Narrow search
Showing 1 - 10 of 75
Cover Image
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
Cover Image
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
Cover Image
Manipulation in Money Markets
Ewerhart, Christian; Cassola, Nuno; Ejerskov, Steen; … - Institut für Schweizerisches Bankwesen <Zürich> - 2006
Interest rate derivatives are among the most actively traded financial instruments in the main currency areas. With values of positions reacting immediately to the underlying index of daily interbank rates, manipulation has become an increasing challenge for the operational implementation of...
Persistent link: https://www.econbiz.de/10005858342
Cover Image
Optimal Investment in Variance Swaps Under Stochastic Volatility
Egloff, Daniel; Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich> - 2006
span the volatility risk, an investor increases her investment in theunderlying stock. In addition, the investors indirect … utility increases significantly when allowed to span the volatility risk using variance swap contracts. …
Persistent link: https://www.econbiz.de/10005858375
Cover Image
Testing Probability Calibrations: Application to Credit Scoring Models
Blöchlinger, Andreas; Leippold, Markus - Institut für Schweizerisches Bankwesen <Zürich> - 2006
The validation of probability calibration is an inherently difficult task. We develop a testing procedure for credit-scoring models. The models comprise two components to check whether the ex-ante probabilities support the ex-post frequencies. The first component tests the level of the...
Persistent link: https://www.econbiz.de/10005858376
Cover Image
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
. Monte Carlo experiments reveal that both the estimation method and the testing procedure perform well in small samples. An …
Persistent link: https://www.econbiz.de/10005858728
Cover Image
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
Cover Image
Beta Regimes for the Yield Curve
Audrino, Francesco; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We propose an affine term structure model which accommodates non-linearities in the drift and volatility function of … estimating conditional volatility and correlation across yields. …
Persistent link: https://www.econbiz.de/10005858872
Cover Image
Should Financial Institutions own equity? -A Test of the ‘German Bank Influence Model’
Kast, Manuel - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This paper tests two competing hypotheses about the influence of financial institutions as large shareholders on the performance of their industrial portfolio firms: the superior monitoring hypothesis versus the rent extraction hypothesis. The methodology of this study exploits the abolishment...
Persistent link: https://www.econbiz.de/10005857793
Cover Image
Dismantling the Global Accrual Anomaly
Leippold, Markus; Lohre, Harald - Institut für Schweizerisches Bankwesen <Zürich> - 2007
International evidence on the accrual anomaly is sparse and conflicting. Testing for accrual mispricing in 28 equity markets, we provide statistical evidence for anomalous returns in some countries. However, we question whether this result might have occurred by chance alone and that it might...
Persistent link: https://www.econbiz.de/10005858030