| 1. |
- Aaberge, Rolf, et al.
(författare)
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Income Inequality and Income Mobility in the Scandinavian Countries Compared to the United States
- 2002
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Ingår i: The Review of Income and Wealth. - : Blackwell Publishers Ltd. - 1475-4991 .- 0034-6586. ; 48:4, s. 443-469
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Tidskriftsartikel (refereegranskat)abstract
- This paper compares income inequality and income mobility in the Scandinavian countries and the United States during 1980-90. The results suggest that inequality is greater in the United States than in the Scandinavian countries and that this inequality ranking of countries remains unchanged when the accounting period of income is extended from one to eleven years. The pattern of mobility turns out to be remarkably similar, in the sense that the proportionate reduction in inequality from extending the accounting period of income is much the same. But we do find evidence of greater dispersion of first differences of relative earnings and income in the United States. Relative income changes are associated with changes in labor market and marital status in all four countries, but the magnitude of such changes are largest in the United States.
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| 2. |
- Adams, Renée, B., et al.
(författare)
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A Theory of Friendly Boards
- 2007
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Ingår i: Journal of Finance. - : Blackwell Publishing Inc. - 1540-6261 .- 0022-1082. ; 62:1, s. 217-250
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Tidskriftsartikel (refereegranskat)abstract
- We analyze the consequences of the board's dual role as advisor as well as monitor of management. Given this dual role, the CEO faces a trade-off in disclosing information to the board: If he reveals his information, he receives better advice; however, an informed board will also monitor him more intensively. Since an independent board is a tougher monitor, the CEO may be reluctant to share information with it. Thus, management-friendly boards can be optimal. Using the insights from the model, we analyze the differences between sole and dual board systems. We highlight several policy implications of our analysis.
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| 3. |
- Adler, Niclas, et al.
(författare)
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A collaborative research effort to bridge boundaries and support deviant youths in contemporary welfare systems.
- 2005
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Ingår i: European Management Review. - : Wiley. - 1740-4754 .- 1740-4762. ; 2:1, s. 88-99
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Tidskriftsartikel (refereegranskat)abstract
- This paper analyzes the challenges of introducing new approaches to the care of deviant youths in contemporary welfare systems. The specific study of early intervention programs within the area of psychosocial disturbances will be used to explore the interplay between emerging research results and the introduction of new approaches in different functionally specialized welfare carrying organizations. This paper is based on a collaborative research effort between researchers from education, psychology, psychiatry, sociology, economics and business administration and key actors from schools, police, criminal care, social security administrations, municipal health care and municipal politicians and administrative managers. The paper demonstrates that successful introduction of new coping strategies necessitates significant efforts to support the bridging of boundaries, the challenging of legacies and the learning from evidence to change established structures.
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| 4. |
- Adler, Niclas, et al.
(författare)
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Collaborative Research: Strategic Intents and Actual Practices
- 2004. - 1st Edition
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Ingår i: Collaborative Research in Organizations: Foundations for learning, change, and theoretical development. - Thousand Oaks : SAGE Publications, Inc. - 1412983673 - 9781412983679 - 0761928634 - 9780761928638 ; , s. 54-68
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Bokkapitel (refereegranskat)abstract
- Management science, founded by reflexive practicing managers, is defined today by a discourse dominated and driven by academics’ ideals on theoretical and methodological rigor. However, various stakeholders call for a renewal by the introduction of different collaborative research approaches. Besides questions on ontology, epistemology, and rigor, two fundamental questions still lack a convincing answer: 1. Can management research contribute to management practice? If so, can practicing managers be convinced of the added value of management research? 2. Can management research gain from true collaboration with organizations? If so, can academic researchers be convinced of the added value of the true collaboration in management research? These questions need to be answered not only through academic debates and stakeholder statements but also through real experimentation and reflection based on the results of the collaborations. This chapter uses a series of experiments with collaborative and interdisciplinary management research that have been performed since 1988 at a group of Swedish universities involving Swedish companies and organizations. By using illustrations from the experiments and their formation, the chapter discusses and analyzes how the strategic discourse and intent expressed by stakeholders are put into action from the perspective of a research organization pursuing a collaborative approach.
