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This chapter is a journey of thought exploring decolonial critique as a situated practice while thinking through exilic consciousness and its constitutive conditions. I begin by reflecting on decolonialities to gesture toward varied forms of decolonial projects that need to be situated, given that each location generates different sets of questions/problems that demand different answers. In this way, I reconfigure the exilic condition, and the space of displacement in general, as a plurilingual space that unsettles various colonial forms of epistemic monolingualism predicated on the selfsufficiency of thought. To this end, I reflect on the potentiality of exilic consciousness to generate decolonial critique when thinking from/about the Global South. Finally, this chapter demonstrates the significance of acknowledging the diverse locations and trajectories of decolonial critique and the plurality of thought embedded within the exilic intellectual formation that can potentially undo colonial forms of knowledge-making and being in the world.
We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a range-based covariance estimator that is motivated by financial economic considerations (the absence of arbitrage), in addition to statistical considerations. We show that, unlike other univariate and multivariate volatility estimators, the range-based estimator is highly efficient yet robust to market microstructure noise arising from bid-ask bounce and asynchronous trading. Finally, we provide an empirical example illustrating the value of the high-frequency sample path information contained in the range-based estimates in a multivariate GARCH framework.
This paper provides an in-depth analysis of the properties of popular tests for the existence and the sign of the market price of volatility risk. These tests are frequently based on the fact that for some option pricing models under continuous hedging the sign of the market price of volatility risk coincides with the sign of the mean hedging error. Empirically, however, these tests suffer from both discretization error and model mis-specification. We show that these two problems may cause the test to be either no longer able to detect additional priced risk factors or to be unable to identify the sign of their market prices of risk correctly. Our analysis is performed for the model of Black and Scholes (1973) (BS) and the stochastic volatility (SV) model of Heston (1993). In the model of BS, the expected hedging error for a discrete hedge is positive, leading to the wrong conclusion that the stock is not the only priced risk factor. In the model of Heston, the expected hedging error for a hedge in discrete time is positive when the true market price of volatility risk is zero, leading to the wrong conclusion that the market price of volatility risk is positive. If we further introduce model mis-specification by using the BS delta in a Heston world we find that the mean hedging error also depends on the slope of the implied volatility curve and on the equity risk premium. Under parameter scenarios which are similar to those reported in many empirical studies the test statistics tend to be biased upwards. The test often does not detect negative volatility risk premia, or it signals a positive risk premium when it is truly zero. The properties of this test furthermore strongly depend on the location of current volatility relative to its long-term mean, and on the degree of moneyness of the option. As a consequence tests reported in the literature may suffer from the problem that in a time-series framework the researcher cannot draw the hedging errors from the same distribution repeatedly. This implies that there is no guarantee that the empirically computed t-statistic has the assumed distribution. JEL: G12, G13 Keywords: Stochastic Volatility, Volatility Risk Premium, Discretization Error, Model Error
A trio of themes recur across prominent Western theories of laughter: violence, the human/nonhuman, and error. The paper traces this trio through a series of frequently cited paradigms for understanding laughter, including superiority, incongruity and relief theories, Henri Bergson's theory of laughter and V. S. Ramachandran's false alarm theory; and argues that it reflects a shared, if partially submerged concern with the instability and demise of a particular figure of the human, one that is circumscribed by the culturally specific (if globally influential) values of Eurocentric/Western thought, largely corresponding to Sylvia Wynter's 'Man'. This suggests that laughter has an ambiguous immanent potential for both undermining and/or reasserting, de- and/or restabilising the illusion of Man's universalizing drive to identify itself with the human per se.
We consider three sets of phenomena that feature prominently - and separately - in the financial economics literature: conditional mean dependence (or lack thereof) in asset returns, dependence (and hence forecastability) in asset return signs, and dependence (and hence forecastability) in asset return volatilities. We show that they are very much interrelated, and we explore the relationships in detail. Among other things, we show that: (a) Volatility dependence produces sign dependence, so long as expected returns are nonzero, so that one should expect sign dependence, given the overwhelming evidence of volatility dependence; (b) The standard finding of little or no conditional mean dependence is entirely consistent with a significant degree of sign dependence and volatility dependence; (c) Sign dependence is not likely to be found via analysis of sign autocorrelations, runs tests, or traditional market timing tests, because of the special nonlinear nature of sign dependence; (d) Sign dependence is not likely to be found in very high-frequency (e.g., daily) or very low-frequency (e.g., annual) returns; instead, it is more likely to be found at intermediate return horizons; (e) Sign dependence is very much present in actual U.S. equity returns, and its properties match closely our theoretical predictions; (f) The link between volatility forecastability and sign forecastability remains intact in conditionally non-Gaussian environments, as for example with time-varying conditional skewness and/or kurtosis.
Invitation, to exi(s)t
(2024)
This joint piece aspires to be a dialogue. In a dialogue, people speak and, most importantly, listen, from their respective positions. Drawing from Trinh T. Minh-ha's notion of speaking nearby, Dulley and Streva reflect on the relationship between authorship, authority, and authoritarianism; the parallel between listening and reading, on the one hand, and speaking and writing, on the other hand; the entanglement between disciplinary systems of knowledge and colonial structures of power; the opacity of others and the imperialistic drive to reduce them to transparency; the supposed subject of knowledge and the void. As they converse on these matters, they speak nearby authors from both the so-called Global South and the so-called Global North who are thus juxtaposed, further developed, and displaced towards a politics and ethics of fugitivity. What follows is an invitation to exi(s)t.
Empirical evidence suggests that even those firms presumably most in need of monitoringintensive financing (young, small, and innovative firms) have a multitude of bank lenders, where one may be special in the sense of relationship lending. However, theory does not tell us a lot about the economic rationale for relationship lending in the context of multiple bank financing. To fill this gap, we analyze the optimal debt structure in a model that allows for multiple but asymmetric bank financing. The optimal debt structure balances the risk of lender coordination failure from multiple lending and the bargaining power of a pivotal relationship bank. We show that firms with low expected cash-flows or low interim liquidation values of assets prefer asymmetric financing, while firms with high expected cash-flow or high interim liquidation values of assets tend to finance without a relationship bank. JEL - Klassifikation: G21 , G78 , G33
When performance measures are used for evaluation purposes, agents have some incentives to learn how their actions affect these measures. We show that the use of imperfect performance measures can cause an agent to devote too many resources (too much effort) to acquiring information. Doing so can be costly to the principal because the agent can use information to game the performance measure to the detriment of the principal. We analyze the impact of endogenous information acquisition on the optimal incentive strength and the quality of the performance measure used.
Theory's engagement with language on the one hand, with literature's potential to generate knowledge that is theoretically relevant on the other, has a long history. One of its roots lies in the approach to culture and society developed by enlightenment anthropology and philosophy. In this paper Christian Moser intends to analyze the function attributed to language in eighteenth-century theories of the origin of culture and society. What we nowadays call 'cultural theory' is genealogically related to these early investigations into the constitution of human society. Social theories of the enlightenment first emerged in the contexts of a secularized universal history and the nascent discourses of anthropology and the philosophy of history. They often took the form of a 'conjectural history': speculations about the origin of society and its institutions; the origin of government, of law, and of social inequality; all of them linked systematically to the origin of language. While present-day cultural theory no longer harbours this obsession with origins, it still carries with it a rich legacy of enlightenment thought, not least its idea that social structure and linguistic structure are interconnected. Therefore it seems apposite to trace back current 'languages of theory' to eighteenth-century 'theories of language' and their interplay with 'theories of society.'