We propose a market–based approach to the modelling of implied volatility, in which the implied volatility surface is directly used as the state variable to describe the joint evolution of market prices of options and their underlying asset. We model the evolution of an implied volatility surface by representing it as a randomly fluctuating surface driven by a finite number of orthogonal random factors. Our approach is based on a Karhunen–Loeve decomposition of the daily variations of implied volatilities obtained from market data on SP500 and DAX options. We illustrate how this approach extends and improves the accuracy of the well–known 'sticky moneyness' rule used by option traders for updating implied volatilities. Our approach gives a justification for the use of 'Vegas' for measuring volatility risk and provides a decomposition of volatility risk as a sum of independent contributions from empirically identifiable factors. (J.E.L.: G130, C14, C31). 相似文献
This paper investigates the role of social ties and family embeddedness for corporate entrepreneurship in family firms. Family firms are mostly characterized by close and often inseparable ties between the dominant family coalition and the firm and offer specific resources within a context of both rational as well as non-rational factors that influence entrepreneurial strategies. We empirically test (n =?181) the relationship between binding social ties and innovation, strategic renewal, and corporate venturing. Our findings indicate a strong significance for networks and close and stable relationships both to inside the firm and the outside in decision making for corporate venturing and innovation. In contrast, the results for strategic renewal show no relevance of strong social ties. We link up with the debate on the role of owners as an important stakeholder group.
ML–estimation of regression parameters with incomplete covariate information usually requires a distributional assumption regarding the concerned covariates that implies a source of misspecification. Semiparametric procedures avoid such assumptions at the expense of efficiency. In this paper a simulation study with small sample size is carried out to get an idea of the performance of the ML–estimator under misspecification and to compare it with the semiparametric procedures when the former is based on a correct assumption. The results show that there is only a little gain by correct parametric assumptions, which does not justify the possibly large bias when the assumptions are not met. Additionally, a simple modification of the complete case estimator appears to be nearly semiparametric efficient. 相似文献
The North-America Free Trade Agreement (NAFTA) has brought together the economies of Canada, Mexico, and the US into forming one of the largest trading blocs worldwide (within the top CO2 emitters). However, the current global protectionist discourse threatens the agreement. This paper analyzes the energy and energy-related CO2 emission relationships between NAFTA countries in 2014 to gain insights into the climate change implications of current integration and the possible cancelation of the agreement. The analysis is performed with a multi-regional version of the multi-factor energy input–output model. The results show that NAFTA has not built a single integrated energy system, though it has helped reduce energy-related CO2 emissions. Moreover, if NAFTA is not revoked, further integration would depend on the capacity of the Mexican energy sector to converge to the performance of its trade partners’ energy sectors. Conversely, a broken deal would induce negative environmental externalities. 相似文献
This study provides a survey of recent advances in the literature on proposed African monetary unions. The survey comprises about 70 empirical papers published during the past 15 years. Four main strands are discussed individually and collectively. They comprise the proposed: (i) West African Monetary Zone (WAMZ), (ii) East African Monetary Union (EAMU), (iii) Southern African Monetary Union (SAMU) and (iv) African Monetary Union (AMU). We observe a number of issues with establishing the feasibility and/or desirability of potential monetary unions, inter alia, they are variations in: choice of variables, empirical strategies, sampled countries and considered periodicities. We address this ambiguity by reviewing studies with scenarios that are consistent with Hegelian dialectics and establish selective expansion as the predominant mode of monetary integration. Some proponents make cases for strong pegs and institutions as viable alternatives to currency unions. Using cluster analysis, disaggregating panels into sub-samples and distinguishing shocks from responses in the examination of business cycle synchronisation provide more subtle policy implications. We caution that for inquiries using the same theoretical underpinnings, variables and methods just by modifying the scope/context and periodicity may only contribute to increasing the number of conflicting findings. Authors should place more emphasis on new perspectives and approaches based on caveats of, and lessons from the European Monetary Union (EMU) and CFA zones. 相似文献
This study investigates the effect information sharing has on financial sector development in 53 African countries for the period 2004 to 2011. Information sharing is measured with private credit bureaus and public credit registries. Hitherto unexplored dimensions of financial sector development are employed, namely: financial sector dynamics of formalization, informalization, and non-formalization. The empirical evidence is based on Ordinary Least Squares (OLS) and Generalized Method of Moments (GMM). The following findings are established. Information-sharing bureaus increase (reduce) formal (informal/non-formal) financial sector development. In order to ensure that information-sharing bureaus improve (decrease) formal (informal/non-formal) financial development, public credit registries should have between 45.45 and 50% coverage while private credit bureaus should have at least 26.25% coverage. 相似文献
In a Bertrand-oligopoly experiment, firms choose whether or not to engage in cartel-like communication and, if so, they may get fined by a cartel authority. We find that the four-firm industries form cartels more often than the duopolies because they gain less from a hysteresis effect after cartel disruption. 相似文献