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| 5. |
- Adolfson, Malin
(författare)
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Export price responses to exogenous exchange rate movements
- 2001
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Ingår i: Economics Letters. - : Elsevier. - 0165-1765. ; 71:1
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- The export price responses to three different exogenous exchange rate movements are investigated, using data on Swedish exports of automobiles and kraft paper to three destination countries. A price determining error correction model indicates results consistent with price discrimination.
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| 6. |
- Adolfson, Malin
(författare)
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Incomplete exchange rate pass-through and simple monetary policy rules
- 2007
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Ingår i: Journal of International Money and Finance. - : Elsevier. - 0261-5606. ; 26:3, s. 468-494
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- This paper investigates the performance of various monetary policy rules in an open economy with incomplete exchange rate pass-through. Implementing monetary policy through an exchange rate augmented policy rule does not improve social welfare compared to using an optimized Taylor rule, irrespective of the degree of pass-through. A direct exchange rate response improves welfare only if the other reaction coefficients, on inflation and output, are sub-optimal. However, an indirect exchange rate response, through a policy reaction to Consumer Price Index (CPI) inflation rather than to domestic inflation, is welfare enhancing. This result is independent of whether society values domestic or CPI inflation stabilization.
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| 7. |
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| 8. |
- Adolfson, Malin
(författare)
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Monetary policy with incomplete exchange rate pass-through
- 2001
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- The central bank's optimal reaction to foreign and domestic shocks is analyzed in an inflation targeting model allowing for incomplete exchange rate pass-through. Limited pass-through is incorporated through nominal rigidities in an aggregate supply-aggregate demand model derived from some microfoundations. Three main results are obtained. First, the results suggest that the interest rate response to foreign shocks is smaller when pass-through is low. Second, the inflation-output variability trade-off becomes more favourable as pass-through decreases. Third, lower pass-through, that is larger nominal rigidity, leads to higher exchange rate volatility. With exogenous nominal price stickiness, part of the required relative price adjustment is provided through larger movements in the endogenously determined exchange rate.
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| 9. |
- Adolfson, Malin
(författare)
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Optimal monetary policy delegation under incomplete exchange rate pass-through
- 2001
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- The central bank’s optimal objective function is analyzed in a small open economy model allowing for incomplete exchange rate pass-through. The results indicate that social welfare can only be marginally improved by including an explicit exchange-rate term in the delegated objective function, irrespective of the degree of pass-through. An implicit response to the exchange rate, through Consumer Price Index (CPI) inflation targeting is, however, beneficial. Welfare can, moreover, be enhanced by appointing a central banker with a greater preference for interest rate smoothing than that of the society, as a result of surpassing some of the stabilization bias arising under a discretionary policy. Consequently, there are welfare gains from monetary policy inertia. The optimal degree of interest rate smoothing is increasing in the degree of pass-through.
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| 10. |
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| 11. |
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| 12. |
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| 13. |
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| 14. |
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| 15. |
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| 16. |
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| 17. |
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| 18. |
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| 19. |
- Agndal, Henrik, et al.
(författare)
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The internationalization process of small and medium-sized Swedish tourism firms
- 2007
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Ingår i: Scandinavian Journal of Hospitality and Tourism. - : Informa UK Limited. - 1502-2250 .- 1502-2269. ; 7:4, s. 301-327
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Tidskriftsartikel (refereegranskat)abstract
- This paper develops eight propositions regarding internationalization processes for small and medium-sized tourism firms (SMTFs). A SMTF is defined here as a company that produces a tourist attraction locally, its product based on local resources. This means that SMTFs rely on customers seeking them on the firms' home market. This has implications for the SMTF's expansion into new markets and, consequently, its internationalization process. In a study based on the propositions, the internationalization processes of ten Swedish SMTFs were investigated. It was found that some SMTFs internationalized slowly; initially displayed a reactive and emergent approach, and entered markets that were culturally and geographically close. Born global SMTFs, however, searched more actively for opportunities, also in more remote markets. Intermediaries were the dominant mode throughout the process for all firms. Over time, most of the SMTFs developed a more strategic and deliberate approach in their selection of counterparts and new markets. The support of a destination management organization was important initially for some of the firms.
