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Modeling asset returns : a comparison of theoretical and empirical models

Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - Rev. version

model performs well, the estimation for the German stock index could be significantly improved by an extension which follows …

Persistent link: https://www.econbiz.de/10003670896

Modeling asset returns : a comparison of theoretical and empirical models

Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001945539

Modeling and explaining the dynamics of European Union allowance prices at high-frequency

Conrad, Christian; Rittler, Daniel; Rotfuß, Waldemar - 2010

at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that …

Persistent link: https://www.econbiz.de/10003977656

Volatilitätseffekte am US-amerikanischen Häusermarkt

Schindler, Felix - 2009

-amerikanischen Häusermarkt die zu anderen Asset-Märkten analogen ARCH-Effekte des Volatility- Clusterings und einer leptokurtischen … Konsequenzen befassen. -- Asset-pricing ; GARCH ; house prices ; house price volatility …

Persistent link: https://www.econbiz.de/10003881343

Backwardation and normal backwardation in energy futures markets : with an application to Metallgesellschaft's short-dated rollover hedging of long-term contracts

Charupat, Narat; Deaves, Richard - 2002

We show that, since the inception of energy futures markets, prices have on average exhibited backwardation. Normal backwardation has also been the norm, but, because of the low power of the standard tests, most researchers have concluded that the unbiased expectations model cannot be rejected....

Persistent link: https://www.econbiz.de/10011447648

Systemic risk in European banking : evidence from bivariate GARCH models

Schröder, Michael; Schüler, Martin - 2003

This paper attempts to assess the Europe-wide systemic risk in banking. We employ a bivariate GARCH model to estimate conditional correlations between European bank stock indices. These correlations are used as an indication for the interdependencies amongst the banking business in Europe and...

Persistent link: https://www.econbiz.de/10011448270

Return and volatility reactions to monthly announcements of business cycle forecasts : an event study based on high-frequency data

Entorf, Horst; Groß, Anne; Steiner, Christian - 2009

. Announcements of both institutes are also clearly and immediately reflected in the volatility, which remains at a significantly … higher level for approximately two minutes slightly elevated for approximately 15 minutes. Combining returns and volatility … in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …

Persistent link: https://www.econbiz.de/10003814068

A mean variance king? : creation and resolution of uncertainty under the employment report's reign

Hautsch, Nikolaus; Hess, Dieter - 2001

differences of opinion is left, and hence volatility is decreased. …

Persistent link: https://www.econbiz.de/10011446937

Panel tests for unit roots in hours worked

Kappler, Marcus (contributor) - 2006

Hours worked is a time series of interest in many empirical investigations of the macroeconomy. Estimates of macro elasticities of labour supply, for example, build on this variable. Other empirical applications investigate the response of hours worked to a shock to technology on the basis of...

Persistent link: https://www.econbiz.de/10003314703

Clustering life trajectories : a new divisive hierarchical clustering algorithm for discrete-valued discrete time series

Dlugosz, Stephan - 2011

A new algorithm for clustering life course trajectories is presented and tested with large register data. Life courses are represented as sequences on a monthly timescale for the working-life with an age span from 16–65. A meaningful clustering result for this kind of data provides interesting...

Persistent link: https://www.econbiz.de/10008901833

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