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Trotz boomender Börse nicht mehr Aktionäre - Mangelnde Diversifikation in Schweizer Depots

Institut für Schweizerisches Bankwesen <Zürich> - 2006

Die Aktienindizes erklimmen derzeit neue Höchststände, doch die Schweizer Anleger springen laut einer Studie der Universität Zürich nicht auf den "fahrenden Zug" auf. Den Schweizer Investoren wird insgesamt eine verzerrte Risikowahrnehmung attestiert.

Persistent link: https://www.econbiz.de/10005858279

Survival of Noise Traders and the Implications for Asset Prices

Bucher, Mathias; Woehrmann, Peter - Institut für Schweizerisches Bankwesen <Zürich> - 2005

investigate the two most prominent puzzles related to low-frequency stock prices: The conditional volatility of price returns, and … to approximate the conditional volatility, quantified with a GARCH(1,1) process, that is observed in empirical price data …

Persistent link: https://www.econbiz.de/10005858738

European Financial Integration and Equity Returns : A Theory-Based Assessment

Danthine, Jean-Pierre; Adjaoute, Kpate - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper reassesses, at the light of economic and financial theory, the well-documented recent evolution of the euro area public debt and equity markets. Doing so leads to associating the EMU and the single market with the changes in fundamentals and financial integration with convergence in...

Persistent link: https://www.econbiz.de/10005858850

Asymmetry of Information Flow Between Volatilities Across Time Scales

Gençay, Ramazan; Whitcher, Brandon; Selçuk, Faruk - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

volatility across di.erent time scales. We call this property asymmetric vertical dependence. It is asymmetric in the sense that … a low volatility state (regime) at a long time horizon is most likely followed by low volatility states at shorter time … horizons. On the other hand, a high volatility state at long time horizons does not necessarily imply a high volatility state …

Persistent link: https://www.econbiz.de/10005859005

Stock Exchange Competition in a Simple Model of Capital Market Equilibrium

Ramos, Sofia B.; Thadden, Ernst-Ludwig von - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper uses a simple model of mean-variance asset pricing with transactions costs to analyze one of the main empirical phenomena in stock market competition in the last years, the decrease of transaction costs. We endogenize transactions costs as variables strategically influenced by stock...

Persistent link: https://www.econbiz.de/10005858015

Exponential utility indifference valuation in two Brownian settings with stochastic correlation

Frei, Christoph; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2008

We study the exponential utility indifference valuation of a contingent claim B in an incomplete market driven by two Brownian motions. The claim depends on a nontradable asset stochastically correlated with the traded asset available for hedging. We use martingale arguments to provide upper and...

Persistent link: https://www.econbiz.de/10005857735

Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

Eric Jondeau - Institut für Schweizerisches Bankwesen <Zürich> - 2008

individual parameters, the dynamics of the aggregate volatility involves additional lags that reﬂect the moments of the …

Persistent link: https://www.econbiz.de/10005857736

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

Dumas, Bernard; Kurshev, Alexander; Uppal, Raman - Institut für Schweizerisches Bankwesen <Zürich> - 2007

price volatility and sentiment ﬂuctuations. We construct a general-equilibrium model of sentiment. In it, there are two …

Persistent link: https://www.econbiz.de/10005857774

Arbitrage in Stationary Markets

Evstigneev, Igor; Kapoor, Dhruv - Institut für Schweizerisches Bankwesen <Zürich> - 2007

discuss the relations between the results obtained and the phenomenon of volatility-induced growth in stationary markets. …

Persistent link: https://www.econbiz.de/10005857775

Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates

Medvedev, Alexey; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2008

existing methods lies in its straightforward application to models with stochastic volatility and stochastic interest rates. We … exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and …

Persistent link: https://www.econbiz.de/10005857779