Reference-dependence and asymmetric preferences model
Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model
... the dependence structure of the ...the dependence of each sector or stock with the S&P 500 index return, while the right panel contains the copulas that capture the dependence between every stock and ...
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Price dependence between coffee qualities: a copula model to evaluate asymmetric responses
... of asymmetric price dependence between the pairs Brazilian–Robusta, Brazilian–Others and Others–Robusta, since price booms and price crashes are transmitted with different probabilites between these three ...
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Asymmetric dependence in international currency markets
... a model where limits to arbitrage facilitate stock market crises to spread globally through asset ...the asymmetric response to shocks from other assets. The asymmetric response can be explained by ...
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Essays in asymmetric monetary policy preferences
... 28 successful example for adopting the inflation targeting regime because of the significant reduction in the level and variability of the inflation (Haldane, 2000, Gürkaynak, 2010). Hence, we choose to examine the ...
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Portfolio Management under Asymmetric Dependence and Distributio
... different dependence mea- sures using various copula types and assuming different degrees of relative risk aversion he could not find a clear preference of a certain model having short-sale ...preferred ...
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Asymmetric Dependence in US Financial Risk Factors?
... of dependence, an early paper by Mashal and Zeevi (2002) shows that the dependence structures of equity returns, currencies and commodities exhibit joint heavy ...examine dependence between small and ...
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Reference Dependence and Market Participation
... the reference-dependent preferences by K˝oszegi and Ra- bin, with piecewise linear gain-loss utility, in a one-period model with a safe and a risky ...
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Reference Dependence and Choice Overload
... on reference- dependent ...the reference point improves making all existing objects appear ...latter reference-dependence effect dominates, thus making the probability of purchase decrease ...
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Reference Dependence and Choice Overload
... 6.1 Reference dependence and other behavioral biases Two of the most robust departures from standard rational choice are the compro- mise effect and the attraction ...choice model that the chance of ...
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Reference Dependence and Market Competition
... their model and ours is that consumers in their model take the expectation as the reference point, so no individual firm’s actual decision can influence it; while our reference point is some ...
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Dependence properties and Bayesian inference for asymmetric multivariate copulas
... end Output X = (X (K) 1 , . . . , X d (K) ) ∼ ˜ C CL 4. Bayesian inference In this section, we provide a simple strategy to make Bayesian inference on any Liebscher copula based on an Approximate Bayesian computation ...
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On the cross-sectional asymmetric dependence between investment returns
... in asymmetric dependence between stock and market returns, 1 little is known about the drivers of these cross-sectional ...to asymmetric dependence between stock and market ...equilibrium ...
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Asymmetric central bank preferences and inflation rate in Tunisia
... the model have the expected ...CBT preferences toward the output deviations due to the absence of any Arch effect in the industrial production ...detect asymmetric monetary policy in case where there ...
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The Conservatism Principle and Asymmetric Preferences Over Reporting Errors
... analytical model of Crawford and Sobel (1982). In that model, homogenous agents have a common prior on the states of nature, know the signal structure of the Reporter’s information, and seek to maximize ...
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US Monetary Policy Rules: the Case for Asymmetric Preferences
... New-Keynesian model of the business ...bank preferences are ...the model predicts that the monetary authorities respond not only to the level of in‡ation and output gaps (as suggested by Taylor, ...
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An investigation of taste and reference dependence heterogeneity
... and reference dependence heterogeneity Collins and Rose and Hensher, ...in reference depen- dence per se, the specifications they have used allow for it, with the appropriate ...of reference ...
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Reference Dependent Preferences and the EPK Puzzle
... our model delivers sensible mechanisms of PK’s ...aversion model in Routledge and Zin (2010) - be reproduced; such generalizations necessitate further efforts and constitute material for new ...
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Team Incentives and Reference-Dependent Preferences
... expectation-based reference- dependent preferences, Daido and Itoh (2010) build a simple model with limited liability and study the Pygmalion and the Galatea effects as self-fulfilling ...aversion ...
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Volatility and asymmetric dependence in Central and East European stock markets
... copula dependence does not sufer from shortcomings associated with correlation ...the model, the regularity conditions, or the asymptotic properties of the ...with model misspeciication when they ...
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Asymmetric Correlations and Tail Dependence in Financial Asset Returns (Asymmetrische Korrelationen und Tail-Dependence in Finanzmarktrenditen)
... The potential loss from extreme market downturns is extensively analyzed in a risk management context from the perspective of individual investors. Focusing on tail risk as a factor in asset-pricing models, other studies ...
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