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Hierarchical structure and time-lag correlation in Worldwide Financial Markets
Hierarchical structure time-lag correlation Worldwide Financial Markets Statistical Finance
2012/6/4
Recently, many studies indicated that the minimum spanning tree (MST) network whose metric distance is de?ned by using correlation coe?cients have strong implications on extracting infor- mation from ...
Network structure of inter-industry flows
industrial network input/output table money flows Social and Information Networks
2012/4/28
We study the structure of inter-industry relationships using networks of money flows between industries in 20 national economies. We find these networks vary around a typical structure characterized b...
The Network Structure of Economic Output
Diversification Ubiquity Capabilities Poverty Trap Economic Complexity Structural Transformation
2012/3/2
Much of the analysis of economic growth has focused on the study of aggregate output. Here, we deviate from this tradition and look instead at the structure of output embodied in the network connectin...
THE ROLE OF RETAIL BANKING IN THE U.S. BANKING INDUSTRY: RISK, RETURN, AND INDUSTRY STRUCTURE
the return in the U.S banking industry retail banking of the industry
2011/10/3
The article discusses the return in retail in the U.S. banking industry and offers some insight into why this strategic shift has occurred. It relates that the renewed interests in retail banking of t...
The structure of Walras's mature model of capital goods markets
capital goods markets market institutions loan market
2011/9/17
This essay examines the capital goods markets in the comprehensive model that Léon Walras constructed during the mature period of his theoretical work. The essay answers fundamental questions about th...
Real Estate Development Industry Structure: Consequences for Urban Planning and Development
the system of real estate development the consequences for urban planning and growth industry structure exemplifying on existing literature
2011/9/13
The article discusses the system of real estate development with regards to the consequences for urban planning and growth. It aims to illustrate the development industry structure through exemplifyin...
Growth and residential distribution with economic structure and amenity: A synthesis of
Alonso's urban model Crecimiento económico distribución residencial Economic growth
2011/9/11
This study develops an economic growth model with residential distribution. The model synthesises the main ideas in the Solow-Uzawa growth model, the Alonso urban model, and the Muth housing model wit...
Industry Structure in Real Estate Development: Is City Building Competitive?
Competition industrial organisation industry structure land and property development
2011/9/11
Industrial organisation has received considerable attention over time in both political and scholarly arenas focusing on industry generally and on specific economic sectors like media, telecommunicati...
Monetary Policy and the Term Structure of Interest Rates in Japan
monetary policy term structure of interest rates VAR with sign restrictions identifi cation.
2011/8/21
This paper uses Japanese data to investigate the relationship between monetary policy and the yield curve. We find that the response of the yield curve depends in an important way on the maintained hy...
The fine structure of spectral properties for random correlation matrices: an application to financial markets
financial correlation matrices eigenvalue factor models
2011/3/23
We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have ...
Fiscal Incidence When Both Individual Welfare and Family Structure Matter: The Case of Subsidization of Home -care for the Elderly
home care subsidy fiscal incidence family structure altruism shifting
2014/6/24
Demographic ageing in Western countries has increased the pressure on children of elderly parents to provide care privately as an alternative to more costly institutionalization, and this pressure is ...
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 ...
Continuous time Ehrenfest process in term structure modelling
ehrenfest model interest rate derivatives shortrate
2010/10/19
In this paper, a finite-state mean-reverting model for the short-rate, based on the continuous time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be de...
Continuous time Ehrenfest process in term structure modelling
ehrenfest model interest rate derivatives short-rate term structure vasicek model zero-couponbond
2010/4/27
In this paper, a finite-state mean-reverting model for the short-rate, based on the continuous time Ehrenfest process, will be examined. Two explicit pricing formulae for zero-coupon bonds will be der...
Management structure and the risk of mutual fund managers
mutual fund management structure risk exposure shareholder
2010/10/18
This paper provides a detailed discussion of the relationship between mutual fund
management structure, fund risk and performance. We utilize the unique management
structures of mutual fund investme...