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The geography of social capital and innovation in the European Union
(Wiley, 2019)
This paper assesses the role of the associational activity dimension of social capital in regional innovation for 257 EU 28 regions in the pre‐crisis (2000–2007) and the crisis (2008–2012) period. The analysis is carried ...
Macroeconomic implications of mortgage loan requirements: an agent-based approach
(Springer, 2019-03)
It is a well-known fact that the housing market, with its associated mortgage securities, plays a crucial role in modern economies. The recent crisis of 2007, triggered by the U.S. real estate bubble, confirms this key ...
Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility
(Elsevier, 2016)
We explore the issue of estimating a simple agent-based model of price formation in an asset market using the approach of Alfarano et al. (2008) as an example. Since we are able to derive various moment conditions for this ...
Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data
(Elsevier, 2016)
This paper adopts the Markov-switching multifractal (MSM) model and a battery of generalized autoregressive conditional heteroscedasticity (GARCH)-type models to model and forecast oil price volatility. Extending previous ...
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 ...
Daily happiness and stock returns: Some international evidence
(Elsevier, 2016-10-15)
In this paper, we examine the relations between the daily happiness sentiment extracted from Twitter and the stock market performance in 11 international stock markets. By partitioning this happiness sentiment into quintiles ...
Which cryptocurrency data sources should scholars use?
(Elsevier, 2022-02-16)
Inspired by Alexander and Dakos (2020), we shed more light on the adequacy of data in the cryptocurrency literature by analysing the scaling properties and underlying processes of the main cryptocurrency databases ...
The Challenges of Socially Responsible Investment Among Institutional Investors: Exploring the Links Between Corporate Pension Funds and Corporate Governance
(Wiley, 2009)
During the last few decades, globalization of finance markets has come under increasing pressure to manage the many risks that companies face due to the negative impact that certain financial crises have had on securities ...
Aid and Trade – A Donor's Perspective
(Taylor & Francis, 2009)
One reason donors provide foreign aid is to support their exports to aid-recipient countries. Time
series data for Germany suggests an average return of between US$ 1.04 to US$ 1.50 for each US dollar of aid
spent by ...
Profit efficiency and earnings quality: Evidence from the Spanish banking industry
(Springer, 2019-05)
The analysis of efficiency and productivity in banking has received a great deal of attention for almost three decades now.However, most of the existing literature to date has not explicitly accounted for risk when measuring ...