Ownership Concentration and Strategic Supply Reduction -- by Ulrich...
We explore the sensitivity of the U.S. government's ongoing incentive auction to multi-license ownership by broadcasters. We document significant broadcast TV license purchases by private equity firms...
View ArticleWinter is Coming: The Long-Run Effects of Climate Change on Conflict,...
We investigate the long-run effects of cooling on conflict. We construct a geo-referenced and digitized database of conflicts in Europe, North Africa, and the Near East from 1400-1900, which we merge...
View ArticleMacro-economic Management in an Electronic Credit/Financial System -- by...
Modern technology provides the basis of an efficient low-cost electronic payments as an alternative to the current system where fiat money is the medium of exchange. This paper explores possible...
View ArticleEvaluating Post-Secondary Aid: Enrollment, Persistence, and Projected...
This paper reports updated findings from a randomized evaluation of a generous, privately- funded scholarship program for Nebraska public college students. Scholarship offers boosted college enrollment...
View ArticleEndogenous wage indexation and aggregate shocks
Empirical and institutional evidence finds considerable time variation in the degree of wage indexation to past inflation, a finding that is at odds with the assumption of constant indexation...
View ArticleWage and price setting: new evidence from Uruguayan firms
This paper presents new evidence on wage and price setting based on a survey of more than 300 Uruguayan firms in 2013. Most of the firms set prices considering costs and adding a profit margin;...
View ArticleWhy Would Abercrombie & Fitch Pay Someone NOT to Wear Its Apparel?
When we think about social influence, we typically think about how and why people tend to feel pressures to conform to the behavior of their peers, colleagues, or teammates. We act a certain way, or...
View ArticleOn VIX Futures in the rough Bergomi model. (arXiv:1701.04260v1 [q-fin.PR])
The rough Bergomi model introduced by Bayer, Friz and Gatheral has been outperforming conventional Markovian stochastic volatility models by reproducing implied volatility smiles in a very realistic...
View ArticleWorst-Case Expected Shortfall with Univariate and Bivariate Marginals....
Worst-case bounds on the expected shortfall risk given only limited information on the distribution of the random variables has been studied extensively in the literature. In this paper, we develop a...
View ArticleA Spatial Interpolation Framework for Efficient Valuation of Large Portfolios...
Variable Annuity (VA) products expose insurance companies to considerable risk because of the guarantees they provide to buyers of these products. Managing and hedging these risks requires insurers to...
View ArticleOptimal Trading with a Trailing Stop. (arXiv:1701.03960v1 [q-fin.MF])
Trailing stop is a popular stop-loss trading strategy by which the investor will sell the asset once its price experiences a pre-specified percentage drawdown. In this paper, we study the problem of...
View ArticleA Black--Scholes inequality: applications and generalisation....
The space of call price functions has a natural noncommutative semigroup structure with an involution. A basic example is the Black--Scholes call price surface, from which an interesting inequality for...
View ArticleMarket volatility, monetary policy and the term premium
Based on empirical VAR models, we investigate the role of (option-implied) stock and bond market volatilities and monetary policy in the determination of the US 10-year term premium. Our preliminary...
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The Gamification of Work: The Use of Games in the Workplace
Despite the traditional opposition between play and work, games and their structure are increasingly used in workplaces. This phenomenon of using game elements or mechanisms in other contexts than...
View ArticleDo Boards Pick the Right Person as CEO?
What happens when the Board of Directors appoints an internal candidate to the position of CEO? Do they tend to pick the right person, or do they overlook/reject an alternative candidate that would...
View ArticleDynamic Prize Linked Savings: Maximizing Savings and Managing Risk....
Prize linked savings accounts provide a return in the form of randomly chosen accounts receiving large cash prizes, in lieu of a guaranteed and uniform interest rate. This model became legal for...
View ArticleSome correspondences between Index Number Theory in economy and the General...
GDP of China is about 11 trillion dollars and GDP of the United States is about 18 trillion dollars. Suppose that we know for the coming years, economy of the US will experience a real growth rate...
View ArticleOn the tail behavior of a class of multivariate conditionally heteroskedastic...
Conditions for geometric ergodicity of multivariate ARCH processes, with the so-called BEKK parametrization, are considered. We show for a class of BEKK-ARCH processes that the invariant distribution...
View ArticleMean-Reverting Portfolio Design with Budget Constraint. (arXiv:1701.05016v1...
This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. We first propose a general problem formulation aimed at finding a portfolio...
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