We present an empirical study of the pricing effect of liquidity in the credit default swaps (CDS) market. We construct liquidity proxies to capture various facets of CDS liquidity including adverse selection, search frictions, and inventory costs. We show that the liquidity effect on CDS spreads is significant with an estimated liquidity premium on par with those of Treasury bonds and corporat...

Recent changes in the German energy policy initiated a deregulation process from a monopolistic to a competitive market, fundamentally changing the market structure, transaction relationships and trading processes. While the mutual exchange of electric energy has been a business activity between vertically integrated utilities for a long time, wholesale electricity trading in an open market onl...

A general problem in biosurveillance is finding the optimal aggregates of more basic data to monitor for the detection of disease outbreaks. We developed a multivariate procedure for identifying the set of over-the-counter (OTC) healthcare products that correlates best with a set of diagnoses. To ensure that the procedure produces results that agree with clinical knowledge of diseases and (OTC)...

In recent years, we have observed dramatic increase of collateralization as an important credit risk mitigation tool in over the counter (OTC) market [6]. Combined with the significant and persistent widening of various basis spreads, such as Libor-OIS and cross currency basis, the practitioners have started to notice the importance of difference between the funding cost of contracts and Libors...

We study an over-the-counter (OTC) market with bilateral meetings and bargaining where the usefulness of assets, as means of payment or collateral, is limited by the threat of fraudulent practices. We assume that agents can produce fraudulent assets at a positive cost, which generates endogenous upper bounds on the quantity of each asset that can be sold, or posted as collateral in the OTC mark...

The fate of antibiotic residues in the manure of treated animals is of considerable concern because of the potential development of antibioticresistant bacteria in the environment and because of the effect of these residues on manure treatment systems. The objective of this study was to determine the fate and effect of oxytetracycline (OTC) during the anaerobic digestion of manure from medicate...

We propose a non-linear State Space representation to model ATM implied volatilities and to estimate the unobserved stochastic volatility for the underlying asset. We are able to estimate the average volatility risk premia and we can also address the presence of long memory in the unobserved volatility factor. We then applied our methodology to implied volatilities on currency options. These da...

Over the counter (OTC) forward contracts are regularly traded by hedgers at maturities beyond the longest-dated futures contract. The presence of seasonality in agricultural commodities creates additional uncertainty for obtaining fair prices for OTC forward contract trades beyond the liquid futures strip. This paper employs an augmented Nelson-Siegel function to obtain seasonal agricultural co...

Plants are an important source of biologically active substances, therefore they have been used for medicinal purposes, since ancient times. Plant materials are used as home remedies, in over-the-counter drug products, dietary supplements and as raw material for obtention of phytochemicals. The use of medicinal plants is usually based on traditional knowledge, from which their therapeutic prope...