Zahlreiche empirische Untersuchungen haben gezeigt, dass Verteilungen von Aktienkursrenditen nur unzureichend durch die Normalverteilung abgebildet werden können. Zur Approximation der Verteilung erwiesen sich in der Literatur und erweisen sich meist die nichtnormalen stabilen Verteilungen als...

Can the credit spreads of one and the same issuer differ in two different currencies? If so, can an investor exploit this situation? To answer these questions and to add to the existing literature, we extend the Jarrow/Turnbull model with a second currency and test these theoretical results with...

For some commodities, the strong increase in demand over the last decade will have major impact on their future availability. Thus, the importance of assessing a commodity's criticality by means of criticality indicators continuously increases. In the literature, numerous indicators for...

In this article we analyse the effects of Guaranteed Stop Orders on shares in the German stock index DAX. We briefly explain how Guaranteed Stop Orders work and then we develop a jump process, which is based on a Variance Gamma Process, to model the share prices. We show, by means of...

We expand on research concerning the well-pronounced influence of geographical peer groups on human behavior. For this purpose, bank-specific risk-taking behavior and its relation to culturally close banks – measured by geographical as well as linguistic distance – is examined. We...

This paper uses Meta-Granger analysis to explain and summarize the mixed results in the literature on the impact of financial speculation on commodity prices. The sample covers 2,106 manually collected p-values from Granger causality (GC) tests reported in 54 prior studies. Our results show that...

A structural form asset value model is developed from which the equivalent martingale measure can be computed. This measure is later applied to price different claims on the company's asset value like its shares, bonds, credit default options, and stock options. Thereafter, a reduced form model...

We apply autoregressive distributed lag regression (ARDL) and several methods of structural break analysis on a daily data set between 1995 and 2014 to explore various supply and demand factors as drivers of the price differential between WTI and Brent crude oil. In line with previous...

We examine the drivers of heterogeneity among the determinants of corporate hedging by applying meta-regression analysis on a sample of 175 primary studies. Taken all previous findings together, hedgers are large, profitable and geographically diversified firms with high capital expenditures and...