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A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Dias, J. C. & Shackleton, M. B. (2011). Hysteresis effects under CIR interest rates. European Journal of Operational Research. 211 (3), 594-600
Exportar Referência (IEEE) 
J. C. Dias and M. B. Shackleton,  "Hysteresis effects under CIR interest rates", in European Journal of Operational Research, vol. 211, no. 3, pp. 594-600, 2011
Exportar BibTeX 
@article{dias2011_1713965990292,
	author = "Dias, J. C. and Shackleton, M. B.",
	title = "Hysteresis effects under CIR interest rates",
	journal = "European Journal of Operational Research",
	year = "2011",
	volume = "211",
	number = "3",
	doi = "10.1016/j.ejor.2010.12.021",
	pages = "594-600",
	url = "http://www.sciencedirect.com/science/article/pii/S0377221711000026"
}
Exportar RIS 
TY  - JOUR
TI  - Hysteresis effects under CIR interest rates
T2  - European Journal of Operational Research
VL  - 211
IS  - 3
AU  - Dias, J. C.
AU  - Shackleton, M. B.
PY  - 2011
SP  - 594-600
SN  - 0377-2217
DO  - 10.1016/j.ejor.2010.12.021
UR  - http://www.sciencedirect.com/science/article/pii/S0377221711000026
AB  - Most decision making research in real options focuses on revenue uncertainty assuming discount rates remain constant. However, for many decisions revenue or cost streams are relatively static and investment is driven by interest rate uncertainty, for example the decision to invest in durable machinery and equipment. Using interest rate models from Cox et al. (1985b), we generalize the work of Ingersoll and Ross (1992) in two ways. Firstly, we include real options on perpetuities (in addition to zero coupon cash flows). Secondly, we incorporate abandonment or disinvestment as well as investment options, and thus model interest rate hysteresis (parallel to revenue uncertainty in Dixit (1989a)). Under stochastic interest rates, economic hysteresis is found to be significant, even for small sunk costs.
ER  -