Results 91 to 100 of about 7,656 (241)

The Role of Index Fund Ownership in the Era of Say‐on‐Pay

Financial Management, EarlyView.
ABSTRACT We examine whether and how index funds influence executive compensation in the post‐Say‐on‐Pay era. Using the annual reconstitution of the Russell indexes as a source of exogenous variation in index fund ownership, we document a causal effect of index ownership on CEO pay structure.
Kiseo Chung, Hwanki Brian Kim
wiley   +1 more source

Life Cycle Consumption and Portfolio Choice Under Real Interest Rate Risk

Financial Management, EarlyView.
ABSTRACT We set up a life cycle model with real interest rate risk to demonstrate that real interest rates have implications for optimal household consumption and investments. Lower interest rates lead to higher optimal stock investments and lower consumption.
Marcel Fischer, Natascha Jankowski
wiley   +1 more source

Pricing the Weather Derivatives in the Presence of Long Memory in Temperatures [PDF]

Weather derivatives are financial contracts for which the underlying is not a traded asset. Therefore, they cannot be priced by the traditional financial theory based on the hedging portfolio and on the arbitrage-free argument.
Hélène Hamisultane
core  

Erythrocyte ‘Feierzeit’ reaction: Novel filamentous and vesicular response to n‐butyl acetate

Journal of Microscopy, EarlyView.
Abstract Human erythrocytes (red blood cells; RBCs) undergo spontaneous disassembly after several hours of exposure to n‐butyl acetate (nBA). Images of the morphological changes were captured in time‐lapse sequences using differential interference contrast (DIC) light microscopy.
Philip W. Kuchel
wiley   +1 more source

A NEW MODEL FOR STOCK PRICE MOVEMENTS [PDF]

This paper presents a new alternative diffusion model for asset price movements. In contrast to the popular approach of Brownian Motion it proposes Deterministic Diffusion for the modelling of stock price movements.
Guido VENIER
core  

The Debt‐Equity Spread

The Journal of Finance, EarlyView.
ABSTRACT We propose a measure of the valuation gap between debt and equity—debt‐equity spread (DES)—based on the difference between actual and equity‐implied credit spreads. DES predicts cross‐sectional stock and bond returns in opposite directions.
HUI CHEN, ZHIYAO CHEN, JUN LI
wiley   +1 more source

The Multiparameter Fractional Brownian Motion

, 2006
9 pagesInternational audienceWe define and study the multiparameter fractional Brownian motion. This process is a generalization of both the classical fractional Brownian motion and the multiparameter Brownian motion, when the condition of independence ...
Herbin, Erick, Merzbach, Ely
core  

Adaptive Estimation for Weakly Dependent Functional Times Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose adaptive mean and autocovariance function estimators for stationary functional time series under 𝕃p−m‐approximability assumptions. These estimators are designed to adapt to the regularity of the curves and to accommodate both sparse and dense data designs.
Hassan Maissoro, Valentin Patilea, Myriam Vimond   +2 more
wiley   +1 more source

Functional Vašiček Model

Journal of Time Series Analysis, EarlyView.
ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka, Neda Mohammadi, Leonardo Santoro, Hong Miao, Haonan Wang   +4 more
wiley   +1 more source

Reflected fractional Brownian motion in one and higher dimensions. [PDF]

Phys Rev E, 2020
Vojta T, Halladay S, Skinner S, Janušonis S, Guggenberger T, Metzler R.   +5 more
europepmc   +1 more source