Financial development and dynamic investment behavior: Evidence from panel VAR
, 2006 Inessa Love, Lea Zicchino
semanticscholar +1 more source
Proportional transaction costs on asset trades : a note on existence by homotopy methods [PDF]
We prove existence of equilibria with proportional transaction costs on asset trading, using homotopy methods.Transaction costs; incomplete markets; homotopy ...
CITANNA, Alessandro
core
Investment risk forecasting model using extreme value theory approach combined with machine learning
AIMS MathematicsInvestment risk forecasting is challenging when the stock market is characterized by non-linearity and extremes. Under these conditions, VaR estimation based on the assumption of distribution normality becomes less accurate.
Melina Melina +3 more
doaj +1 more source
VAR for VaR: measuring systemic risk using multivariate regression quantiles. [PDF]
This paper proposes methods for estimation and inference in multivariate, multi-quantile models. The theory can simultaneously accommodate models with multiple random variables, multiple confidence levels, and multiple lags of the associated quantiles ...
Kim, Tae-Hwan +2 more
core +1 more source
Limit order book as a market for liquidity [PDF]
We develop a dynamic model of an order-driven market populated by discretionary liquidity traders. These traders must trade, yet can choose the type of order and are fully strategic in their decision.
FOUCAULT, Thierry +2 more
core
What does it take to be good parent ? Opening the black-box of value creation in the unrealated multibusiness firm [PDF]
This paper develops and tests new theory about the determinants of value creation in unrelated multibusiness firms from a resource-based perspective.
Meier, Degenhard, Olivier, Gottschalg
core
Buxus Microphylla var. Koreana Nakai Extract for the Treatment of Gastric Cancer
, 2013 Hee Jung Lee +3 more
openalex +1 more source
Knowledge Diffusion, Supplier's Technological Effort and Technology Transfer via Vertical Relationships [PDF]
This paper studies the effect of knowledge diffusion on the incentives for developed countries(DC)' firms to undertake costly technology transfer to their developing countries(LDC)' suppliers whose cost of production varies inversely with their ...
GOH, Ai-Ting
core
Information sharing, liquidity and transaction costs in floor-based trading systems [PDF]
We consider information sharing between traders("floor brokers") who possess different types of information, namely information on the payoff of a risky security or information on the volume of liquidity trading in this security.
FOUCAULT, Thierry, LESCOURRET, Laurence
core
Financial Innovation and Price Volatility [PDF]
In a three-period finite competitive exchange economy with incomplete financial markets and retrading, we show the generic existence of financial innovation which decreases equilibrium price volatility (as well as innovation which increases it).
Alessandro, CITANNA
core