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Asset Prices, Booms and Recessions : Financial Economics from a Dynamic Perspective
Semmler, Willi - 2006 - Second Edition
Persistent link: https://www.econbiz.de/10013520458
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Asset Prices, Booms and Recessions : Financial Economics from a Dynamic Perspective
Semmler, Willi - 2011
: Static Portfolio Theory: CAPM and Extentsions -- Consumption Based Asset Pricing Models -- Asset Pricing Models with … how economic activity affects asset prices and the financial market, and how asset prices and financial market volatility … theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models, and dynamic portfolio …
Persistent link: https://www.econbiz.de/10013522915
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Forecasting High-Frequency Volatility Shocks : An Analytical Real-Time Monitoring System
Kömm, Holger - 2016 - 1st ed. 2016
Integrated Volatility -- Zero-inflated Data Generation Processes -- Algorithmic Text Forecasting. …-by-tick asset prices to forecast the risk of upcoming volatility shocks. Holger Kömm embeds the proposed strategy in a monitoring … system, using first, a sequence of competing estimators to compute the unobservable volatility; second, a new two …
Persistent link: https://www.econbiz.de/10014018810
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Integration und Volatilität bei Emerging Markets
Herrmann, Frank - 2005 - Gabler Edition Wissenschaft
Charakteristisch für Emerging Markets sind hohe Aktienrenditen und eine geringe Korrelation mit den Aktienrenditen der entwickelten Märkte, so dass durch Diversifikation der Investmentanlagen eine Verringerung des Portfoliorisikos erreicht werden kann. Die zunehmende Integration...
Persistent link: https://www.econbiz.de/10013517438
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Intermittierendes deterministisches Chaos als mögliche Erklärung für ein langes Gedächtnis in Finanzmarktdaten
Webel, Karsten - 2009
Die empirische Kapitalmarktforschung beobachtet in den Volatilitäten von Aktienkursrenditen immer wieder eine lang anhaltende Abhängigkeitsstruktur, ein so genanntes langes Gedächtnis. Dieses hat weit reichende Konsequenzen. Beispielsweise verkompliziert ein tatsächlich vorliegendes langes...
Persistent link: https://www.econbiz.de/10014015173
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Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models
Repplinger, Detlef (contributor); Fandel, G. (contributor);  … - 2008
-arbitrage relations through the correlation structure of interest rates. Therefore, unspanned stochastic volatility (USV) as well as … between the bond price dynamics and the subordinated stochastic volatility process, whereas Random Field models allow for a …
Persistent link: https://www.econbiz.de/10013521005
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Konsum, Dividenden und Aktienmarkt : Eine Kointegrationsanalyse
Seiler, Yvonne (contributor) - 2006
Theoretische Fundierung -- Ökonometrische Implikationen -- Untersuchungsmethoden -- Messung der relevanten Daten -- Stationarität und deskriptive Statistik -- Untersuchungsergebnisse -- Zusammenfassung, Beitrag und Ausblick.
Persistent link: https://www.econbiz.de/10014014177
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The Dynamics of Emerging Stock Markets : Empirical Assessments and Implications
Arouri, Mohamed - 2010
Stock Market Efficiency.- Chapter 6 Stock Market Volatility.- Chapter 7 Globalization and Market Integration.- Chapter 8 …
Persistent link: https://www.econbiz.de/10013521320
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Inventories in National Economies : A Cross-Country Analysis of Macroeconomic Data
Chikán, Attila; Kovács, Erzsébet; Matyusz, Zsolt; … - 2018
Chapter 1: Introduction: The nature and structure of the inventory problem -- Chapter 2: Review of the literature -- Chapter 3: Methodology -- Chapter 4: Analysis of inventory behaviour of OECD countries -- Chapter 5: Stability of macroeconomic variables -- Chapter 6: Inventory developments in...
Persistent link: https://www.econbiz.de/10013256168
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Macroeconomic Volatility, Institutions and Financial Architectures : The Developing World Experience
Fanelli, José María (ed.) - 2008
associated with financial turmoil and macro volatility. The book analyzes the experiences of several countries, drawing …
Persistent link: https://www.econbiz.de/10012054183