014,43(2):393-404
As the Basel III reforms, which come into effect from 2012, place emphasis on default risk, assessing the impact of Prompt Corrective Action (PCA) on default risk is of practical relevance. We provide strong evidence that both the dynamic and the contemporaneous impact of the PCA-defined tier 1 risk-based capital ratio and the tier 1 leverage ratio on default risk is reduced following PCA’s introduction. We interpret this as evidence that PCA is effective in managing the default risk of the U.S. commercial banking sector. 相似文献