Results 91 to 100 of about 23,267,637 (274)
The Role of Variance Risk Premium in Derivative Pricing: Modeling, Estimation and Impact
Journal of Futures Markets, EarlyView.ABSTRACT This paper estimates a model where variance risk premiums (VRP) is not fully explained by equity risk premiums (ERP). This separation can be detected thanks to a new breed of GARCH models with enough innovations to disconnect returns from variances. This type of risk‐neutralization is compatible with continuous‐time settings.
Marcos Escobar‐Anel +2 more
wiley +1 more source
Shape of Yield Curves Under Instrument‐Based Parallel Shifts
Journal of Futures Markets, EarlyView.ABSTRACT This paper studies the shape of zero and par yield curves through the carry and convexity of zero‐bond and par–swap butterflies under instrument‐based parallel shifts: the component instruments are held fixed, and each instrument's own quote receives the same additive shock.
Jian Sun
wiley +1 more source
New Evidence on the Formation of Trade Policy Preferences [PDF]
This paper revisits the issue of people's preferences for international trade protection examining survey data from the American National Election Studies. I first show that both an individual's skills and the international trade characteristics of their
Bruce Blonigen
core
Geological Journal, EarlyView.This work advances landslide susceptibility mapping by incorporating short‐term trigger data with landscape susceptibility mapping. We also examine the importance of downsampling, watershed delineation and geospatial correlations in evaluating outcomes.
Kanta Kotsugi +3 more
wiley +1 more source
City size and the Henry George theorem under monopolistic competition [PDF]
We analyze the equilibrium and the optimal resource allocations in a monocentric city under monopolistic competition. Unlike the constant elasticity of substitution (CES) case, where the equilibrium markups are independent of the city size, we present a ...
BEHRENS, Kristian, MURATA, Yasusada
core
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper examines the impact of trade liberalisation on income inequality across 24 Sub‐Saharan African (SSA) countries from 2000 to 2020. Using IV‐Tobit and 2SLS models, we consistently find that greater trade openness significantly exacerbates inequality in the region. Critically, we document an inverted U‐shaped relationship between trade
Guivis Zeufack Nkemgha +2 more
wiley +1 more source
Motive and Opportunity: Order Choice in a Limit Order Book With Dispersed Information
International Journal of Finance &Economics, EarlyView.ABSTRACT We test predictions of market microstructure theory relating to the determinants of order choice in a limit order book where information is dispersed among traders. Using an experimental limit order book, with a large state space, we find that informed traders exhibit patience, compatible with the ‘waiting game’ behaviour described in Foster ...
James Steeley +2 more
wiley +1 more source
A Theorem on Preference Aggregation [PDF]
I present a general theorem on preference aggregation. This theorem implies, as corollaries, Arrow's Impossibility Theorem, Wilson's extension of Arrow's to non-Paretian aggregation rules, the Gibbard-Satterthwaite Theorem and Sen's result on the ...
Salvador Barberà
core
East Asia/Pacific natural gas trade : final report [PDF]
, 1986 Final report;Series from publisher's list.Includes bibliographical references.International Natural Gas Trade Project, Center for Energy Policy Research, Energy Laboratory, Massachusetts Institute of ...
core
Impact of Geography on Institutions in Agricultural and Nomadic Societies
International Studies of Economics, EarlyView.ABSTRACT How geography affects the choice of institutions is studied in a theoretical model. In this model, nations are located around a circle. Rulers compete through choosing tax rates, the level of military spending, and the degree of formality of institutions. Geographic condition is captured by population density.
Haiwen Zhou
wiley +1 more source