Narrow search
Showing 1 - 10 of 72
Cover Image
The evolution of global standards of accounting
Gebhardt, Günther - Center for Financial Studies - 1999
The globalization of markets and companies has increased the demand for internationally comparable high quality accounting information resulting from a common set of accounting rules. Despite remarkable efforts of international harmonization for more than 25 years, accounting regulation is still...
Persistent link: https://www.econbiz.de/10010986378
Cover Image
Competition between exchanges: Euronext versus Xetra
Kasch-Haroutounian, Maria; Theissen, Erik - Center for Financial Studies - 2006
Exchanges in Europe are in a process of consolidation. After the failure of the proposed merger between Deutsche Börse and Euronext, these two groups are likely to become the nuclei for further mergers and co-operation with currently independent exchanges. A decision for one of the groups...
Persistent link: https://www.econbiz.de/10010986385
Cover Image
Measuring financial asset return and volatility spillovers, with application to global equity markets
Diebold, Francis X.; Yilmaz, Kamil - Center for Financial Studies - 2007
formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts. …
Persistent link: https://www.econbiz.de/10010958768
Cover Image
Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency?
Cebiroglu, Gökhan; Hautsch, Nikolaus; Horst, Ulrich - Center for Financial Studies - 2014
We develop a model of an order-driven exchange competing for order flow with off-exchange trading mechanisms. Liquidity suppliers face a trade-off between benefits and costs of order exposure. If they display trading intentions, they attract additional trade demand. We show, in equilibrium,...
Persistent link: https://www.econbiz.de/10010986363
Cover Image
Consumption-based asset pricing with rare disaster risk
Grammig, Joachim; Sönksen, Jantje - Center for Financial Studies - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensation for unlikely but calamitous risks that they happened not to incur. Although convincing in theory, empirical tests of the rare disaster...
Persistent link: https://www.econbiz.de/10010986365
Cover Image
Time and the price impact of a trade: A structural approach
Grammig, Joachim G.; Theissen, Erik; Wünsche, Oliver - Center for Financial Studies - 2011
We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread decomposition and dynamic duration modeling. Previous studies which have addressed the issue in a vector-autoregressive framework conclude that times when markets are most active...
Persistent link: https://www.econbiz.de/10010986395
Cover Image
Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus; Mittnik, Stefan - Center for Financial Studies - 2008
accounting for volatility regimes from both a statistical and economic perspective, including out-of-sample portfolio selection …
Persistent link: https://www.econbiz.de/10010986398
Cover Image
Internalisierung und Marktqualität: Was bringt Xetra Best?
Theissen, Erik - Center for Financial Studies - 2002
Deutsche Börse AG plans to introduce a system (Xetra Best) allowing brokers and brokerdealers to internalize the orders of retail customers. Further, Xetra Best supports payment for order flow arrangements. Both internalization and payment for order flow may be detrimental to market quality....
Persistent link: https://www.econbiz.de/10010986401
Cover Image
Die Betreuer am Neuen Markt: eine empirische Analyse
Gerke, Wolfgang; Bosch, Robert - Center for Financial Studies - 1999
Die Betreuer am neuen Markt sollen die Effizienz des Handels durch Bereitstellung zusätzlicher Liquidität erhöhen. Die vorliegende Studie untersucht den Liquiditätsbeitrag der Betreuer in zwei aufeinanderfolgenden Jahren. Die Beteiligung der Betreuer am Umsatz des Marktes hat im beobachteten...
Persistent link: https://www.econbiz.de/10010986407
Cover Image
Practical volatility and correlation modeling for financial market risk management
Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - Center for Financial Studies - 2005
What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...
Persistent link: https://www.econbiz.de/10010986411