DSpace Repository

Vol. 15, No. 1 (2000)

Vol. 15, No. 1 (2000)

 

Recent Submissions

  • Yaron, Amir; Zhang, Harold H. (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    This paper investigates the effects of fixed costs on investor's decision of asset market participation. The model features a continuum of agents with heterogeneous initial wealth and attitude toward risk. We show that ...
  • Craine, Roger; Lochstoer, Lars A.; Syrtveit, Knut (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    This paper makes two contributions: (1) it presents estimates of a continuous-time stochastic-volatility jump-diffusion process (SVJD) using a simulation-based estimator, and (2) it shows that misspecified models that allow ...
  • Neftci, Salih N. (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    Domestic currency emerging market bonds form an indirect way of trading currency and credit risk. It is true that unlike eurobonds or Bradys, domestic currency emerging market bonds have no default risk in a classical ...
  • Lim, Guay C.; McNelis, Paul D. (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    This paper is concerned with excess returns in the equity markets and the evolution of systemic risk in Chile and Mexico during the years 1989-1998, a period of financial openness, policy reform and crisis. A time varying ...
  • Li, Jenny X. (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    The purpose of this paper is to compare the use of Quasi-Monte Carlo methods, especially the use of recent developed (t; m; s)-nets, versus classical Monte Carlo method for valuing _nancial derivatives. Some research has ...
  • Siddique, Akhtar R. (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000)
    This paper develops a filtering-based framework of non-parametric estimation of parameters of a diffusion process from the conditional moments of discrete observations of the process. This method is implemented for interest ...