Similar Search Results

Are options on index futures profitable for risk averse investors? : empirical evidence

Jackwerth, Jens Carsten; Kōnstantinidēs, Giōrgos; … - 2008

American call and put options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) over 1983-2006 are identified as potentially profitable investment opportunities. Call bid prices more frequently violate their upper bound than put bid...

Persistent link: https://www.econbiz.de/10003876987

Modelling intraday trading activity using Box-Cox-ACD models

Hautsch, Nikolaus - 2002

In this paper, I model the intraday trading activity based on volume durations, i.e. the waiting time until a predetermined volume is absorbed by the market. Since this concept measures the trading volume per time it is strongly related to market liquidity. I focus on volumes measured...

Persistent link: https://www.econbiz.de/10011543789

Determinants of inter-trade durations and hazard rates using proportional hazard ARMA models

Gerhard, Frank; Hautsch, Nikolaus - 2000

This paper puts focus on the hazard function of inter-trade durations to characterize the intraday trading process. It sheds light on the time varying trade intensity and, thus, on the liquidity of an asset and the informations channels which propagate price signals among asymmetrically informed...

Persistent link: https://www.econbiz.de/10011543945

Do lending relationships matter? : evidence from bank survey data in Germany

Lehmann, Erik; Neuberger, Doris - 2000

Strong lending relationships between banks and small and medium-sized enterprises (SMEs) play a key role in the bank … long-term bank-customer relationships. In contrast, the present paper also considers interactional variables which try to … measure social relations between loan officer and firm manager. Using bank survey data, the relationship and interaction …

Persistent link: https://www.econbiz.de/10011543663