Similar Search Results

Semiparametric modelling of the cross-section of expected returns in the German stock market

Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997

a comparable data set for Germany for the time period 1968-1990. We analyze this data set in order to identify a "best … market ; time series of cross-sectional data …

Persistent link: https://www.econbiz.de/10009661022

Nonlinear error correction and the efficient market hypothesis : the case of German dual-class shares

Breitung, Jörg; Wulff, Christian - 1999

The efficient market hypothesis implies that asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting far away. An attractive model that reconciles these two conflicting facts is the nonlinear error correction...

Persistent link: https://www.econbiz.de/10009581105

On Markovian short rates in term structure models driven by jump-diffusion processes

Gapeev, P. V. (contributor); Küchler, U. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001917033

Tax clientele effects in the German bond market

Stehle, Richard; Jaschke, Stefan R.; Wernicke, Stefan - 1998

This paper presents an analysis of tax clientele effects in the German government bond market from the viewpoint of private investors. The methods developed here allow the identification of bonds that are over-valued from the viewpoint of a certain tax class, the estimation of tax-specific term...

Persistent link: https://www.econbiz.de/10009574878

Stock performance around share repurchase announcements in Germany

Seifert, Udo (contributor) - 2003 - [Elektronische Ressource], draft

Persistent link: https://www.econbiz.de/10001917087

Semiparametric estimation and prediction for time series cross sectional data

Bunke, Olaf - 1998

This paper discusses a methodology which uses time series cross sectional datafor the estimation of a time dependent … observations from an adaptive running time window. The adaptation consists in the selection of the length (or horizon) of such a …

Persistent link: https://www.econbiz.de/10009578017

Weekday dependence of German stock market returns

Herwartz, Helmut - 1999

The so-called 'Monday effect ' has been found for various stock markets of the world. The empirical finding that Monday … against time varying means and correlation of return data in parametric models and to obtain confidence bands for … nonparametric estimates. It is shown that time dependence is an important feature describing the dynamics of German stock market …

Persistent link: https://www.econbiz.de/10009580468

Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

additional noise nt. We consider the situation which the parameters w and a might also depend on the "time" t, and we study the … adaptive method of estimation which does not use any information about time homogeneity of the obscured process. We apply this …

Persistent link: https://www.econbiz.de/10009582392

Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods

Lillestøl, Jostein - 2000 - Rev.

The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods. --...

Persistent link: https://www.econbiz.de/10009612011

Finance, investment, and firm value in Germany and the US : a comparative analysis

Nowak, Eric - 1998

Germany and the United States are generally seen as the two competing systems of corporate governance. In search for a comparative welfare analysis of the financial systems, we are interested in (i) the aggregate value-added of corporate investments in the two countries and in (ii) the...

Persistent link: https://www.econbiz.de/10009578016