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Network calibration and metamodeling of a financial accelerator agent based model
(Springer, 2020-03-13)
We introduce a simple financially constrained production framework in which heterogeneous firms and banks maintain multiple credit connections. The parameters of credit market interaction are estimated from real data in ...
The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications
(2020-12-05)
In this paper, we propose two new representation formulas for the conditional marginal probability den- sity of the multi-factor Heston model. The two formulas express the marginal density as a convolution with suitable ...
The evolution and heterogeneity of credit procyclicality in Central and Eastern Europe
(John Wiley and SonsWiley, 2020-09-06)
This article presents empirical estimates of bank credit procyclicality for a sample of 11 Central and Eastern European countries (CEECs) for the period 2000Q1–2016Q4. In the first step, we estimate a traditional‐type panel ...
Japan's FDI drivers in a time of financial uncertainty. New evidence based on Bayesian Model Averaging
(Elsevier, 2021-01-22)
In this paper we analyse the determinants of Japanese outward FDI stock for the period 1996–2017. This period is especially relevant as it covers a process of increasing economic globalization and two financial crises. To ...
Market power, technical progress and financial fragility
(Elsevier, 2024)
We explore the nexus of market power, innovation and financial fragility by means of a macroeconomic agent based model whose core is the Dixit-Greenwald-Stiglitz (DGS) theory of firm behaviour, which nests the Greenwald-Stiglitz ...
Quo Vadis, Raters? A frontier approach to identify overratings and underratings in sovereign credit risk
(Taylor & Francis, 2020-04-03)
This study analyses overratings and underratings in sovereign credit risk. The analysis uses partial frontier methods, a technique rarely applied in this literature. By combining a robust variant of the free disposal hull ...
New stuff or better ways: what matters to access international markets?
(Taylor & Francis Open Access, 2020-09-30)
The connection of innovation and exporting is of major interest to
developing countries aiming to achieve higher growth and wellbeing. This study analyzes whether different types of innovation
affect export behavior at ...
The impact of free trade agreements on Middle East and North Africa exports of intermediate and final goods
(Wiley, 2021-10-17)
This paper is the first to analyse the impact of free trade agreements (FTAs) and the harmonisation of rules of origin (RoO) on Middle East and North African (MENA) countries’ exports differentiating between ...
McShane-Whitney extensions for fuzzy Lipschitz maps
(ElsevierNorth-HollandInternational Fuzzy Systems Association (IFSA), 2020-08-10)
We present a McShane-Whitney extension theorem for real-valued fuzzy Lipschitz maps defined between fuzzy metric spaces. Motivated by the potential applications of the obtained results, we generalize the mathematical theory ...
Audience effects and other-regarding preferences against corruption: Experimental evidence
(Elsevier, 2020-10-22)
We report results from an experiment in which two firms compete for a public project by submitting offers of quality and bribery to a public official. We study the impact of audience effects (transparency) and other regarding ...