Zobrazeno 1 - 10
of 138
pro vyhledávání: '"Emil Siriwardane"'
Publikováno v:
The Review of Financial Studies. 36:615-677
We study the effect of dealer exit on prices and quantities in a model of an over-the-counter market featuring a core-periphery network with bilateral trading costs. The model is calibrated using regulatory data on the entire U.S. credit default swap
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e122cde845e47b881e37164f240cca81
https://doi.org/10.1093/rfs/hhac062
https://doi.org/10.1093/rfs/hhac062
Publikováno v:
The Quarterly Journal of Economics. 135:1443-1491
We provide evidence that financial market risk perceptions are important drivers of economic fluctuations. We introduce a novel measure of risk perceptions: the price of volatile stocks (PVSt), defined as the book-to-market ratio of low-volatility st
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::23c754b32e5b80c012811f5b13304a60
https://doi.org/10.1093/qje/qjaa009
https://doi.org/10.1093/qje/qjaa009
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b07941ca72aed6c1702fc298f8d9d220
https://doi.org/10.2139/ssrn.4105813
https://doi.org/10.2139/ssrn.4105813
Autor:
Emil Siriwardane
Publikováno v:
The Journal of Finance. 74:2303-2347
Using proprietary credit default swap (CDS) data, I investigate how capital shocks at protection sellers impact pricing in the CDS market. Seller capital shocks—measured as CDS portfolio margin payments—account for 12% of the time‐series variat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d7863c3bcc1a577acb945ef94e10685b
https://doi.org/10.1111/jofi.12777
https://doi.org/10.1111/jofi.12777
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a55d0543cfdba0bf0258d0292f222c0b
https://doi.org/10.2139/ssrn.3960980
https://doi.org/10.2139/ssrn.3960980
Autor:
Emil Siriwardane, Juliane Begenau
Publikováno v:
SSRN Electronic Journal.
We provide evidence that investment fees vary within private equity funds. Net-of-fee return clustering suggests that 70% of funds group investors into two fee-tiers that vary along both fixed and variable components. Managers of venture capital fund
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::42926bc8eceef86495548b1336d2a628
https://doi.org/10.2139/ssrn.3526469
https://doi.org/10.2139/ssrn.3526469
Publikováno v:
SSRN Electronic Journal.
This note provides guidance on the use of investor-level private equity data from Preqin for empirical research. Preqin primarily sources its cash flow data through Freedom of Information Act (FOIA) requests with U.S. public pensions. Our focus is on
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c6b7a9cbeddb21f086396d78f0a311d5
https://doi.org/10.2139/ssrn.3764895
https://doi.org/10.2139/ssrn.3764895
Publikováno v:
Journal of Econometrics. 201:333-347
We propose a statistical model of the term structure of U.S. treasury yields tailored for long-term probability-based scenario generation and forecasts. Our model is easy to estimate and is able to simultaneously reproduce the positivity, persistence
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::41dc0059a883d9cb6f3e184fa65fabba
https://doi.org/10.1016/j.jeconom.2017.08.012
https://doi.org/10.1016/j.jeconom.2017.08.012