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Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - 2002

data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001 … and Italy less closely linked to the German market. Fourth, overall dependencies are quite symmetric, in the sense that … grosser Kursschwankungen anhand von täglichen Daten der Aktienmarktindices für Deutschland, Großbitannien, Frankreich, die …

Persistent link: https://www.econbiz.de/10011431447

Asset prices in taylor rules : specification, estimation, and policy implications for the ECB

Siklos, Pierre L. (contributor); Werner, Thomas (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002235268

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Persistent link: https://www.econbiz.de/10011431370

Estimating bilateral exposures in the German interbank market : is there a danger of contagion?

Upper, Christian; Worms, Andreas - 2002

Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the failure of other banks not directly affected by the initial shock. Recent work in economic theory shows that this risk of contagion depends on the precise pattern of interbank...

Persistent link: https://www.econbiz.de/10011431377

Tail wags dog? : time-varying information shares in the Bund market

Upper, Christian; Werner, Thomas - 2002

The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...

Persistent link: https://www.econbiz.de/10011431780

Time variation in the tail behaviour of Bund futures returns

Werner, Thomas; Upper, Christian - 2002

The literature on the tail behaviour of asset prices focuses mainly on the foreign exchange and stock markets, with only a few papers dealing with bonds or bond futures. The present paper addresses this omission. We focus on three questions: (i) Are heavy tails a relevant feature of the...

Persistent link: https://www.econbiz.de/10011431786

The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity

Kurz-Kim, Jeong-Ryeol - 2003

Germany including stock returns, inflation rates and growth rates of gross domestic production, it turns out that the proxy …

Persistent link: https://www.econbiz.de/10011431989

The forecasting performance of German stock option densities

Craig, Ben R.; Glatzer, Ernst; Keller, Joachim; … - 2003

In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and...

Persistent link: https://www.econbiz.de/10011432259

How wacky is the DAX? : the changing structure of German stock market volatility

Stapf, Jelena; Werner, Thomas - 2003

In this paper we investigate the volatility structure of the German stock market index DAX and its constituents. Using a recently developed test, we find a volatility break in 1997. Interestingly, not only is the volatility higher after 1997 but the volatility persistence also increased. That...

Persistent link: https://www.econbiz.de/10011432267

How safe was the "safe haven"? : financial market liquidity during the 1998 turbulences

Upper, Christian - 2000

bonds in Germany. This feature is particularly attractive for the bond market, where OTC transactions account for most … Transaktion dieser vier Anleihen in Deutschland umfasst. Dies ist besonders für Arbeiten über den Rentenmarkt von großem Interesse …

Persistent link: https://www.econbiz.de/10011418740