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Kuntz, Laura-Chloé - 2020

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

Persistent link: https://www.econbiz.de/10012264452

Investor fears and risk premia for rare events

Schwarz, Claudia - 2014 - This version: January 13, 2014

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for … method to German data yields very similar results to the ones shown for the US data. The risk premia for rare events … constitute a considerable part of the total equity and variance risk premia for both markets. When using the results to build an …

Persistent link: https://www.econbiz.de/10010249730

Updating the option implied probability of default methodology

Vilsmeier, Johannes - 2014

literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose …

Persistent link: https://www.econbiz.de/10010471968

Signalling rivalry and quality uncertainty in a duopoly

Bester, Helmut; Demuth, Juri - 2011

This paper considers a market in which only the incumbent's quality is publicly known. The entrant's quality is observed by the incumbent and some fraction of informed consumers. This leads to price signalling rivalry between the duopolists, because the incumbent gains and the entrant loses when...

Persistent link: https://www.econbiz.de/10009404774

Score-based calibration testing for multivariate forecast distributions

Knüppel, Malte; Krüger, Fabian; Pohle, Marc-Oliver - 2022

Multivariate distributional forecasts have become widespread in recent years. To assess the quality of such forecasts, suitable evaluation methods are needed. In the univariate case, calibration tests based on the probability integral transform (PIT) are routinely used. However, multivariate...

Persistent link: https://www.econbiz.de/10013472781

The good, the bad, and the asymmetric : evidence from a new conditional density model

Kostyrka, Andreï; Malakhov, Dmitry - 2021

Persistent link: https://www.econbiz.de/10012542854

Analysis of nonlinear comovement of benchmark Thai government bond yields

Rewat Khanthaporn - 2022

Persistent link: https://www.econbiz.de/10013429426

Invariant distributions for monotone markov processes

Hopenhayn, Hugo A.; Prescott, Edward C. - 1987

Persistent link: https://www.econbiz.de/10003528450

Minority protection in voting mechanisms : experimental evidence

Engelmann, Dirk; Grüner, Hans Peter; Hoffmann, Timo; … - 2023

Under simple majority voting an absolute majority of voters may choose policies that are harmful to minorities. It is the purpose of sub- and super-majority rules to protect legitimate minority interests. We study how voting rules are chosen under the veil of ignorance and whether there are...

Persistent link: https://www.econbiz.de/10014476824

Asymmetry in higher moment spillovers : evidence from sustainable and traditional investments

He, Xie; Hamori, Shigeyuki - 2023

Persistent link: https://www.econbiz.de/10014364732