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Efficient Derivative Pricing by Extended Method of Moments

Gagliardini, Patrick; Gourieroux, Christian; Renault, E - Institut für Schweizerisches Bankwesen <Zürich> - 2005

are applied in a stochastic volatility model to get efficient derivative prices, to measure the uncertainty of estimated …

Persistent link: https://www.econbiz.de/10005858515

International Bond Risk Premia

Dahlquist, Magnus; Hasseltoft, Henrik - Institut für Schweizerisches Bankwesen <Zürich> - 2011

We identify local and global factors across international bond markets that arepoorly spanned by the traditional level, slope and curvature factors but havestrong forecasting power for future bond excess returns. Local and global fac-tors are jointly signicant predictors of bond returns, where...

Persistent link: https://www.econbiz.de/10009305251

Sovereign rating transitions and the price of default risk in emerging markets

Audzeyeva, Alena; Schenk-Hoppé, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich> - 2007

This paper introduces an expected value estimator with expert knowledge to the robust estimation of sovereign rating transitions which are characterised by few observations. Ourestimates of default premia within Mexican, Colombian and Brazilian Eurobond yield spreads provide a better fit than...

Persistent link: https://www.econbiz.de/10005858202

Aversion Analysis

Allard, Marie; Bronsard, Camille; Gourieroux, Christian - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

Due to their underlying assumptions, the standard concepts of risk aversion and preference for the present are generally defined separately and represented by scalar measures, and this implies many shortcomings. More specifically, if measured by a scalar, the risk aversion remains unchanged,...

Persistent link: https://www.econbiz.de/10005858445

Credit Default Swaps and Financial Crisis Prediction

Neftci, Salih; Oliveira Santos, Andre; Lu, Yinqiu - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

Credit Default Swaps (CDS) are in the process of becoming, liquid and extremelyinformative instruments of default risk. Yet, default swap market has severalnovel aspects that have not received much attention. In this paper we studyan aspect of CDS´s that relates to the prediction of ﬁnancial...

Persistent link: https://www.econbiz.de/10005858549

The Executive Turnover Risk Premium

Peters, Florian S.; Wagner, Alexander F. - Institut für Schweizerisches Bankwesen <Zürich> - 2009

CEO compensation has increased substantially over the past 15 years, but so has forcedturnover. Motivated by this observation, we investigate whether part of the developmentof CEO pay can be explained by a premium which compensates CEOs for increased job risk.We ¯nd that for the CEOs of the...

Persistent link: https://www.econbiz.de/10005868976

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