Similar Search Results

Sáez, Lucía Cuadro; Moreno, Manuel - Institut für Weltwirtschaft (IfW) - 2007

Daily financial market returns (as log difference in closing prices) may be quite sensitive to operations with low trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust estimation of market, returns by providing a new indicator...

Persistent link: https://www.econbiz.de/10005818774

Feedback Trading and Predictability of Stock Returns in Germany, 1880-1913

Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2004

I use a time-varying parameter model in order to study the predictability of monthly real stock returns in Germany over the period 1880–1913. I find that the extent to which returns were predictable underwent significant changes over time. Specifically, predictability of returns, as measured...

Persistent link: https://www.econbiz.de/10005818851

Stock returns and implied volatility: A new VAR approach

Lee, Bong Soo; Ryu, Doojin - Institut für Weltwirtschaft (IfW) - 2012

This study re-examines the return-volatility relationship and dynamics under a new VAR framework. By analyzing two … model-free implied volatility indices - VIX (the U.S.) and VKOSPI (Korea) - and their corresponding stock market indices, we … found an asymmetric volatility phenomenon in both developed and emerging markets. However, the VKOSPI, a recently published …

Persistent link: https://www.econbiz.de/10010956047

The causal linkages between sovereign CDS prices for the BRICS and major European economies

Stolbov, Mikhail - Institut für Weltwirtschaft (IfW) - 2014

The article examines causal relationships between sovereign credit default swaps (CDS) prices for the BRICS and most important EU economies (Germany, France, the UK, Italy, Spain) during the European debt crisis. The cross-correlation function (CCF) approach used in the research distinguishes...

Persistent link: https://www.econbiz.de/10010956154

A directional-change events approach for studying financial time series

Aloud, Monira; Tsang, Edward; Olsen, Richard; Dupuis, … - Institut für Weltwirtschaft (IfW) - 2011

Financial markets witness high levels of activity at certain times, but remain calm at others. This makes the flow of physical time discontinuous. Therefore using physical time scales for studying financial time series, runs the risk of missing important activities. An alternative approach is...

Persistent link: https://www.econbiz.de/10009246864

Wechselkursunsicherheit und Außenhandel: Eine Analye der theoretischen Literatur

Fischer, Malte - Institut für Weltwirtschaft (IfW) - 1997

The impact of exchange rate uncertainty on international trade has been discussed controversially in economic policy and theory for a long time. The paper surveys the theoretical investigations on this topic. The early modeis which analyse the influence of exchange rate uncertainty on trade,...

Persistent link: https://www.econbiz.de/10009276144

Different risk-adjusted fund performance measures: a comparison

Grau-Carles, Pilar; Sainz, Jorge; Otamendi, Javier; … - Institut für Weltwirtschaft (IfW) - 2009

Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen's alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk...

Persistent link: https://www.econbiz.de/10008561128

A note on Arbitrage under Transaction Costs

Prelle, Claas; Irle, Albrecht - Institut für Weltwirtschaft (IfW) - 2008

Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of a portfolio

Persistent link: https://www.econbiz.de/10005566195

Financial stress and economic dynamics: an application to France

Aboura, Sofiane; Roye, Björn van - Institut für Weltwirtschaft (IfW) - 2013

In this paper, we develop a financial stress index for France that can be used as a real-time composite indicator for the state of financial stability in France. We take 17 financial variables from different market segments and extract a common stress component using a dynamic approximate factor...

Persistent link: https://www.econbiz.de/10010886871

Carbon Price Dynamics – Evidence from Phase II of the European Emission Trading Scheme

Rickels, Wilfried; Görlich, Dennis; Oberst, Gerrit; … - Institut für Weltwirtschaft (IfW) - 2012

In this paper we empirically investigate potential determinants of allowance (EUA) price dynamics in the European Union Emission Trading Scheme (EU ETS) during Phase II. In contrast to previous papers, we analyze a significantly longer time series, place particular emphasis on the importance of...

Persistent link: https://www.econbiz.de/10010886917