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472 records from EconBiz based on author Name
1. Covariates hiding in the tails
abstractScaling behavior measured in cross-sectional studies through the tail index of a power law is prone to a bias. This hampers inference; in particular, time variation in estimated tail indices may be erroneous. In the case of a linear factor model, the factor biases the tail indices in the left and right tail in opposite directions. This fact can be exploited to reduce the bias. We show how this bias arises from the factor, how to remedy for the bias and how to apply our methods to financial data and geographic location data.
Bachem, Milian; Ergun, Lerby M.; Vries, Casper G. de;2021
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:
Link Link 2. The term structure of currency futures' risk premia
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
Citations: 3 (based on OpenCitations)
3. Covariates Hiding in the Tails
abstractScaling behavior measured in cross-sectional studies through the tail index of a power law is prone to a bias. This hampers inference; in particular, observed time variation in estimated tail indices may be more apparent than real. In the case of a linear factor model, the factors bias the tail indices in the left and right tail in opposite directions. This fact can be exploited to reduce the bias. We show how this bias arises from a factor, how to remedy for the bias and how to apply our methods to financial data and geographic location data
Bachem, Milian; Ergun, Lerby Murat; Vries, Casper G. de;2022
Availability: Link Link
Citations: 1 (based on OpenCitations)
4. Currency futures' risk premia and risk factors
abstractThe use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We find that the forward premium puzzle (FFP) depends significantly on the maturity horizon of the futures contract and the choice of sampling period. The FFP appears to be a pre-crisis phenomenon and is only observed for maturities longer than about one month. When examining whether the observed excess returns of futures contracts represent a fair compensation for currency risk, we find that non-durable consumption risk and market risk can explain excess currency returns. But only in the pre-crisis period and when the maturity of the assets is longer than about three months.
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de;2020
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:
Link Link 5. Tail index estimation : quantile-driven threshold selection
abstractThe selection of upper order statistics in tail estimation is notoriously difficult. Methods that are based on asymptotic arguments, like minimizing the asymptotic MSE, do not perform well in finite samples. Here, we advance a data-driven method that minimizes the maximum distance between the fitted Pareto type tail and the observed quantile. To analyze the finite sample properties of the metric, we perform rigorous simulation studies. In most cases, the finite sample-based methods perform best. To demonstrate the economic relevance of choosing the proper methodology, we use daily equity return data from the CRSP database and find economically relevant variation between the tail index estimates.
Daníelsson, Jón; Ergun, Lerby M.; Haan, Laurens de; Vries, Casper G. de;2019
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link
Link 6. Asset-based lending
abstractAsset-based lending, the supply of loans based on floating collateral, is an important source of funding for small .rms. We analyze the effect of competition on asset-based loan markets on interest rate distributions and the mobility of small firms. Close monitoring of collateral by lenders results in an informational advantage for the incumbent lender and third-degree price discrimination. We find that adverse selection results in a unique equilibrium in which lenders randomize interest rates and firms switch lender with positive probability. Increased competition between lenders does not benefit firms through lower expected interest rates, neither does it improve their mobility.
Bijkerk, Suzanne H.; Vries, Casper G. de;2019
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link Link
7. On Agricultural Commodities' Extreme Price Risk
abstractWe show how fat tails in agricultural commodity returns arise endogenously from productivity shocks in a standard macroeconomic model. Using nearly ninety years of data, we show that the eight agricultural commodities in our sample exhibit fat-tailed return distributions. Statistical tests confirm the heavy-tailedness of price spikes for agricultural commodities. We apply extreme value theory to estimate the size and likelihood of price spikes in agricultural commodities. Back-testing verifies the validity of our risk assessment methodology
van Oordt, Maarten R.C; Stork, Philip; Vries, Casper G. de;2021
Availability: Link
8. The Herodotus Paradox
abstractThe Babylonian bridal auction, described by Herodotus, is regarded as one of the earliest uses of an auction in history. Yet, to our knowledge, the literature lacks a formal equilibrium analysis of this auction. We provide such an analysis for the two-player case with complete and incomplete information, and in so doing identify what we call the “Herodotus Paradox.”
Baye, Michael R.; Kovenock, Daniel J.; Vries, Casper G. de;2021
Availability: Link Link
9. Fundamentals and Joint Currency Crises
abstractIn this note we demonstrate that in affine models for bilateral exchange rates, the nature of return interdependence during crises depends on the tail properties of the fundamentals' distributions. We denote crisis linkages as either strong or weak, in the sense that the dependence remains or vanishes asymptotically. We show that if one currency return reaches crisis levels, the probability that the other currency breaks down as well vanishes asymptotically if the fundamentals' distributions exhibit light tails (like e.g. the normal). However, if the marginal distributions exhibit heavy tails, the probability that the other currency breaks down as well remains strictly positive even in the limit. This result implies that linearity and heavy tails are sufficient conditions for joint or contagious currency crises to happen systematically through fundamentals
Hartmann, Philipp; Straetmans, Stefan; Vries, Casper G. de;2021
Availability: Link Link
Citations: 4 (based on OpenCitations)
10. Generational Accounting, Solidarity and Pension Losses
abstractThe creeping stock market collapse eroded the wealth of funded pension systems. This led to political tensions between generations due to the fuzzy definition of property rights on the pension funds wealth. We argue that this problem can best be resolved by the introduction of generational accounts. Using modern portfolio and consumption planning theory we show that the younger generations should have the higher equity exposure due to their human capital. Capital losses should be distributed smoothly over lifetime consumption. When stock markets are depressed equity should be bought, savings and consumption should be scaled down equiproportionally, and retirement should be postponed. Portfolio investment restrictions are quite costly
Teulings, Coen N.; Vries, Casper G. de;2021
Availability: Link Link
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