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Trade-throughs in European cross-traded equities after transaction costs: Empirical evidence for the EURO STOXX 50
Ende, Bartholomäus; Lutat, Marco - Center for Financial Studies - 2010
The new regulatory environment triggered by MiFID has resulted in a transformed competitive landscape and increased fragmentation among execution venues in Europe. One key component of MiFID is best execution, i.e. investment firms are obliged to achieve the best result for customer orders on a...
Persistent link: https://www.econbiz.de/10010986425
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Improving market-based forecasts of short-term interest rates: Time-varying stationarity and the predictive content of switching regime-expectations
Ahrens, Ralf - Center for Financial Studies - 1999
Modeling short-term interest rates as following regime-switching processes has become increasingly popular. Theoretically, regime-switching models are able to capture rational expectations of infrequently occurring discrete events. Technically, they allow for potential time-varying stationarity....
Persistent link: https://www.econbiz.de/10010958750
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Revisiting the home bias puzzle: Downside equity risk
Campbell, Rachel A.; Kräussl, Roman - Center for Financial Studies - 2006
Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the...
Persistent link: https://www.econbiz.de/10010986470
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Electronic trading systems and intraday non-linear dynamics: An examination of the FTSE 100 cash and futures returns
Canto, Bea; Kräussl, Roman - Center for Financial Studies - 2007
This paper focuses on dynamic interactions of equity prices among theoretically related assets. We explore the existence of intraday non-linearities in the FTSE 100 cash and futures indices. We test whether the introduction of the electronic trading systems in the London Stock Exchange in 1997...
Persistent link: https://www.econbiz.de/10010986493
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Heterogeneous Expectations in the Foreign Exchange Market Evidence from the Daily Dollar/DM Exchange Rate
Ahrens, Ralf; Reitz, Stefan - Center for Financial Studies - 2003
In this study a regime switching approach is applied to estimate the chartist and fundamentalist (c&f) exchange rate model originally proposed by Frankel and Froot (1986). The c&f model is tested against alternative regime switching specifications applying likelihood ratio tests. Nested...
Persistent link: https://www.econbiz.de/10010958501
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Heterogeneous Expectations in the Foreign Exchange Market Evidence from the Daily Dollar/DM Exchange Rate
Ahrens, Ralf; Reitz, Stefan - Center for Financial Studies - 2003
In this study a regime switching approach is applied to estimate the chartist and fundamentalist (c&f) exchange rate model originally proposed by Frankel and Froot (1986). The c&f model is tested against alternative regime switching specifications applying likelihood ratio tests. Nested...
Persistent link: https://www.econbiz.de/10005022426
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Revisiting the Home Bias Puzzle. Downside Equity Risk
Campbell, Rachel A.; Kräussl, Roman - Center for Financial Studies - 2006
Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the...
Persistent link: https://www.econbiz.de/10005600445
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The dynamics of spillover effects during the European sovereign debt turmoil
Alter, Adrian; Beyer, Andreas - Center for Financial Studies - 2012
. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common … factors. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response …
Persistent link: https://www.econbiz.de/10010958562
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CDOs and systematic risk: Why bond ratings are inadequate
Krahnen, Jan Pieter; Wilde, Christian - Center for Financial Studies - 2009
This paper analyzes the risk properties of typical asset-backed securities (ABS), like CDOs or MBS, relying on a model with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default, and macro factor dependencies. Using a two-dimensional...
Persistent link: https://www.econbiz.de/10010958590
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The comovement of credit default swap, bond and stock markets: An empirical analysis
Norden, Lars; Weber, Martin - Center for Financial Studies - 2004
autoregressive model and the adjustment between markets caused by cointegration. First, we find that stock returns lead CDS and bond … spread changes. Second, CDS spread changes Granger cause bond spread changes for a higher number of firms than vice versa …. Third, the CDS market is significantly more sensitive to the stock market than the bond market and the magnitude of this …
Persistent link: https://www.econbiz.de/10010958637