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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

Fiscal stimulus and the promise of future spending cuts: A comment

Wieland, Volker - Center for Financial Studies - 2009

Recent evaluations of the fiscal stimulus packages recently enacted in the United States and Europe such as Cogan, Cwik, Taylor and Wieland (2009) and Cwik and Wieland (2009) suggest that the GDP effects will be modest due to crowding-out of private consumption and investment. Corsetti, Meier...

Persistent link: https://www.econbiz.de/10010958642

On the dark side of the market: Identifying and analyzing hidden order placements

Hautsch, Nikolaus; Huang, Ruihong - Center for Financial Studies - 2012

Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...

Persistent link: https://www.econbiz.de/10010958685

Measuring confidence and uncertainty during the financial crisis: Evidence from the CFS survey

Entorf, Horst; Knoll, Christian; Sattarova, Liliya - Center for Financial Studies - 2011

The CFS survey covers individual situations of banks and other companies of the financial sector during the financial crisis. This provides a rare possibility to analyze appraisals, expectations and forecast errors of the core sector of the recent turmoil. Following standard ways of aggregating...

Persistent link: https://www.econbiz.de/10010958702

The market impact of a limit order

Hautsch, Nikolaus; Huang, Ruihong - Center for Financial Studies - 2009

Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...

Persistent link: https://www.econbiz.de/10010958747

The merit of high-frequency data in portfolio allocation

Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - Center for Financial Studies - 2011

This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a...

Persistent link: https://www.econbiz.de/10010958793

Emotions-at-risk: An experimental investigation into emotions, option prices and risk perception

Bosman, Ronald; Kräussl, Roman; van Galen, Thomas - Center for Financial Studies - 2014

This paper experimentally investigates how emotions are associated with option prices and risk perception. Using a binary lottery, we find evidence that the emotion 'surprise' plays a significant role in the negative correlation between lottery returns and estimates of the price of a put option....

Persistent link: https://www.econbiz.de/10011076252

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

Organized Equity Markets in Germany

Theissen, Erik - Center for Financial Studies - 2003

The German financial system is the archetype of a bank-dominated system. This implies that organized equity markets are, in some sense, underdeveloped. The purpose of this paper is, first, to describe the German equity markets and, second, to analyze whether it is underdeveloped in any...

Persistent link: https://www.econbiz.de/10005120786

Do Changes in Sovereign Credit Ratings Contribute to Financial Contagion in Emerging Market Crises?

Kraeussl, Roman - Center for Financial Studies - 2003

Credit rating changes for long-term foreign currency debt may act as a wake-up call with up-grades and downgrades in one country affecting other financial markets within and across national borders. Such a potential (contagious) rating effect is likely to be stronger in emerg-ing market...

Persistent link: https://www.econbiz.de/10005176439