Similar Search Results

The market for German federal securities

2000 - 3. ed

Persistent link: https://www.econbiz.de/10001568943

Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan

Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - Deutsche Bundesbank - 2010

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...

Persistent link: https://www.econbiz.de/10008595896

Business Cycle Transmission from the US to Germany: a Structural Factor Approach

Eickmeier, Sandra - Deutsche Bundesbank - 2004

This paper investigates the transmission of US macroeconomic shocks to Germany by employing a large-dimensional structural dynamic factor model. This framework allows us to investigate many transmission channels simultaneously, including 'new' channels like stock markets, foreign direct...

Persistent link: https://www.econbiz.de/10005083065

Efficient estimation of forecast uncertainty based on recent forecast errors

Knüppel, Malte - Deutsche Bundesbank - 2009

Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of recent squared forecast errors, where the number of available past forecast errors decreases one-to-one with the forecast horizon. In this paper, the efficiency gains from the...

Persistent link: https://www.econbiz.de/10008533612

Forecast-error-based estimation of forecast uncertainty when the horizon is increased

Knüppel, Malte - Deutsche Bundesbank - 2014

Recently, several institutions have increased their forecast horizons, and many institutions rely on their past forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be accomplished if there are only very few errors available...

Persistent link: https://www.econbiz.de/10011124452

Investor fears and risk premia for rare events

Schwarz, Claudia - Deutsche Bundesbank - 2014

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for the US and the German stock markets. The method extracts jump tail measures from high-frequency futures price data and from options data. In a second step, jump tail...

Persistent link: https://www.econbiz.de/10010957155

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

Systematic risk of CDOs and CDO arbitrage

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - Deutsche Bundesbank - 2009

“virtual” borrower or bond for which a single-factor model holds. Then, the correlation parameter is calculated via a non …-linear optimization. This “bond representation” allows to approximate the risk profile (expressed by the EL profile) using a single … for the corresponding bond representations is applied for valuation of the CDO tranches. Using a sample CDO portfolio …

Persistent link: https://www.econbiz.de/10008509634

Central Bank Intervention and Exchange Rate Expectations: Evidence from the Daily DM/US-Dollar Exchange Rate

Reitz, Stefan - Deutsche Bundesbank - 2002

In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...

Persistent link: https://www.econbiz.de/10005059033

Tail Wags Dog? Time-Varying Information Shares in the Bund Market

Upper, Christian; Werner, Thomas - Deutsche Bundesbank - 2002

futures prices did not respond to movements in bond prices. All adjustment towards equilibrium took place in the spot market. …

Persistent link: https://www.econbiz.de/10005059035

1
2
3
4
5
6
7
8
9
10
Next
Last