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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

Beta dispersion and market timing

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

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

Zipf's law for cities : a cross country investigation

Soo, Kwok Tong (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002122641

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

He, Xie; Hamori, Shigeyuki - 2023

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

Anticipating business-cycle turning points in real time using density forecasts from a VAR

Schreiber, Sven - 2014 - This version: January 2014

For the timely detection of business-cycle turning points we suggest to use mediumsized linear systems (subset VARs with automated zero restrictions) to forecast the relevant underlying variables, and to derive the probability of the turning point from the forecast density as the probability...

Persistent link: https://www.econbiz.de/10010233998

Measuring option implied degree of distress in the US financial sector using the entropy principle

Matros, Philipp; Vilsmeier, Johannes - 2012

2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected … risk in the US financial sector. We find that the PoDs are superior to CDS in identifying the high risk banks prior to the … Lehman crisis. -- Entropy Principle ; Risk Neutral Density ; Probability of Default ; Financial Stability Indicator ; Credit …

Persistent link: https://www.econbiz.de/10009674908

Benford's law, families of distributions and a test basis

Morrow, John - 2014

Persistent link: https://www.econbiz.de/10010465079

Estimating the density of ethnic minorities and aged people in Berlin : multivariate kernel density estimation applied to sensitive geo-referenced administrative data protected via measurement error

Groß, Marcus; Rendtel, Ulrich; Schmid, Timo; Schmon, … - 2015

Modern systems of official statistics require the timely estimation of area-specific densities of sub-populations. Ideally estimates should be based on precise geo-coded information, which is not available due to confidentiality constraints. One approach for ensuring confidentiality is by...

Persistent link: https://www.econbiz.de/10010486952