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Volatility Spillover in the Foreign Exchange Market: The Indian Experience

Ghosh, Saurabh - Institut für Weltwirtschaft (IfW) - 2012

We find evidences of significant volatility co-movements and/ or spillover from different financial markets to forex … market for Indian economy. Among a large number of variables examined, volatility spillovers from stock market, government … to be most important. Empirical findings also indicate that the volatility spillover differed across variables in terms …

Persistent link: https://www.econbiz.de/10010886827

Real Financial Market Exchange Rates and Capital Flows

Leppin, Julian S.; Reitz, Stefan - Institut für Weltwirtschaft (IfW) - 2014

This paper investigates the impact of a changing market environment on the pricing of CDS spreads written on debt from EURO STOXX 50 firms. A Panel Smooth Transition Regression reveals that parameter estimates of standard CDS fundamentals are time-varying depending on current values of a set of...

Persistent link: https://www.econbiz.de/10010886881

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

Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...

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

A parsimonious model for intraday European option pricing

Scalas, Enrico; Politi, Mauro - Institut für Weltwirtschaft (IfW) - 2012

A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general formula for the martingale price of a European call option. A...

Persistent link: https://www.econbiz.de/10009646512

The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis

Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2000

period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …

Persistent link: https://www.econbiz.de/10005755270

Noise Traders'Trigger Rates, FX Options, and Smiles

Pierdzioch, Christian - Institut für Weltwirtschaft (IfW) - 2000

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

Persistent link: https://www.econbiz.de/10005700565

Die Zinslast des Bundes in der Schuldenkrise: Wie lukrativ ist der „sichere Hafen“?

Boysen-Hogrefe, Jens - Institut für Weltwirtschaft (IfW) - 2012

In the aftermath of the Great Recession and during the debt crisis in the euro area yields on German federal bonds have been exceptionally low. This analysis tries to calculate the profits that the federal government makes due to the low yields. The interest payments that are due to emissions of...

Persistent link: https://www.econbiz.de/10010886837

Phase Transition in the S&P Stock Market

Raddant, Matthias; Wagner, Friedrich - Institut für Weltwirtschaft (IfW) - 2013

We analyze the stock prices of the S&P market from 1987 to 2012 with the covariance matrix of the firm returns determined in time windows of several years. The eigenvector belonging to the leading eigenvalue (market) exhibits in its long term time dependence a phase transition with an order...

Persistent link: https://www.econbiz.de/10010886861

Announcements of ECB Unconventional Programs: Implications for the Sovereign Risk of Italy

Falagiarda, Matteo; Reitz, Stefan - Institut für Weltwirtschaft (IfW) - 2013

This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...

Persistent link: https://www.econbiz.de/10010886951

Inference for Systems of Stochastic Differential Equations from Discretely Sampled data: A Numerical Maximum Likelihood Approach

Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2012

Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed form solution of the transient density. It has recently been argued that a most generic remedy to this problem is the numerical solution of the pertinent Fokker-Planck (FP) or...

Persistent link: https://www.econbiz.de/10010905567