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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

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

GARCH Modeling of Robust Market Returns

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

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

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