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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
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Does Finance have a cultural Dimension?
Hens, Thorsten; Wang, Mei - Institut für Schweizerisches Bankwesen <Zürich> - 2007
According to the traditional view held in finance returns of assets are determined by complete rationality of decision makers. Rational decisions are defined by a set of axioms that are universal and do not leave room for cultural differences. In this article we show that cultural differences do...
Persistent link: https://www.econbiz.de/10005858207
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Explaining Asymmetric Volatility around the World
Talpsepp, Tonn; Rieger, Marc Oliver - Institut für Schweizerisches Bankwesen <Zürich> - 2009
Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for … mostcountries. We nd that economic development and market capitalization/GDP arethe most important factors that increase volatility …
Persistent link: https://www.econbiz.de/10009022138
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Are stock markets really like beauty contests? - Empirical evidence of higher order belief's impact on asset prices
Monnin, Pierre - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …
Persistent link: https://www.econbiz.de/10005857785
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The impact of heterogeneous beliefs on trading volume
Bauer, Wolfgang - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This paper analyzes the effects that uncertainty about economic fundamentalshas on aggregate trading volume. First, the trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if theparameters describing the investment opportunity set...
Persistent link: https://www.econbiz.de/10005857971
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Property Derivatives and Index-Linked Mortgages
Syz, Juerg; Vanini, Paolo; Salvi, Marco - Institut für Schweizerisches Bankwesen <Zürich> - 2006
Economists have forcefully argued for the introduction and use of property derivatives as a hedge against house price risk (e.g. Shiller and Weiss, 1999). The rationale for these financial instruments seems clear, as many households are heavily invested in housing and standard financial...
Persistent link: https://www.econbiz.de/10005858211
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Sensitivity Analysis of VaR and Expected Shortfall for Portfolios under Netting Agreements
Fermanian, Jean-David; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order to illustrate the impact of netting...
Persistent link: https://www.econbiz.de/10005858398
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Incentives and Risk Taking in Hedge Funds
Kouwenberg, Roy; Ziemba, William T. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
in the behavioural framework ofprospect theory. The performance related component encourages funds managers to take …
Persistent link: https://www.econbiz.de/10005858410
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A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements
Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - Institut für Schweizerisches Bankwesen <Zürich> - 2005
In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...
Persistent link: https://www.econbiz.de/10005858728
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Arbitrage opportunities in diverse markets via a non-equivalent measure change
Osterrieder, Jörg; Rheinländer, Thorsten - Institut für Schweizerisches Bankwesen <Zürich> - 2004
We study arbitrage opportunities in diverse markets as introduced by R. Fernholz in [2]. By a change of measure technique we are able to generate a variety of diverse markets. The construction is based on an absolutely continuous but non-equivalent measure change which implies the existence of...
Persistent link: https://www.econbiz.de/10005858729