C - Mathematical and Quantitative Methods

• How Do You Pay? The Role of Incentives at the Point-of-Sale

  Staff Working Paper 2011-23 Carlos Arango, Kim Huynh, Leonard Sabetti

  This paper uses discrete-choice models to quantify the role of consumer socioeconomic characteristics, payment instrument attributes, and transaction features on the probability of using cash, debit card, or credit card at the point-of-sale.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C35, C8, C83, E, E4, E41

• A Stochastic Volatility Model with Conditional Skewness

  Staff Working Paper 2011-20 Bruno Feunou, Roméo Tedongap

  We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): C, C1, C5, G, G1, G12