Results 161 to 170 of about 3,734 (297)

A Note on the Pricing of Real Estate Index Linked Swaps [PDF]

In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing problem has been studied by Buttimer et al. (1997) in a previous paper. We show that their results are only approximately correct and that
Björk, Tomas, Clapham, Eric
core  

How Does Progressivity Affect the Tax Cut Multiplier?

International Economic Review, EarlyView.
ABSTRACT How does the targeting of personal income tax cuts affect the output multiplier? This paper provides quantitative evidence using a heterogeneous‐agent New‐Keynesian model calibrated to match US distributions of income, wealth, marginal tax rates, and marginal propensities to consume.
Christian Gillitzer
wiley   +1 more source

Unlocking the financing potential of forest-based carbon assets: a valuation framework for pledge lending under uncertainty in China. [PDF]

Sci Rep
Zhang Y, Zhang J.
europepmc   +1 more source

Structural credit risk model driven by Lévy process under knight uncertainty. [PDF]

Ann Oper Res, 2023
Tang Z, Zhong B, Zhou L, Shen C.
europepmc   +1 more source

A Semiautoregression Approach to the Arbitrage Pricing Theory.

This paper develops a semiautoregression approach to estimate factors of the arbitrage pricing theory that has the advantage of providing a simple asymptotic variance-covariance matrix for the factor estimates, which makes it easy to adjust for ...
Mei, Jianping
core  

Asset mispricing, arbitrage, and volatility [PDF]

Market efficiency remains a contentious topic among financial economists. The theoretical case for efficient markets rests on the notion of risk-free, cost-free arbitrage. In real markets, however, arbitrage is not risk-free or cost-free.
William R. Emmons, Frank A. Schmid
core  

Rational Expectations Fools' Bubbles

International Economic Review, EarlyView.
ABSTRACT We develop a rational, Walrasian model of speculative bubbles inspired by the Kindleberger–Minsky view, which describes bubbles as wave‐like market processes. Touched off by an initial shock, price booms are initially self‐reinforcing but become self‐destructive later when prices surpass fundamental value.
Luis Araujo, Antonio Doblas‐Madrid
wiley   +1 more source

SF-Transformer: A Mutual Information-Enhanced Transformer Model with Spot-Forward Parity for Forecasting Long-Term Chinese Stock Index Futures Prices. [PDF]

Entropy (Basel)
Mao W, Liu P, Huang J.
europepmc   +1 more source

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
core  

The expected inflation risk premium in the U.S. stock market

Journal of Financial Research, EarlyView.
Abstract This article studies how expected inflation risk affects asset prices. We propose an ex‐ante, tradable proxy for this risk, derived from the term spread of gold futures prices. Using cross‐sectional and time series asset pricing tests, we show how an increase in expected inflation risk lowers contemporaneous prices and raises equity returns ...
Pascal Letourneau, Gabriel J. Power, Garrett C. C. Smith   +2 more
wiley   +1 more source