Showing 1 - 10 of 92
last two decades to calibrate a SPD using financial options from the bond and equity markets. Among these, non and semi …
Persistent link: https://www.econbiz.de/10010658762
This paper investigates industry classification systems. During the last 50 years there has been a considerable discussion of problems regarding the classification of economic data by industries. From my perspective, the central point of each classification is to determine a balance between...
Persistent link: https://www.econbiz.de/10005652780
We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock’s hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...
Persistent link: https://www.econbiz.de/10009652363
Functional data analysis (FDA) has become a popular technique in applied statistics. In particular, this methodology has received considerable attention in recent studies in empirical finance. In this talk we discuss selected topics of functional principal components analysis that are motivated...
Persistent link: https://www.econbiz.de/10005489964
Electricity load forecasts are an integral part of many decision-making pro- cesses in the electricity market. However, most literature on electricity load forecasting concentrates on deterministic forecasts, neglecting possibly impor- tant information about uncertainty. A more complete picture...
Persistent link: https://www.econbiz.de/10011184071
We analyze a consistent two-factor model for pricing temperature derivatives that incorporates the forward looking information available in the market by specifying a model for the dynamics of the complete meteorological forecast curve. The two-factor model is a generalization of the...
Persistent link: https://www.econbiz.de/10011145246
In this paper we investigate price and volatility risk originating in link- ages between energy and agricultural commodity prices in Germany and study their dynamics over time. We propose an econometric approach to quantify the volatility and correlation risk structure, which has a large impact...
Persistent link: https://www.econbiz.de/10011145247
Trading, hedging and risk analysis of complex option portfolios depend on accurate pricing models. The modelling of implied volatilities (IV) plays an important role, since volatility is the crucial parameter in the Black-Scholes (BS) pricing formula. It is well known from empirical studies that...
Persistent link: https://www.econbiz.de/10005652789
Functional principal component analysis (FPCA) based on the Karhunen-Lo`eve decomposition has been successfully applied in many applications, mainly for one sample problems. In this paper we consider common functional principal components for two sample problems. Our research is motivated not...
Persistent link: https://www.econbiz.de/10005677915
This paper investigates which comparables selection method generates the most precise forecasts when valuing European companies with the enterprise value to EBIT multiple. We also consider the USA as a reference point. It turns out that selecting comparable companies with similar return on...
Persistent link: https://www.econbiz.de/10005677931