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Econometric analysis of financial derivatives: An overview [PDF]
Journal of Econometrics, 2015 One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special issue of the journal on “Econometric Analysis of Financial
Chia-Lin Chang, Michael McAleer
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Potato farming in Southwest Colombia: Types of farmers and their technical efficiency
Ciencia y Tecnología Agropecuaria, 2022 Potato is a traditional and economically important crop for farmers in the high mountainsof Nariño (Colombia). However, its productivity growth is weakening, injuring farmers’ livelihoods.
Jose María Martínez +3 more
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Is Corruption Contagious? An Econometric Analysis [PDF]
SSRN Electronic Journal, 2008 In this paper, I analyze how corruption in one country may be affected by its neighbors' corruption. It seeks to explain why corruption is perpetuating in large geographical areas populated by developing countries despite anticorruption efforts made in the single country.
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A Parametric Factor Model of the Term Structure of Mortality
Econometrics, 2019 The prototypical Lee–Carter mortality model is characterized by a single common time factor that loads differently across age groups. In this paper, we propose a parametric factor model for the term structure of mortality where multiple factors are
Niels Haldrup +1 more
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Analysis of Lithuanian credit default swaps
Journal of Business Economics and Management, 2015 This paper studies international sovereign Credit Default Swaps (CDS) market focusing attention to the CDS of Central and East Europe. The main purpose of the study was to perform detail analysis of Lithuanian CDS in the global capital market.
Arvydas Kregzde, Gediminas Murauskas
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Solution of the Fractional Black-Scholes Option Pricing Model by Finite Difference Method
Abstract and Applied Analysis, 2013 This work deals with the put option pricing problems based on the time-fractional Black-Scholes equation, where the fractional derivative is a so-called modified Riemann-Liouville fractional derivative.
Lina Song, Weiguo Wang
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Relationship between Lithuanian sovereign credit risk and equity market
Business, Management and Education, 2015 We analyse relationship between Lithuanian sovereign credit risk and equity market. The aim of the paper is to find the impact of the sovereign credit risk, which is expressed in the terms of Credit Default Swaps (CDS), on the movements of stocks prices ...
Aistė Abazoriūtė, Arvydas Kregždė
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Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity
Econometrics, 2015 We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized
Isao Ishida, Virmantas Kvedaras
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Финансы: теория и практика, 2022 This study aims to identify the main factors that can influence the growth of the regional economy in order to assess the effectiveness of the government support measures for regions, designed to stimulate the regional domestic product growth.
I. V. Tregub, M. Iaco
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An econometric analysis of Shanghai office rents [PDF]
, 2009 The modern commercial office market in Shanghai emerged with China’s economic reform and open door policy in the 1980s and grew rapidly at the beginning of 1990s,with increasing demand for office space from foreign and domestic occupiers.
Ke, Q, White, M
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