On the Measurement of financial market integration. [PDF]
The paper presents sorne vector optimization problems to measure arbitrage and integration of financial markets. This new approach may be applied under static or dynamic asset pricing assumptions and leads to both, numerical and stochastic integration ...
Balbás, Alejandro
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Spatiotemporal bidding for multi-energy systems with photovoltaic dominance: a scenario-based Stackelberg-Nash game formulation. [PDF]
Sci RepQiao H, Wen S, Zhang Y, Zhang J, Li K.
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On modelling credit risk using Arbitrage Free Models [PDF]
By examining the distribution of state prices obtained from binomial versions of Jarrow and Turnbull (1995), Lando (1998) and Duffie and Singleton (1999), we are able to suggest which credit risk parameters are of critical interest.
Antonio Diaz, Frank Skinner
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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
Merle Erickson +2 more
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Purchasing sugar-sweetened beverages in Island Lake Anisininew First Nations. [PDF]
Int J Circumpolar HealthRiediger ND +9 more
europepmc +1 more source
Regional asymmetry in financial markets: Pricing of skewness risk in the Thai stock market. [PDF]
PLoS OneHuynh TT, Khoa BT.
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An optimization framework for battery health management in vehicle-to-grid systems integrating transformer-based degradation prediction and grid service requirements. [PDF]
Sci RepZhong C, Ma Q, Ren M, Xiong L.
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Evaluating Asset Pricing Implications of DSGE Models [PDF]
This paper conducts an econometric evaluation of structural macroeconomic asset pricing models. A one-sector dynamic stochastic general equilibrium model (DSGE) with habit formation and capital adjustment costs is considered.
Kevin L. Reffett, Frank Schorfheide
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Temporally consistent tri ledger settlement enables robust and noncontestable coordination in interprovincial power systems. [PDF]
Sci RepMa X, Lv S, Hu W, Huang C, Tan Z.
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Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes [PDF]
The aim of this paper is to identify the fundamental factors that drive the allowances market and to built an APT-like model in order to provide accurate forecasts for CO2. We show that historic dependency patterns emphasis energy, natural gas, oil, coal
Antonin Lassoudière +2 more
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