Narrow search
Showing 1 - 10 of 264
Cover Image
Fractional cointegration and tests of present value models
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations are conducted to evaluate the power and size...
Persistent link: https://www.econbiz.de/10009582383
Cover Image
Should smart investors buy funds with high returns in the past?
Palomino, Frédéric; Uhlig, Harald - 2002
Newspapers and weekly magazines catering to the investing crowd often rank funds according to the returns generated in the past. Aside from satisfying sheer curiosity, these numbers are probably also the basis on which investors pick a fund to invest in. In this article, we fully characterize...
Persistent link: https://www.econbiz.de/10009621416
Cover Image
Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - 1999
hypothesis. -- Inter-transaction duration and volatility ; financial market microstructure ; ultrahigh frequency data …
Persistent link: https://www.econbiz.de/10009579173
Cover Image
How accurate do markets predict the outcome of an event? : the Euro 2000 soccer championships experiment
Schmidt, Carsten; Werwatz, Axel - 2002 - Rev.
asset markets ; prognosis ; market efficiency …For the Euro 2000 Soccer Championships an experimental asset market was condueted, with traders buying and selling … contracts on the winners of individual matches. Market-generated probabilities are compared to professional bet quotas, and …
Persistent link: https://www.econbiz.de/10009621415
Cover Image
Default compensator, incomplete information, and the term structure of credit spreads
Giesecke, Kay - 2001
We provide a framework for the analysis of term structures of credit spreads on corporate bonds in the presence of informational asymmetries. While bond investors observe default incidents, we suppose that they have incomplete information on the firm's assets and/or the threshold asset level at...
Persistent link: https://www.econbiz.de/10009620780
Cover Image
Nonparametric methods on continuous-time finance : a selective review
Cai, Zongwu (contributor); Hong, Yongmiao (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919184
Cover Image
Quantile hedging
Föllmer, Hans; Leukert, Peter - 1998
In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible …
Persistent link: https://www.econbiz.de/10009574876
Cover Image
Efficient hedging : cost versus shortfall risk
Föllmer, Hans; Leukert, Peter - 1999
An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often …
Persistent link: https://www.econbiz.de/10009579176
Cover Image
Hedging and portfolio optimization in illiquid financial markets
Bank, Peter; Baum, Dietmar - 2002
We introduce a general continuous-time model for an illiquid financial market where the trades of a single large … investor can move market prices. The model is specified in terms of parameter dependent semimartingales, and its mathematical … analysis relies on the non-linear integration theory of such semimartingale families. The Itô-Wentzell formula is used to prove …
Persistent link: https://www.econbiz.de/10009625800
Cover Image
Convex measures of risk and trading constraints
Föllmer, Hans; Schied, Alexander - 2001
ion of bounded shortfall risk. In the context of a financial market model, it turns out that the representation theorem is …
Persistent link: https://www.econbiz.de/10009615426