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| 20. |
- Agndal, Henrik
(författare)
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The purchasing market entry process—A study of 10 Swedish industrial small and medium-sized enterprises
- 2006
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Ingår i: Journal of Purchasing and Supply Management. - : Elsevier Ltd. - 1873-6505 .- 1478-4092. ; 12:4, s. 182-196
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Tidskriftsartikel (refereegranskat)abstract
- While an area of importance and concern to managers, international purchasing remains an under researched phenomenon, especially in the context of small and medium-sized firms. Therefore, this article presents a study of the international purchasing market entry processes of 10 industrial SMEs. The findings indicate that managers of SMEs are often reluctant to source abroad. Purchasing markets entries are generally more reactive than proactive, occurring as a consequence of needs for certain products that cannot be found domestically, high domestic costs, unsolicited opportunities and pressures from owners and customers. Nearby purchasing markets typically dominate throughout the process unless cost savings motivate firms to explore more remote markets.
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| 21. |
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| 22. |
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| 23. |
- Albano, GL, et al.
(författare)
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Regulating Joint Bidding in Procurement
- 2009
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Ingår i: Journal of Competition Law and Economics. - : Oxford University Press. - 1744-6414 .- 1744-6422. ; 5:2, s. 335-360
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Tidskriftsartikel (refereegranskat)abstract
- Joint bidding is the practice of two or more independent suppliers submitting a single bid, a widespread practice in private and public procurement. This practice may generate efficiencies through synergies and information sharing, but may also be abused to reduce the number of competitors or—even worse—to facilitate or enforce collusion among them; therefore, it is often regulated. In this paper, we first present results from a survey on the regulation of joint bidding in European public procurement, documenting how the existence and the type of regulation differ across countries, and that—where present—regulation is often related to the ability of an individual firm to be admitted as a solo bidder. Borrowing from the theories of joint bidding in auctions and of horizontal mergers and joint ventures in oligopoly, we then review the basic economics of bidding consortia and the effects that these can have in terms of bidding competition, coordination among firms, risk management, exploitation of other synergies, and entry. Finally, we assess the relative degrees of restrictiveness of several practical criteria that could be used to create consistent regulatory requirements for bidding consortia in public procurement. The only strong conclusion that we can draw is that there is an urgent need for further theoretical and empirical or experimental research on this very important issue for public procurement.
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| 24. |
- Alexandersson, Gunnar, et al.
(författare)
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High and Low Bids in Tenders : Strategic Pricing and Other Bidding Behaviour in Public Tenders of Passenger Railway Services
- 2007
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Ingår i: Annals of Public and Cooperative Economics. - : Wiley: 18 months. - 1467-8292 .- 1370-4788. ; 78:2, s. 161-194
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- An important component in the deregulation of the public sector in the European Union is public procurement of services and products. This article studies the bidding behaviour of firms participating in public tenders of passenger railway services in Sweden. In a theoretical part of the article we discuss the various possible reasons behind high and low bids in tenders, linked to a discussion on pricing strategies and continuous and discontinuous economies of scale regarding costs of production. Detailed data on bids and bidders in Swedish tenders of railway services are then analyzed. 37 tenders taking place between 1989 and 2005 are included.
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| 25. |
- Alexandersson, Gunnar, et al.
