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Modeling international financial returns with a multivariate regime switching copula
(Discussion paper2008:3, Working paper, 2008-03)
In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula ...
Understanding the integrated approach to conflict management
(Discussion paper2007:1, Working paper, 2007-07)
The purpose of this paper is to examine the integrative approach to conflicts. Integration is an active search for information about facts and interests - motivated by a willingness to find mutually satisfactory ...
Liquidity constraints and entrepreneurial performance
(Discussion paper2007:21, Working paper, 2007-09)
If entrepreneurs are liquidity constrained and cannot borrow to operate on an efficient scale, those with more personal wealth should do better than those with less wealth. We investigate this hypothesis using a unique ...
Frequent Turbulence? A Dynamic Copula Approach
(Discussion paper2006:10, Working paper, 2006-07)
How common and how persistent are turbulent periods? We address these questions by developing and applying a dynamic dependence framework. In order to answer the first question we estimate an unconditional mixture model ...
On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach
(Discussion paper2006:23, Working paper, 2006-12)
This paper complements theoretical studies on the Kelly rule in evolutionary finance by studying a Darwinian model of selection and reproduction in which the diversity of investment strategies is maintained through genetic ...
Regulation and pricing of pharmaceuticals : reference pricing or price cap regulation?
(Working paper2006:40, Working paper, 2006-11)
We study the relationship between regulatory regimes and pharmaceutical firms pricing strategies using a unique policy experiment from Norway, which in 2003 introduced a reference price (RP) system called “index pricing” ...
Existence and uniqueness of equilibrium in a reinsurance syndicate
(Discussion paper2008:13, Working paper, 2008-07)
In this paper we consider a reinsurance syndicate, assuming that Pareto optimal allocations exist. Under a continuity assumption on preferences, we show that a competitive equilibrium exists and is unique. Our conditions ...
Wealth Effects on Demand for Insurance
(Discussion paper2007:6, Working paper, 2007-01)
A standard result states that under decreasing absolute risk aversion the indifference premium of the insured is a decreasing function of wealth. This has been interpreted to mean that insurance is an inferior good, which ...
A branch and price algorithm for the combined vehicle routing and scheduling problem with synchronization constraints
(Discussion paper2007:7, Working paper, 2007)
In this paper we present a branch and price algorithm for the combined vehicle routing and scheduling problem with synchronization constraints. The synchronization constraints are used to model situations when two or more ...
Advertising and newspaper differentiation : on the role of readers’ advertising taste
(Working paper2006:52, Working paper, 2006-12)
Newspapers have an incentive to moderate their profile in order to gain a larger readership and thus higher advertising revenue. We show that this incentive is weakened both if readers are ad-haters and if they are ad-lovers.