Showing 1 - 10 of 35
In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...
Persistent link: https://www.econbiz.de/10005083101
apparently in favour of Balassa-Samuelson effects may require a re-interpretation. The model is estimated for a panel of CEE … scheinen, müssen deshalb möglicherweise neu interpretiert werden. Das Modell wird für ein Panel von mittel- und osteuropäischen …
Persistent link: https://www.econbiz.de/10005083090
The interest rate assumptions for macroeconomic forecasts differ considerably among central banks. Common approaches are given by the assumption of constant interest rates, interest rates expected by market participants, or the central bank's own interest rate expectations. From a theoretical...
Persistent link: https://www.econbiz.de/10010984733
In this paper, we construct a single composite financial stress indicator (FSI) which aims to predict developments in the real economy in the euro area. Our FSI was shown to perform better than the Euro STOXX 50 volatility index for the recent banking crisis and the euro-area sovereign debt...
Persistent link: https://www.econbiz.de/10010957158
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...
Persistent link: https://www.econbiz.de/10005082793
Since Mandelbrot's seminal work (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical results on...
Persistent link: https://www.econbiz.de/10005083093
In this paper, we use a modified concept of Granger-(non)causality in reconsidering the negative correlation between stock returns and inflation known in the literature as stock return-inflation puzzle. Based on the quarterly data for Germany including stock returns, inflation rates and growth...
Persistent link: https://www.econbiz.de/10005083121
In this paper, we investigate the implications of the two concepts of asymmetry defined by Sichel (1993) - deepness and steepness - for first-order autoregressive processes with a Markov-switching intercept. In order to do so, we derive the two required formulas determining the coefficient of...
Persistent link: https://www.econbiz.de/10005083167
From time to time, economies undergo far-reaching structural changes. In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest test procedures for structural breaks....
Persistent link: https://www.econbiz.de/10005083187
degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the …
Persistent link: https://www.econbiz.de/10005083230