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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach
Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - Deutsche Bundesbank - 2003
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …
Persistent link: https://www.econbiz.de/10005083101
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A note on the coefficient of determination in regression models with infinite-variance variables
Loretan, Michael Stanislaus; Kurz-Kim, Jeong-Ryeol - Deutsche Bundesbank - 2007
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
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The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany
Fecht, Falko; Wedow, Michael - Deutsche Bundesbank - 2009
We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...
Persistent link: https://www.econbiz.de/10008533497
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A "wreckers theory" of financial distress
von Kalckreuth, Ulf - Deutsche Bundesbank - 2005
In recent years, a number of papers have established a new empirical regularity. Stocks of distressed firms vastly underperform those of financially healthy firms. It is not necessary to attribute the negative excess returns of distressed firms to inefficient or irrational markets. We show that...
Persistent link: https://www.econbiz.de/10005059016
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Tail Wags Dog? Time-Varying Information Shares in the Bund Market
Upper, Christian; Werner, Thomas - Deutsche Bundesbank - 2002
The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...
Persistent link: https://www.econbiz.de/10005059035
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The price impact of CDS trading
Gündüz, Yalin; Nasev, Julia; Trapp, Monika - Deutsche Bundesbank - 2013
In this paper we show that informational and real frictions in CDS markets strongly affect CDS premia. We derive this main finding using a proprietary set of individual CDS transactions cleared by the Depository Trust & Clearing Corporation. We first show that CDS traders adjust the CDS premium...
Persistent link: https://www.econbiz.de/10010984735
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The stable long-run CAPM and the cross-section of expected returns
Kim, Jeong-Ryeol - Deutsche Bundesbank - 2002
The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …
Persistent link: https://www.econbiz.de/10005083064
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Inflation, deflation, and uncertainty: What drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?
Scharnagl, Michael; Stapf, Jelena - Deutsche Bundesbank - 2014
We tackle two questions in this paper: In the sovereign debt crisis, what moves the euro area inflation outlook and has the firm anchoring of medium to long-term inflation expectations been touched? Deriving densities from a new data set on options on the euro area harmonized index of consumer...
Persistent link: https://www.econbiz.de/10010957128
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Interest rate risk and the Swiss solvency test
Eder, Armin; Keiler, Sebastian; Pichl, Hannes - Deutsche Bundesbank - 2013
In this paper, we present a new approach to measuring interest rate risk for insurers within the Swiss Solvency Test, which overcomes the shortcomings of the standard model. The standard model of the Swiss Solvency Test is based on more interest rate risk factors than are actually needed to...
Persistent link: https://www.econbiz.de/10010957135
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Identifying time variability in stock and interest rate dependence
Stein, Michael; Islami, Mevlud; Lindemann, Jens - Deutsche Bundesbank - 2012
The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with differing results in terms of strength and direction of the relationship. This paper uses models of the multivariate GARCH type which allow for time-variability and regime changes in...
Persistent link: https://www.econbiz.de/10010957154