Results 61 to 70 of about 131,825 (170)
The Absence of Arbitrage on the Complete Black-Scholes-Merton Regime-Switching Lévy Market
Ekonometria, 2021 The main aim of the paper was to prove that the complete Black-Scholes-Merton regime- -switching Lévy market is characterized by an absence of arbitrage.
Anna Sulima
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The validity and time-horizon of the Fed model for equity valuation: a co-integration approach
Journal of Banking and Financial Economics, 2015 Investors do arbitrage between bonds and stocks. The so-called “Fed model” asserts that comparing the level of the earnings yields of stocks to the nominal government bond yields is relevant when assessing the relative values of the two asset classes ...
Fabien Mercier
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How Prevalent is Tax Arbitrage? Evidence from the Market for Municipal Bonds [PDF]
Although tax arbitrage is central to the literatures on tax capitalization, implicit taxes, and even capital structure, there is little empirical evidence of the extent to which firms actually engage in tax arbitrage. This paper provides some evidence on
Austan Goolsbee +2 more
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EnergiesThis paper presents an economic assessment of seawater thermal energy storage (TES) integrated with industrial heat pumps to couple renewable electricity generation with urban district heating networks.
Timur Abbiasov +5 more
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Drivers of grain price volatility: a cursory critical review
Agricultural Economics (AGRICECON), 2018 Understanding the determinants of price volatility is a key step to prevent the potential negative consequences of the uncertainty faced by farmers. The presented critical review provides a novel categorization of grain price volatility drivers.
Fabio Gaetano Santeramo +4 more
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Implementation of Optimal Scheduling Algorithm for Multi-Functional Battery Energy Storage System
Energies, 2019 Energy storage system (ESS) can play a positive role in the power system due to its ability to store, charge and discharge energy. Additionally, it can be installed in various capacities, so it can be used in the transmission and distribution system and ...
Hee-Jun Cha, Sung-Eun Lee, Dongjun Won
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Evaluating Battery Degradation Models in Rolling-Horizon BESS Arbitrage Optimization
EnergiesBattery Energy Storage Systems (BESS) can benefit from price volatility in electricity markets, but frequent cycling increases degradation and reduces long-term value. This study develops a rolling-horizon dispatch framework in which battery operation is
Chase Humiston +2 more
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Arbitrage in the foreign exchange market: Turning on the microscope [PDF]
This paper investigates the presence and characteristics of arbitrage opportunities in the foreign exchange market using a unique data set for three major capital and foreign exchange markets that covers a period of more than seven months at tick ...
Dagfinn Rime +2 more
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Pravo trećih da svoja potraživanja ostvaruju u arbitražnom postupku : (prikaz presude)
Poredbeno Pomorsko Pravo, 2006 Iako broker nije ugovorna strana u ugovoru o iskorištavanju broda, pa time ni u arbitražnom sporazumu sadržanom u takvom ugovoru, ovlašten je i obvezan ostvarivati svoje pravo na plaćanje brokerske provizije pokretanjem arbitražnog postupka protiv ...
Zoran Tasić
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How arbitrage-free is the Nelson-Siegel Model? [PDF]
We test whether the Nelson and Siegel (1987) yield curve model is arbitrage-free in a statistical sense. Theoretically, the Nelson-Siegel model does not ensure the absence of arbitrage opportunities, as shown by Bjork and Christensen (1999).
Coroneo, Laura +2 more
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