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Markov-switching in target stocks during takeover bids

Gelman, Sergey; Wilfling, Bernd - In: Journal of Empirical Finance 16 (2009) 5, pp. 745-758

This paper examines shifts in the market betas and the conditional volatility of stock prices of takeover targets. Using daily stock prices of five European and American targets, we find that adequately specified Markov-switching GARCH models are capable of detecting statistically significant...

Persistent link: https://www.econbiz.de/10008482937

The effect of time-induced stress on financial decision making in real markets : the case of traffic congestion

Gelʹman, Sergej V.; Kliger, Doron - In: Journal of economic behavior & organization : JEBO 185 (2021), pp. 814-841

Persistent link: https://www.econbiz.de/10012601396

Trading costs and trading quantity at the Berlin Stock Exchange, 1892-1913

Burhop, Carsten; Gelʹman, Sergej V. - In: Zeitschrift für Unternehmensgeschichte : ZUG 67 (2022) 1, pp. 21-42

Persistent link: https://www.econbiz.de/10013187180

An approach to increasing forecast‐combination accuracy through VAR error modeling

Weigt, Till; Wilfling, Bernd - In: Journal of Forecasting 40 (2020) 4, pp. 686-699

Persistent link: https://www.econbiz.de/10012406758

Wechselkursdynamik im Vorfeld einer Währungsunion / Exchange Rate Dynamics Prior to Monetary Union

Wilfling, Bernd - In: Jahrbücher für Nationalökonomie und Statistik 218 (1999) 1-2, pp. 23-44

Zusammenfassung Die vorliegende Arbeit analysiert die Wechselkursdynamik eines glaubwürdig angekündigten, zeitlich fest anvisierten Übergangs von flexiblen zu festen Wechselkursen auf der Grundlage eines monetären Wechselkursmodells mit flexiblen Preisen. Verschiedene währungspolitische...

Persistent link: https://www.econbiz.de/10014608650

Bayesian semiparametric multivariate stochastic volatility with application

Zaharieva, Martina Danielova; Trede, Mark; Wilfling, Bernd - In: Econometric reviews 39 (2020) 9, pp. 947-970

Persistent link: https://www.econbiz.de/10012295590

Spot market volatility and futures trading : the pitfalls of using a dummy variable approach

Bohl, Martin T.; Diesteldorf, Jeanne; Salm, Christian; … - In: The journal of futures markets 36 (2016) 1, pp. 30-45

Persistent link: https://www.econbiz.de/10011567524

Short selling constraints and stock returns volatility : empirical evidence from the German stock market

Bohl, Martin T.; Reher, Gerrit; Wilfling, Bernd - In: Economic modelling 58 (2016), pp. 159-166

Persistent link: https://www.econbiz.de/10011647079

A new stock-price bubble with stochastically deflating trajectories

Rotermann, Benedikt; Wilfling, Bernd - In: Applied economics letters 25 (2018) 15, pp. 1091-1096

Persistent link: https://www.econbiz.de/10012132351

Volatility regime-switching in European exchange rates prior to monetary unification

Wilfling, Bernd - In: Journal of International Money and Finance 28 (2009) 2, pp. 240-270

Several theoretical models suggest that the mere announcement of entering a currency union in the future triggers instantaneous changes in exchange-rate volatility. First, this paper develops a Markov-switching framework by which, in fact, volatility regime-switching in foreign exchange rates...

Persistent link: https://www.econbiz.de/10005311720