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Credit Spreads in Illiquid Markets: Model and Implementation
(ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2012)
This paper presents a methodology for estimating a family of credit spread term structures in a market with few transactions. The authors propose partitioning the market into risk classes and modeling credit spread term ...
The Role of Jumps and Options in the Risk Premia of Interest Rates
(Sociedade Brasileira de Econometria, 2019)
Does input purchase cooperation foster downstream collusion?
(Universidad de Chile, Facultad de Economía y Negocios, 2012)
We set up a model where two retailers compete downstream and buy their
inputs from a single producer. Retailers may collude downstream, when
fixing the retail price and cooperate upstream by jointly negotiating the
wholesale ...
Comportamento de preços na revenda do etanol e da gasolina na cidade de Sorocaba
(Universidade Federal de São CarlosUFSCarPrograma de Pós-Graduação em Educação - PPGEd-SoCâmpus Sorocaba, 2019-04-12)
The purpose of this study was to investigate the characteristics and regulation of the fuel retail market in order to analyze the behavior of the prices practiced by retailers of liquid fuel (Hydrous Ethanol and Gasoline ...
Avaliação de ofertas públicas iniciais no Brasil segundo as abordagens de Múltiplos e de Lucros Residuais
(Universidade Federal de Minas GeraisBrasilFACE - FACULDADE DE CIENCIAS ECONOMICASPrograma de Pós-Graduação em Ciências ContábeisUFMG, 2019-04-26)
The main objective of this study was to verify which of the Comparable Method and the Residual Income Model has the best ability to evaluate Initial Public Offerings in Brazil between 2010 and 2018. The Comparable Method ...
Co2 mitigation service of Costa Rican secondary forests as an economic alternative for joint implementation initiatives
This paper summarizes work in progress by the Silviculture and Natural Forests Management
Project (PROSIBONA) CATIE-COSUDE' on quantification and valuation of carbon sink service
in humid tropical forests. The study deals ...
Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model
(2019)
In this paper we consider the capital asset pricing model under the multivariate normal distribution for modeling asset returns. We develop and implement local influence diagnostic techniques not based on likelihood ...
Term-structure estimation in markets with infrequent trading
(WILEY-BLACKWELL, 2007)
There are two issues that are of central importance in term-structure analysis. One is the modelling and estimation of the current term structure of spot rates. The second is the modelling and estimation of the dynamics ...
Testosterone and cortisol jointly predict the ambiguity premium in an ellsberg-urns experiment
Previous literature has tried to establish whether and howsteroid hormones are related to economic risk-taking. In this study, we investigate the relationship between testosterone (T) and cortisol (C) on one side and ...
Behavioral biases under nonlinear pricing: evidence from industry of mobile broadband services in Ecuador
(Pontificia Universidad Católica del PerúPE, 2019)