Listar por autoría "69c1d77e-a85d-4fd3-891d-0d5474788ec6"
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A Nonparametric approach to the noise density in stochastic volatility models
Alfarano, Simone; Wagner, Friedrich; Milakovic, Mishael Taylor & Francis (2008-09)We propose a nonparametric method to determine the functional form of the noise density in discrete-time stochastic volatility models of financial returns. Our approach suggests that the assumption of Gaussian noise is ... -
A note on institutional hierarchy and volatility in financial markets
Alfarano, Simone; Raddant, Matthias; Milakovic, Mishael Taylor & Francis (2012)From a statistical point of view, the prevalence of non-Gaussian distributions in financial returns and their volatilities shows that the Central Limit Theorem (CLT) often does not apply in financial markets. In this ... -
A note on institutional hierarchy and volatility in financial markets
Alfarano, Simone; Milakovic, Mishael; Raddant, Matthias Taylor & Francis (2011-01)From a statistical point of view, the prevalence of non-Gaussian distributions in financial returns and their volatilities shows that the Central Limit Theorem (CLT) often does not apply in financial markets. In this ... -
A spectral perspective on excess volatility
Livan, Giacomo; Alfarano, Simone; Milakovic, Mishael; Scalas, Enrico Taylor & Francis (2015)We perform a rather careful spectral analysis of the correlation structures observed in real and financial returns for a large pool of long-lived US corporations, and find that financial returns are characterized by strong ... -
A statistical equilibrium model of competitive firms
Alfarano, Simone; Milakovic, Mishael; Irle, Albrecht; Kauschke, Jonas Elsevier (2012-01)We find that the empirical density of firm profit rates, measured as returns on assets, is markedly non-Gaussian and reasonably well described by an exponential power (or Subbotin) distribution. We start from a statistical ... -
Der dichte Kern des Netzwerks deutscher Aufsichtsräte und Unternehmensvorstände
Milakovic, Mishael; Alfarano, Simone; Lux, Thomas Springer-Verlag (2012-11)In a previous study the authors have identified a small core of directors who are both highly central to the entire network of German corporate boards as well as closely connected among themselves. In this note the authors ... -
Does classical competition explain the statistical features of firm growth?
Alfarano, Simone; Milakovic, Mishael Elsevier (2008)We propose a statistical equilibrium model where the tendency for competition to equalize profit rates results in an exponential power (or Subbotin) distribution. The model supports and extends recent evidence on the Laplace ... -
Exploiting ergodicity in forecasts of corporate profitability
Mundt, Philipp; Alfarano, Simone; Milakovic, Mishael Elsevier (2019-12-13)Theory suggests that competition tends to equalize profit rates through the process of capital reallocation, and numerous studies have confirmed that profit rates are indeed persistent and mean-reverting. Recent empirical ... -
Firm profitability and the network of organizational capabilities
Wagner, Friedrich; Milakovic, Mishael; Alfarano, Simone Elsevier (2010)A Laplace distribution for firm profit rates (or returns on assets) can be obtained through the sum of many independent shocks if the number of shocks is Poisson distributed. Interpreting this as a linear chain of events, ... -
Gibrat's Law Redux: think profitability instead of growth
Mundt, Philipp; Alfarano, Simone; Milakovic, Mishael Oxford University Press (OUP) (2015)We argue that firm profitability can be conveniently characterized by one and the same diffusion process for all firms, akin to Gibrat’s seminal idea of a common stochastic description for the dynamics of firm growth. Here ... -
Interdisciplinary Applications of Physics in Economics and Finance
Alfarano, Simone; Lux, Thomas; Milakovic, Mishael Springer-Verlag (2010) -
The Real Versus the Financial Economy: A Global Tale of Stability Versus Volatility
Mundt, Philipp; Förster, Niels; Alfarano, Simone; Milakovic, Mishael Dennis J. Snower (2014)The question how the real and the financial side of a capitalist economy relate to each other has been a frequently recurring topic in the history of economic thought. Our paper addresses this question from the viewpoint ... -
The small core of the German corporate board network
Milakovic, Mishael; Alfarano, Simone; Lux, Thomas Springer US (2010)We consider the bipartite graph of German corporate boards and identify a small core of directors who are highly central in the entire network while being densely connected among themselves. To identify the core, we compare ... -
The Small Core of the German Corporate Board Network
Alfarano, Simone; Milakovic, Mishael; Lux, Thomas Institut für Weltwirstach (2008)We consider the current bipartite graph of German corporate boards and identify a small core of directors who are highly central in the entire network while being densely connected among themselves. To identify the core, ... -
What distinguishes individual stocks from the index?
Wagner, Friedrich; Milakovic, Mishael; Alfarano, Simone Springer-Verlag (2010)Stochastic volatility models decompose the time series of financial returns into the product of a volatility factor and an iid noise factor. Assuming a slow dynamic for the volatility factor, we show via nonparametric tests ...