(författare)
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Predatory Bidding in Competitive Tenders : a Swedish Case Study
- 2006
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Ingår i: European Journal of Law and Economics. - : Springer Nature. - 0929-1261 .- 1572-9990. ; 22:1, s. 73-94
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- Public procurement by competitive tendering is an important part of European policies to encourage competition in network industries previously dominated by public companies. In recent years, the appearance of very low bids has become an issue in several countries. We discuss predatory bidding from a theoretical, practical and legislative point of view. A case of tendering for train services in Sweden is used to illustrate the possibilities to detect an abnormally low bid. An analysis of projected costs and revenues is complemented with a method using historical data on previous tenders. One conclusion is that there is scope for reform in national competition policies in European Union member states concerning multinational enterprises participating in local tenders.
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| 26. |
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| 27. |
- Alexandersson, Gunnar
(författare)
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Rail Privatization and Competitive Tendering in Europe
- 2009
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Ingår i: Built Environment. - : Alexandrine Press. - 0263-7960. ; 35:1, s. 43-58
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Tidskriftsartikel (refereegranskat)abstract
- During the past two decades the European railway sector has experienced a number of changes and reforms aimed at increasing competition and private sector involvement. Sweden's vertical separation of infrastructure from operations in 1988 was an early initiative, also influencing EU-wide policies demanding separate accounts or full separation. In the mid 1990s Great Britain transformed its entire railway industry by means of privatization and franchising. No other EU country has gone this far in terms of rail privatization, but franchising and competitive tendering of passenger rail services have become important elements in several other countries. In the wake of this development, we have seen an increase of both new and old operators becoming international players. In this article, these reforms are studied and discussed in some detail, drawing from the experience of franchising and competitive tendering in several European countries. The theoretical rationale as well as other reasons behind privatization and competitive tendering are discussed. The article also includes some overall conclusions regarding the (positive and negative) effects of the reforms.
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| 28. |
- Alexius, Susanna, et al.
(författare)
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Dealing with Values
- 2005. - 1st Edition
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Ingår i: Dealing with Confidence: The Construction of Need and Trust in Management Advisory Services. - Frederiksberg : Copenhagen Business School Press. - 9788763099660 - 8763099667 - 9788763099660 - 8763099667 ; , s. 201-216
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Bokkapitel (övrigt vetenskapligt/konstnärligt)abstract
- Several chapters in this book (chapters 8, 9 and 10) have emphasized individualism as a convenient strategy for reducing uncertainties for buying organizations in choosing a reliable supplier of management advisory services (MAS). In the previous chapter, however, it was shown that collectivism, in terms of professional norms in management consulting, also had considerable impact on the construction of a buyer's expectation of what a trusted supplier could look like. This suggests that individualism and collectivism are not mutually exclusive strategies. It is more likely that deals involving MAS in general, and management consulting in particular, can be understood as the result of both individual- and collective mechanisms in different combinations.
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| 29. |
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| 30. |
- Almbrand, B, et al.
(författare)
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Cost-effectiveness of intense insulin treatment after acute myocardial infarction in patients with diabetes mellitus. Results from the DIGAMI study
- 2000
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Ingår i: European heart journal. - : Oxford University Press. - 1522-9645 .- 0195-668X. ; 21:9, s. 733-739
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Tidskriftsartikel (refereegranskat)abstract
- Aims The aim of the present analysis was to estimate the cost-effectiveness of intense insulin treatment after acute myocardial infarction in patients with diabetes mellitus based on the results of the Diabetes Mellitus Insulin Glucose Infusion in Acute Myocardial Infarction (DIGAMI) study. In this study 620 patients with diabetes mellitus and acute myocardial infarction were randomized to intense insulin treatment (insulin group) or to serve as controls given standard antidiabetic therapy. Mortality was significantly reduced in the insulin group. Methods and Results The cost-effectiveness ratio was estimated as the incremental cost per life-year and quality-adjusted life-year gained of intense insulin treatment. The incremental costs were estimated as the difference in health care costs and indirect costs (labour production) during the first year of follow-up plus the future costs of increased survival. The life-years gained were based on the 5-year long-term follow-up experience and an assumed annual 20% mortality risk for all patients thereafter. The health care costs were Euro 975 higher in the insulin group during the first year of follow-up, mainly due to a longer period of initial hospitalization related to the institution of multidose insulin. The estimated discounted gain in life-years of the insulin treatment was 0·94 years without and 0·66 with quality of life adjustment, respectively. The cost per life-year gained by intense insulin treatment was Euro 16900 and the cost per quality-adjusted life-year gained was Euro 24100. Thus the estimated cost-effectiveness ratios were relatively low. Conclusion The results of the DIGAMI study indicate that intense insulin treatment after an acute myocardial infarction in patients with diabetes mellitus has an acceptable level of cost-effectiveness.
