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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)
Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011
Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen...
Persistent link: https://www.econbiz.de/10010307494
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Risk Exchange as a Market or Production Game
Borglin, Anders; Flåm, Sjur - 2007
Risk exchange is considered here as a cooperative game with transferable utility. The set-up fits markets for insurance, securities and contingent endowments. When convoluted payoff is concave at the aggregate endowment, there is a price-supported core solution. Under variance aversion the...
Persistent link: https://www.econbiz.de/10013208519
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‘When There is no Place to Hide’: Correlation Riskand the Cross-Section of Hedge Fund Returns
Buraschi, Andrea; Kosowski, Robert; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010
This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework and investment mandate imply that hedge funds can be severely exposed tocorrelation risk: Hedge funds ability to enter long-short positions can be useful to reduce marketbeta,...
Persistent link: https://www.econbiz.de/10009248845
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Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias
Eric Jondeau - Institut für Schweizerisches Bankwesen <Zürich> - 2008
individual parameters, the dynamics of the aggregate volatility involves additional lags that reflect the moments of the …
Persistent link: https://www.econbiz.de/10005857736
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Finance and Efficiency: Do Bank Branching Regulations Matter?
Acharya, Viral V.; Imbs, Jean; Sturgess, Jason - Institut für Schweizerisches Bankwesen <Zürich> - 2007
primarily from convergence in the volatility of state output growth, rather than in its average. The realized industry shares of …
Persistent link: https://www.econbiz.de/10005858336
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The Economic Value of Distributional Timing
Jondeau, Eric; Rockinger, Michael - Institut für Schweizerisches Bankwesen <Zürich> - 2006
We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the … high as the fee she is willing to pay to benefit from volatility timing. Many tests of robustness are performed, yet, the …
Persistent link: https://www.econbiz.de/10005858337
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Feasible Momentum Strategies
Rey, David M.; Schmid, Markus - Institut für Schweizerisches Bankwesen <Zürich> - 2004
Momentum strategies based on continuations in stock prices have become increas-ingly popular among academics, money managers, and investors in recent years. While there is little controversy on the profitability of momentum strategies, their implementation is afflicted with many difficulties....
Persistent link: https://www.econbiz.de/10005858929
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Growing Wealth with Fixed-Mix Strategies
Evstigneev, Igor’ V.; Schenk-Hoppé, Klaus R. - National Centre of Competence in ResearchFinancial … - 2009
result is that wealthcan be grown from volatility.[...] …
Persistent link: https://www.econbiz.de/10005868580
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Equilibrium Driven by Discounted Dividend Volatility
Cvitanić, Jakša; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2009
We derive representations for the stock price drift and volatility in theequilibrium of agents with arbitrary … characteristic of the aggregate dividendprocess that we call the ”rate of discounting volatility” and showthat, in equilibrium, the … size of market price of risk is determined bythe market price of discounted dividend volatility (DDV), discountedat that …
Persistent link: https://www.econbiz.de/10005868698
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Why and how to integrate liquidity risk into a VaR-framework
Stange, Sebastian; Kaserer, Christoph - 2008
We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective in a wide range of clearly defined situations. Using...
Persistent link: https://www.econbiz.de/10010305731