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Common factors in credit defaults swaps markets

Chen, Yi-hsuan; Härdle, Wolfgang Karl - 2012

We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads during the pre-crisis, crisis and post-crisis period....

Persistent link: https://www.econbiz.de/10010318764

On the continuation of the great moderation: New evidence from G7 countries

Chen, Wenjuan - 2011

This paper employs a Markov regime-switching approach to investigate whether the Great Moderation is over since the start of the late 2000s recession. The results confirm that the recent financial crisis did cause a simultaneous high-volatility period among the G7 countries. However, the...

Persistent link: https://www.econbiz.de/10010281484

Fair value reclassifications of financial assets during the financial crisis

Bischof, Jannis; Brüggemann, Ulf; Daske, Holger - 2012

At the peak of the financial crisis in October 2008, the IASB amended IAS 39 to grant companies the option of abandoning fair value recognition for selected financial assets. Using a comprehensive global sample of publicly listed IFRS banks, we find that banks use the reclassification option to...

Persistent link: https://www.econbiz.de/10010281555

Transparency through financial claims with fingerprints: A free market mechanism for preventing mortgage securitization induced financial crises

Gründl, Helmut; Post, Thomas - 2009

Lack of transparency in securitization transactions significantly contributed to the severe financial crisis of 20072009. To increase transparency we propose a new mechanism: financial claims with fingerprints. They would allow market participants at each stage of the securitization process to...

Persistent link: https://www.econbiz.de/10010265673

TFP growth in old and new Europe

Burda, Michael C.; Severgnini, Battista - 2009

productivity (TFP) growth in a sample of 30 European economies for the period 1994-2005. In most of Western Europe, we find a … deceleration of TFP growth since 2000. However, the economies of New Europe exhibit a higher level of TFP growth overall and have … slowed less than those of Old Europe. In the new market economies of Central and Eastern Europe, we find both high TFP growth …

Persistent link: https://www.econbiz.de/10010270811

Risiken infolge von Technologie-Outsourcing?

Stephan, Michael - 2007

in großer Anteil der multinational tätigen Großunternehmen ist in technologieintensiven, dynamischen Branchen tätig und verfügt über ein breites Spektrum an technologischen Ressourcen. In den vergangenen Dekaden hat ein Großteil dieser Unternehmen zunehmend Wertschöpfungsleistungen an...

Persistent link: https://www.econbiz.de/10010263697

Mergers & acquisitions and innovation performance in the telecommunications equipment industry

Gantumur, Tseveen; Stephan, Andreas - 2007

In response to global market forces such as deregulation and globalization, technological change and digital convergence, the telecommunications in the 1990s witnessed an enormous worldwide round of Mergers & Acquisitions (M&A). Given both M&A and Innovation a major means of today's competitive...

Persistent link: https://www.econbiz.de/10010263699

Eine Analyse der Dimensionen des Fortune-Reputationsindex

Hildebrandt, Lutz; Kreis, Henning; Schwalbach, Joachim - 2008

Der vorliegende Beitrag beschäftigt sich mit der Dimensionsstruktur sowie der Verwertbarkeit des Fortune-Reputationsrankings in der wissenschaftlichen Forschung und liefert Erkenntnisse über seine Aussagefähigkeit. Nach Erörterung der theoretischen Grundlagen von Unternehmensreputation als...

Persistent link: https://www.econbiz.de/10010263748

Time varying hierarchical archimedean copulae

Härdle, Wolfgang Karl; Okhrin, Ostap; Okhrin, Yarema - 2010

There is increasing demand for models of time-varying and non-Gaussian dependencies for mul- tivariate time-series. Available models suffer from the curse of dimensionality or restrictive assumptions on the parameters and the distribution. A promising class of models are the hierarchical...

Persistent link: https://www.econbiz.de/10010270704

The impact of ICT investments on the relative demand for high-medium-, and low-skilled workers: Industry versus country analysis

Schneider, Dorothee - 2010

In this paper I analyze the effects of information and communication technology (ICT) on compensation shares of high-, medium-, and low-skilled workers. Com- pared to other studies, I investigate this question using a considerably richer data set with respect to the length of time series, set of...

Persistent link: https://www.econbiz.de/10010270727