This paper develops econometric tools for studying the jump dependencies between the underlying or latent spot volatilities of two assets from high-frequency observations on a fixed time interval – with a particular interest in the relationship between the individual volatilities of traded assets and the volatilities of aggregate risk factors such as the market volatility. The paper derives an ...

In this paper the principal-agent models between the investor and the manager of the open-ended fund are made from the new view about the liquidity risk management, and the optimal contracts and optimal policies are obtained in closed form by solving these modes. By the analysis of the optimal contract, we find that the fixed compensation of manager is the positive relationship with redemption ...

This paper deals with a capital to risk asset ratio chance-constrained optimization model in the presence of loans, treasury bill, fixed assets and non-interest earning assets. To model the dynamics of loans, we introduce a modified CreditMetrics approach. This leads to development of a deterministic convex counterpart of capital to risk asset ratio chance constraint. We pursue the scope of ana...

This paper extends the standard monopoly quality differentiation model by Mussa and Rosen (1978) to an environment where the production of a (qualitydifferentiated) product-line involves initial fixed investments in common assets such as production facilities or R&D. The fixed cost depends solely on the level of the highest quality, and the invested asset is shared among all the qualities in th...

Fixed assets have an important role in supporting the company's operational activities and possess material value financial statements. Therefore, companies need to apply fixed asset accounting policies accordance with PSAK No. 16. This study aimed obtain empirical evidence analyze implementation of 16 policy regarding PT. Selaras Sejati. The research was conducted using qualitative method appr...