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Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference

Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - Institut für Weltwirtschaft (IfW) - 2013

stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of … dependence structure. First, the results show symmetric dependence and tail dependency equality between the two markets. This … with a too-big-to-fail effect. Second, the authors do not detect structural breaks in the dependence structure in a period …

Persistent link: https://www.econbiz.de/10010956052

Sources of Predictability of European Stock Markets for High-Technology Firms

Pierdzioch, Christian; Schertler, Andrea - Institut für Weltwirtschaft (IfW) - 2005

We study return predictability of stock indexes of blue chip firms and smaller hightechnology firms in Germany, France, and the United Kingdom during the second half of the 1990s. We measure return predictability in terms of first-order autocorrelation coefficients, and find evidence for return...

Persistent link: https://www.econbiz.de/10010886972

On the power and weakness of rational expectations: Logical fallacies, periodic bubbles and business cycles

Gracia, Eduard - Institut für Weltwirtschaft (IfW) - 2012

A popular interpretation of the Rational Expectations/Efficient Markets hypothesis states that, if the hypothesis holds, then market valuations must follow a random walk. This postulate has frequently been criticized on the basis of empirical evidence. Yet the assertion itself incurs what we...

Persistent link: https://www.econbiz.de/10010956093