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Now showing items 11-20 of 103
Credit Risk Modelling Under Recessionary and Financial Distressed Conditions
(2016)
This paper provides clear cut evidence that recessionary and financial distressed conditions, as well as banning foreclosure laws, often introduced by governments to mitigate the effects of the economic and/or financial ...
Discussion of "The Association Between Energy Taxation, Participation in an Emissions Trading System, and the Intensity of Carbon Dioxide Emissions in the European Union"
(2015)
Even though the role of energy taxes on emissions has been examined extensively in recent years, there has been limited empirical research on the effect of implicit tax rates on energy on emissions in the European Union. ...
Pricing and hedging GDP-linked bonds in incomplete markets
(2018)
We model the super-replication of payoffs linked to a country’s GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model we obtain a hedging ...
Bulk volume classification and information detection
(2019)
Using European stock data from two different venues and time periods for which we can identify each trade's aggressor, we test the performance of the bulk volume classification (Easley et al. (2016)
The relation between changes in the information content of earnings and expected stock returns: Empirical evidence for Japan
(2012)
This paper examines the relationship between changes in the information content of earnings with expected stock returns for the Japanese market during the period of 1991-2001. Results show that a mimicking portfolio return ...