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On the Relation Between the Variability of Inflation and the Average Inflation Rate
Inflation the Average Inflation Rate
2015/8/5
On the Relation Between the Variability of Inflation and the Average Inflation Rate.
An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps
theoretical equivalence credit spreads equilibrium condition discovery process
2011/8/23
We test the theoretical equivalence of credit default swap (CDS) prices and credit spreads derived by Duffie (1999), finding support for the parity relation as an equilibrium condition. We also find t...
CDO term structure modelling with Levy processes and the relation to market models
collateralized debt obligations loss process single tranche
2010/10/21
This paper considers the modelling of collateralized debt obligations (CDOs). We propose a top-down model via forward rates generalizing Filipovi\'c, Overbeck and Schmidt (2009) to the case where the ...
Micro-Macro Relation of Production - The Double Scaling Law for Statistical Physics of Economy -
Micro-Macro Relation Double Scaling Law Statistical Physics
2010/10/19
We show that an economic system populated by multiple agents generates an equilibrium distribution in the form of multiple scaling laws of conditional PDFs, which are sufficient for characterizing the...
Structural Changes in the Contemporaneous Linear Relation between Returns and Earnings after 1997 Financial Crisis in Korea
returns-earnings relations Asian financial crisis accounting reforms
2010/12/7
We study the effect of accounting reforms on the quality of accounting information after the 1997 financial crisis in Korea. Using observations of accounting earnings and stock returns over the past 2...