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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
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Stress testing German banks against a global cost-of-capital shock
Düllmann, Klaus; Kick, Thomas - 2012
with sector-dependant unobservable risk factors as drivers of the systematic risk. The German credit register provides us … with access to highly granular risk information on loan volumes and banks’ internal estimates of default probabilities … probabilities of default has a significant impact on the outcome of the stress test. -- Asset correlation ; portfolio credit risk …
Persistent link: https://www.econbiz.de/10009509091
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Return differences between DAX ETFs and the benchmark DAX
Schmidhammer, Christoph - 2021
For the DAX index market, this paper analyses the development of return differences between exchange traded funds (ETFs) and the DAX index from the perspective of long-term investors. The newly introduced methodology provides the opportunity to continuously identify long-term costs of passively...
Persistent link: https://www.econbiz.de/10012607112
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Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for Western investors
Schröder, Michael - 2000
This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...
Persistent link: https://www.econbiz.de/10013428350
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Are bootstrapped cointegration test findings unreliable?
Schreiber, Sven - 2018
-system results we also investigate alternative bootstrap test approaches in the larger system. Throughout we follow the given …-consistent wild bootstrap) therefore still suggests rejection of non-cointegration at the 5% but not at the 1% significance level. The …
Persistent link: https://www.econbiz.de/10011843041
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Forecast-error-based estimation of forecast uncertainty when the horizon is increased
Knüppel, Malte - 2014
forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be …
Persistent link: https://www.econbiz.de/10010465566
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Non-standard errors
Bosch-Rosa, Ciril; Kassner, Bernhard - 2023
In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across...
Persistent link: https://www.econbiz.de/10014478337
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Calculating trading book capital : is risk separation appropriate?
Raupach, Peter - 2015
portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …
Persistent link: https://www.econbiz.de/10011299075
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Estimating regional wealth in Germany : how different are East and West really?
Kreutzmann, Ann-Kristin; Marek, Philipp; Salvati, Nicola; … - 2019
More than 25 years after German reunification, key economic indicators for households living in eastern German regions are still below the western German levels. This particularly holds for private net wealth, which reaches only about 40% of the western German level. However, a more granular...
Persistent link: https://www.econbiz.de/10012101276
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Procyclical asset management and bond risk premia
Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020
response to lower in-terest rates, and vice versa. Institutional funds' risk-taking increases when interest rates turn negative …
Persistent link: https://www.econbiz.de/10012250652