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| 31. |
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| 32. |
- Amado, Cristina, et al.
(författare)
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A smooth transition approach to modelling diurnal variation in models of autoregressive conditional duration
- 2009
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- This paper introduces a new approach for adjusting the diurnal variation in the trade durations. The model considers that durations are multiplicatively decomposed into a deterministic time-of-day and a stochastic component. The parametric structure of the diurnal component allows the duration process to change smoothly over the time-of-day. In addition, a testing framework consisting of Lagrange multiplier tests is proposed for specifying the diurnal component. Our methodology is applied to the IBM transaction durations traded at the New York Stock Exchange.
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| 33. |
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| 34. |
- Amado, Cristina
(författare)
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Four essays on the econometric modelling of volatility and durations
- 2009
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Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- The thesis "Four Essays on the Econometric Modelling of Volatility and Durations" consists of four research papers in the area of financial econometrics on topics of the modelling of financial market volatility and the econometrics of ultra-high-frequency data. The aim of the thesis is to develop new econometric methods for modelling and hypothesis testing in these areas. The second chapter introduces a new model, the time-varying GARCH (TV-GARCH) model, in which volatility has a smooth time-varying structure of either additive or multiplicative type. To characterize smooth changes in the (un)conditional variance we assume that the parameters vary smoothly over time according to the logistic transition function. A data-based modelling technique is used for specifying the parametric structure of the TV-GARCH models. This is done by testing a sequence of hypotheses by Lagrange multiplier tests presented in the chapter. Misspecification tests are also provided for evaluating the adequacy of the estimated model. The third chapter addresses the issue of modelling deterministic changes in the unconditional variance over a long return series. The modelling strategy is illustrated with an application to the daily returns of the Dow Jones Industrial Average (DJIA) index from 1920 until 2003. The empirical results sustain the hypothesis that the assumption of constancy of the unconditional variance is not adequate over long return series and indicate that deterministic changes in the unconditional variance may be associated with macroeconomic factors. In the fourth chapter we propose an extension of the univariate multiplicative TV-GARCH model to the multivariate Conditional Correlation GARCH (CC-GARCH) framework. The variance equations are parameterized such that they combine the long-run and the short-run dynamic behaviour of the volatilities. In this framework, the long-run behaviour is described by the individual unconditional variances, and it is allowed to vary smoothly over time according to the logistic transition function. The effects of modelling the nonstationary variance component are examined empirically in several CC-GARCH models using pairs of seven daily stock return series from the S&P 500 index. The results show that the magnitude of such effect varies across different stock series and depends on the structure of the conditional correlation matrix. An important feature of financial durations is the evidence of a strong diurnal variation over the trading day. In the fifth chapter we propose a new parameterization for describing the diurnal pattern of trading activity. The parametric structure of the diurnal component allows the duration process to change smoothly over the time-of-day according to the logistic transition function. The empirical results suggest that the diurnal variation may not always have the inverted U-shaped pattern for the trade durations as documented in earlier studies.
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| 35. |
- Amado, Cristina, et al.
