During the last decade, markets for covered warrants (bank-issued options) have flourished in Europe and Asia. In these markets, investors often face a choice between many instruments that differ only slightly from each other. Based on retail trades in call options on the German DAX index, this...

Market participants use leveraged derivatives to gain access to equity market exposure through broker banks. Leverage and interconnectedness via overlapping portfolios of dealer banks can amplify adverse market movements, potentially causing sizeable losses. I propose a model, based on granular...

Gemessen an der Zahl der Teilnehmer haben sich kurzzeittige Trainingsmaßnahmen zum wichtigsten Instrument aktiver Arbeitsmarktpolitik entwickelt. Über die Effizienz unterschiedlicher Formen von Trainingsmaßnahmen und über ihre langfristigen Auswirkungen ist jedoch wenig bekannt. In dem...

Die Bundesagentur für Arbeit hat im Mai 2007 ein Pilotprojekt gestartet, bei dem in 14 Dienststellen der Betreuungssschlüssel (Zahl der Arbeitslosen pro Vermittler) deutlich reduziert wurde. Da die teilnehmenden Dienststellen nicht zufällig ausgewählt wurden, ist bei der Evaluation eine...

We introduce a high-dimensional structural time series model, where co-movement between the components is due to common factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step and state space methods in a second step. The...

Marginal employment (ME) is one of the largest forms of atypical employment in Germany. In this study, we analyse whether ME has a "stepping stone" function for unemployed individuals, i.e., whether ME increases the subsequent probability of regular employment. Our study adds to the literature...

This paper analyses changes in short-term interest rate expectations and uncertainty during ECB Governing Council days. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In particular, the non-parametric estimator of these...