Similar Search Results

Risk premia and financial modelling without measure transformation

Platen, Eckhard - 2000

This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset...

Persistent link: https://www.econbiz.de/10009612031

Time-varying market price of risk in the CAPM : approaches, empirical evidence and implications

Hafner, Christian M.; Herwartz, Helmut - 1999

Time-varying risk premia traditionally have been associated with the empirical fact that conditional second moments are … time-varying. This paper additionally examines another possible source for time-varying risk premia, namely the market … will in general change over time. We provide empirical evidence for the German stock market in a bivariate GARCH …

Persistent link: https://www.econbiz.de/10009579172

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

Uncovered interest rate parity and analysis of monetary convergence of potential EMU accession countries

Holtemöller, Oliver (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001916957

Correlation risk premia for multi-asset equity options

Fengler, Matthias R. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919088

Time varying market price of risk in the CAPM approaches, empirical evidence and implications

Hafner, Christian M.; Herwartz, Helmut - 1999

Persistent link: https://www.econbiz.de/10001377689

Estimation and testing for varying coefficients in additive models with marginal integration

Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence as univariate function estimation. For the...

Persistent link: https://www.econbiz.de/10009627286

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

Forecasting performance of market share attraction models : a comparison of different models assuming that competitors’ actions are forecasts

Klapper, Daniel; Herwartz, Helmut - 1998

Persistent link: https://www.econbiz.de/10009578563

Testing for short and long-run causality : the case of the yield spread and economic growth

Breitung, Jörg; Candelon, Bertrand - 2001

low frequencies only. -- Causality ; Time series ; Frequency domain ; Prediction …

Persistent link: https://www.econbiz.de/10009617950