(författare)
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Modelling changes in the unconditional variance of long stock return series
- 2009
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- In this paper we develop a testing and modelling procedure for describing the longterm movements over very long return series. For the purpose, we assume that volatility is multiplicatively decomposed into a conditional and an unconditional component as in Amado and Terasvirta (2008). The latter component is modelled by incorporating smooth changes so that the unconditional variance is allowed to evolve slowly over time. Statistical inference is used for specifying the parameterization of the time-varying component by applying a sequence of Lagrange multiplier tests. The model building procedure is illustrated with an application to the daily returns of the DJIA index covering a period of eighty three years of nancial market history. Two major conclusions are as follows. First, the LM tests strongly reject the assumption of constancy of the unconditional variance. Second, the results show that the long-memory property in volatility may be explained by ignored changes in the unconditional variance of the long series.
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| 36. |
- Amado, Cristina, et al.
(författare)
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Modelling conditional and unconditional heteroskedasticity with smoothly time-varying structure
- 2008
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterizations describe both nonlinearity and structural change in the conditional and unconditional variances where the transition between regimes over time is smooth. A modelling strategy for these new time-varying parameter GARCH models is developed. It relies on a sequence of Lagrange multiplier tests, and the adequacy of the estimated models is investigated by Lagrange multiplier type misspecification tests. Finite-sample properties of these procedures and tests are examined by simulation. An empirical application to daily stock returns and another one to daily exchange rate returns illustrate the functioning and properties of our modelling strategy in practice. The results show that the long memory type behaviour of the sample autocorrelation functions of the absolute returns can also be explained by deterministic changes in the unconditional variance.
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| 37. |
- Ament, A, et al.
(författare)
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Cost-Effectiveness of Pneumococcal Vaccination of Older People: A Study in 5 Western European Countries
- 2000
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Ingår i: Clinical infectious diseases. - : The University of Chicago Press. - 1537-6591 .- 1058-4838. ; 31:2, s. 444-450
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Tidskriftsartikel (refereegranskat)abstract
- Pneumococcal vaccination of older persons is thought to be cost-effective in preventing pneumococcal pneumonia, but evidence of clinical protection is uncertain. Because there is better evidence of vaccination effectiveness against invasive pneumococcal disease, we determined the cost-effectiveness of pneumococcal vaccination of persons aged ≥65 years in preventing hospital admission for both invasive pneumococcal disease and pneumococcal pneumonia in 5 western European countries. In the base case analyses, the cost-effectiveness ratios for preventing invasive disease varied from ∼11,000 to ∼33,000 European currency units (ecu) per quality-adjusted life year (QALY). Assuming a common incidence (50 cases per 100,000) and mortality rate (20%-40%) for invasive disease, the cost-effectiveness ratios were <12,000 ecu per QALY in all 5 countries. For preventing pneumococcal pneumonia, vaccinating all elderly persons would be highly cost-effective to cost saving. Public health authorities should consider policies for encouraging pneumococcal vaccination for all persons aged ≥65 years.
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| 38. |
- Amundsen, Eirik S., et al.
(författare)
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The Nordic Electricity Market: Robust by Design?
- 2006
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Ingår i: Electricity Market Reform. - : Elsevier Ltd. - 008045030X - 9780080450308 ; , s. 145-170
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Bokkapitel (övrigt vetenskapligt/konstnärligt)abstract
- This chapter provides an overview of the evolution and subsequent expansion of the Nordic market—encompassing Denmark, Finland, Norway, and Sweden, and considered among the most successful competitive markets in the world. The Nordic market experienced and survived a severe hydro shortage during 2002–2003, where reservoirs in the hydro-dominated system fell to unprecedented low levels. But despite this natural shock, the market held together, without mandatory rationing, blackouts, price manipulation, or major financial ruin of any of the players. This, in contrast to other markets is an important hallmark of the Nordic market. However, fears regarding supply, security, and adequacy are likely to be unfounded. Nevertheless, as inherited overcapacity is eroded and new market-based environmental regulation takes effect, tighter market conditions are to be expected. It is then crucial that retail markets be fully developed to allow consumers to adequately protect themselves from occurrences of price spikes. There seems to be four main factors explaining this: 1) the market design of the Nordic market is simple but sound and to a large extent made possible by the large share of hydropower, 2) dilution of market power, attained by the integration of the four national markets into a single Nordic market, has been rather successful, 3) there has been a strong political support for a market-based electricity supply system without intervention in the market mechanisms in stressful situations, 4) the Nordic power industry seems to have a strong voluntary informal commitment to public service.
