We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock returns of large European banks as a function of the...

This paper presents an introductory analysis of price formation and volatility in the European Union Emissions Trading Scheme using highfrequency data. The results show that there are several anomalies both in the EUA spot and EUA futures market. First, price formation seems to take place on...

In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices, macroeconomic risk factors and weather conditions. By estimating a Markov regime-switching model, we find that the relation between the EUA price and its fundamentals varies over...

In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices, macroeconomic risk factors and weather conditions. By estimating a Markov regime-switching model, we find that the relation between the EUA price and its fundamentals varies over...

This paper investigates empirically the interrelationships between the daily stock market returns of the Nikkei 225, DAX and Dow Jones Industrial index. Contrary to former work this paper uses the succession of the markets in time to form different econometric models. In this way it is possible...

We estimate a structural life-cycle model of fertility and female labour supply and use it to evaluate the effects of a number of key family policy measures based on data for Germany. Parental leave benefits, child benefits and subsidized childcare are found to have substantial fertility...

Based on a structural model of fertility and female labour force supply with unobserved heterogeneity and state dependence, we evaluate the 2007 reform of parental leave benefits in Germany, which replaced a flat, means-tested benefit by a generous earnings-related transfer. The model predicts a...

The focus of this paper is the evaluation of a very popular method for potential output estimation and medium-term forecasting? the production function approach?in terms of predictive performance. For this purpose, a forecast evaluation for the three to five years ahead predictions of GDP growth...

In the European Union (EU) and in Germany the transport sector is the only sector with increasing CO2 emissions (in the EU by about 32 % and in Germany by about 1 % since 1990). Especially in road freight and air transport a further strong increase is forecasted. In the transport sector this...

We analyze four economic sentiment indicators for the German economy regarding their ability to forecast economic activity. Using cross correlations and Granger causality tests we find that the ifo business expectations (ifo), the Purchasing Managers Index (PMI) and the ZEW Indicator of Economic...