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State Price Densities implied from weather derivatives
Härdle, Wolfgang Karl; López-Cabrera, Brenda; Teng, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
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
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Hidden Liquidity: Determinants and Impact
Cebiroglu, Gökhan; Horst, Ulrich - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
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
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The Impact of Industry Classification Schemes on Financial Research
Weiner, Christian - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
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
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Statistical Modelling of Temperature Risk
Anastasiadou, Zografia; BrendaLópez-Cabrera - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
Recently the topic of global warming has become very popular. The literature has concentrated its attention on the evidence of such eect, either by detecting regime shifts or change points in time series. The majority of these methods are designed to nd shifts in mean, but only few can do this...
Persistent link: https://www.econbiz.de/10010543378
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Forecast based Pricing of Weather Derivatives
Härdle, Wolfgang Karl; López-Cabrera, Brenda; Ritter, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...
Persistent link: https://www.econbiz.de/10010607145
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Pricing of Asian temperature risk
Benth, Fred; Härdle, Wolfgang Karl; Cabrera, Brenda López - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
Weather derivatives (WD) are different from most financial derivatives because the underlying weather cannot be traded and therefore cannot be replicated by other financial instruments. The market price of risk (MPR) is an important parameter of the associated equivalent martingale measures used...
Persistent link: https://www.econbiz.de/10008479243
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Common Functional Principal Components
Benko, Michal; Härdle, Wolfgang; Kneip, Alois - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
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
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Selecting Comparables for the Valuation of European Firms
Dittmann, Ingolf; Weiner, Christian - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
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
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Calibrating CAT bonds for Mexican earthquakes
Härdle, Wolfgang; Cabrera, Brenda López - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
. This paper examines the calibration of a real parametric CAT bond for earthquakes that was sponsored by the Mexican … government. The calibration of the CAT bond is based on the estimation of the intensity rate that describes the earthquake … demonstrate that, under specific conditions, the financial strategy of the government, a mix of reinsurance and CAT bond, is …
Persistent link: https://www.econbiz.de/10005677952
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Implied Market Price of Weather Risk
Härdle, Wolfgang; Cabrera, Brenda López - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
Weather influences our daily lives and choices and has an enormous impact on corporate revenues and earnings. Weather derivatives dier from most derivatives in that the underlying weather cannot be traded and their market is relatively illiquid. The weather derivative market is therefore...
Persistent link: https://www.econbiz.de/10005677972