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| 39. |
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| 40. |
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| 41. |
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| 42. |
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| 43. |
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| 44. |
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| 45. |
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| 46. |
- Anderson, Anders
(författare)
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Psykologi, risk, avkastning och den svenska aktiehandeln på Internet
- 2009
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Ingår i: Ekonomisk debatt. - 0345-2646. ; 37:4, s. 54-72
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- Tillgängligheten till finansmarknaderna har ökat i takt med Internetpenetrationen. I dag görs var fjärde aktietransaktion på Stockholmsbörsen av någon av de specialiserade Internet mäklarnas kunder. Artikeln kartlägger branschens utveckling och beskriver hur småsparares beslut ofta avviker från normativ teori. Jag undersöker de senaste tolv årens aktiehandel på Internet i Sverige och finner att Internet mäklarnas kunder koncentrerar sin handel till små bolag och till specifika branscher. Man kan inte utesluta att Internet mäklarnas marknadsandelar i dessa sektorer ökar volatiliteten, även om det finns stöd för att det omvända sambandet också gäller.
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| 47. |
- Andersson, Henrik
(författare)
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A Mean-Reverting Stochastic Volatility Option-Pricing Model with an Analytic Solution
- 2002
-
Ingår i: SSRN Electronic Journal. - : Elsevier BV. - 1556-5068.
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- In this paper we derive a closed form approximation to a stochastic volatility option-pricing model and propose a variant of EGARCH for parameter estimation. The model thereby provides a consistent approach to the problem of option pricing and parameter estimation. Using Swedish stocks, the model provides a good fit to the heteroscedasticity prevalent in the time series. The stochastic volatility model also prices options on the underlying stock more accurately than the traditional Black-Scholes formula. This result holds for both historic and implied volatility. A large part of the volatility smile that is observed for options of different maturities and exercise prices is thereby explained.
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| 48. |
- Andersson, Henrik
(författare)
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Are commodity prices mean reverting?
- 2007
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Ingår i: Applied Financial Economics. - : Taylor & Francis (Routledge): SSH Titles. - 0960-3107 .- 1466-4305. ; 17:10, s. 769-783
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Tidskriftsartikel (övrigt vetenskapligt/konstnärligt)abstract
- Are commodity prices mean reverting or do they follow a random walk? As traditional unit root tests lack power, this article proposes using the ability to hedge option contracts as a measure of the most appropriate stochastic process. A misspecified price process will, quite naturally, result in larger hedging errors. The hedging errors, therefore, give an economic as opposed to statistical measure of mean reversion. Market prices of almost 300 different commodities from 1970 and onwards are studied. In line with the low power of statistical unit root tests, we are only able to reject a unit root for some 15% of the commodity price series and mean reversion is accepted for even fewer series. Hedging errors are, however, smaller for the mean reverting process, supporting the intuition that commodity prices are mean reverting.
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| 49. |
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| 50. |
- Andersson, Henrik
(författare)
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Hedging of long-term commodity-linked contracts
- 2003
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- In this paper we research the hedging error that comes about through synthetic replication of long-term commodity-linked contracts. An extensive data set of close to 300 different commodities has been used in the study. Focusing on the price process, the standard geometric Brownian motion provides the most robust pricing formulas and hedging recipes. Hedging errors are however smaller for a new mean reverting process, supporting the intuition that commodity prices are mean reverting. In this way, hedging tests can act as a complement to purely statistical tests of mean reversion since such tests unfortunately have low power. A stochastic volatility model is also tested but is found to work poorly. Hedging errors are the largest for this model. The issue of choosing an appropriate price process is overshadowed by the problem of parameter estimation. Historic volatility may be very different from the actual volatility and this deviation introduces a substantial error that makes the hedging of long-term commodity-linked contracts very difficult.
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