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Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - 2002

ungewöhnlich grossen Preisveränderung auf einem Aktienmarkt, wenn eine ungewöhnlich grosse Preisveränderung auf einem anderen Markt … starker gegenseitiger Abhängigkeit in Bezug auf den deutschen Aktienmarkt, während die Aktienmärkte in Grossbritannien und … Italien weniger eng mit dem deutschen Aktienmarkt verbunden sind. Viertens sind die Abhängigkeiten zwischen zwei Märkten …

Persistent link: https://www.econbiz.de/10011431447

The forecasting performance of German stock option densities

Craig, Ben R.; Glatzer, Ernst; Keller, Joachim; … - 2003

In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and...

Persistent link: https://www.econbiz.de/10011432259

Sectoral uncertainty spillovers in emerging markets : a quantile time-frequency connectedness approach

Tam Hoang‑Nhat Dang; Balli, Faruk; Balli, Hatice Ozer; … - In: International review of economics & finance : IREF 93 (2024) 2, pp. 121-139

Persistent link: https://www.econbiz.de/10014535528

Central bank intervention and exchange rate expectations : evidence from the daily DM/US-Dollar exchange rate

Reitz, Stefan - 2002

In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...

Persistent link: https://www.econbiz.de/10011431685

Determinants of German foreign direct investment in Latin American and Asian emerging markets in the 1990s

Wezel, Torsten - 2003

Many empirical studies in the area of foreign direct investment (FDI) exclusively focus on flows between industrialized countries. This article makes a contribution to the still relatively sparse literature on FDI in emerging markets by estimating determinants of German FDI flows to Latin...

Persistent link: https://www.econbiz.de/10011432086

An investigation of the frequency dynamics of spillovers and connectedness among GCC sectoral indices

Kapar, Burcu; Syed Mabruk Billah; Rana, Faisal; Balli, Faruk - In: International review of economics & finance : IREF 89 (2024) 1, pp. 1442-1467

Persistent link: https://www.econbiz.de/10014446633

Foreign bank entry into emerging economies : an empirical assessment of the determinants and risks predicted on German FDI data

Wezel, Torsten (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001901194

Does co-financing by multilateral development banks increase "risky" direct investment in emerging markets?

Wezel, Torsten (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001901378

Forecasting stock market volatility with macroeconomic variables in real time

Döpke, Jörg (contributor); Hartmann, Daniel (contributor); … - 2006

We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We used a statistical, a utility-based, and an options-based...

Persistent link: https://www.econbiz.de/10003315444

A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets

Manner, Hans; Rodriguez, Gabriel; Stöckler, Florian - In: International review of economics & finance : IREF 89 (2024) 1, pp. 1385-1403

Persistent link: https://www.econbiz.de/10014446630