Three essays on asset pricing in financial market

... polynomial functions available, including a piecewise constant function, a piecewise linear function over cone, high-dimensional splines, and etc., the one we consider here is a linear function in all ... dominated convergence theorem, the integral Vth is n−1 also continuous To show that Vth is nondecreasing in σT , one should note that n−1 equation (1.3.4) implies that it’s an increasing...

Ngày tải lên: 12/09/2015, 08:16

... equation da = din cin + din d in r a db = din d in r b in k + din The rational expectations equilibrium is E-stable if and only if din Proposition Suppose that (0; 1), = and in r < > Then din in ... kt+1 = cin + in r a + in k in r b + (2.5) kt : Combining (2.5) with (2.3) gives the actual law of motion for interest rates: rt+1 = din (cin + in r a) in k + din + in r b kt...

Ngày tải lên: 03/06/2014, 02:19

... the two main sources of economic growth There is a huge literature on the connections between education or innovation on the one hand and economic growth on the other Many studies focus on endogenous ... from equations (54) and (55) that an increase in the tax on consumption (τc ) or labor income (τh ) will reduce the share of consumption in final output An increase in the...

Ngày tải lên: 09/09/2015, 11:26

... is a combination of prices at all leads and lags In application, the Gonzalo-Granger common factor is a linear combination of contemporaneous prices (Stock and Watson, 1988 and Gonzalo and Granger, ... volume and market capitalization as control variables 32 The mode of trading is normal in that it involves interacting with a market maker Many trades on Nasdaq are internalized by...

Ngày tải lên: 02/11/2014, 00:34

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Ngày tải lên: 03/06/2014, 02:20

Ngày tải lên: 30/07/2014, 14:12

... who are intrinsically motivated respond to a more controlling incentive with a faster decrease of intrinsic motivation and a slower increase of extrinsic motivation, resulting in a crowding-out ... 1.2.1 Extrinsic and Intrinsic Motivation In opposition to the classical economics, there is a correlation between extrinsic and intrinsic motivation Putting it differently, the presence of one...

Ngày tải lên: 10/09/2015, 09:27

... the correlations Another related topic is the contagion effect in international markets Contagion is defined (Forbes and Rigobon (2002)) as a significant increase in cross -market linkages after a ... Finance, 7:65-75, 1988 [21] D Kenourgios, A Samitas and D Pltalidis Financial crises and stock market contagion in a multivariate time-varying asymmetric framework Journal of...

Ngày tải lên: 26/09/2015, 10:34

Ngày tải lên: 18/02/2014, 11:20

Ngày tải lên: 23/03/2014, 05:23

Ngày tải lên: 30/03/2014, 01:20

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Ngày tải lên: 03/06/2014, 01:31

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Ngày tải lên: 03/06/2014, 01:35

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Ngày tải lên: 03/06/2014, 01:47