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How do investors' expectations drive asset prices?
Lüders, Erik; Peisl, Bernhard - 2001
stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …
Persistent link: https://www.econbiz.de/10011445936
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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
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Intraday price formation and volatility in the European Union emissions trading scheme : an introductory analysis
Rotfuß, Waldemar - 2009
This paper presents an introductory analysis of price formation and volatility in the European Union Emissions Trading … (ICE Futures). The typical "U-shaped" pattern of intraday volatility, that is often observed in organized financial markets …, is partly present in the EUA futures market. Similar to other classical financial markets, realized volatility estimates …
Persistent link: https://www.econbiz.de/10003828223
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Sovereign risk premia : the link between fiscal rules and stability culture
Heinemann, Friedrich; Osterloh, Steffen; Kalb, Alexander - 2013 - This version: March 2013
There is a growing empirical literature studying whether fiscal rules reduce borrowing costs. Nevertheless, it remains an open question whether these rules are effective genuinely or just because they mirror fiscal preferences of politicians and voters. In our analysis of European bond spreads,...
Persistent link: https://www.econbiz.de/10009721879
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Macro expectations, aggregate uncertainty, and expected term premia
Dick, Christian D.; Schmeling, Maik; Schrimpf, Andreas - 2010
Based on individual expectations from the Survey of Professional Forecasters, we construct a real-time proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables...
Persistent link: https://www.econbiz.de/10008660631
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Idiosyncratic risk, aggregate risk, and the welfare effects of social security
Harenberg, Daniel; Ludwig, Alexander - 2018 - This version: December 1, 2017
We ask whether a pay-as-you-go financed social security system is welfare improving in an economy with idiosyncratic productivity and aggregate business cycle risk. We show analytically that the whole welfare benefit from joint insurance against both risks is greater than the sum of benefits...
Persistent link: https://www.econbiz.de/10011816319
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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
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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
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Testing the predictability and efficiency of securitized real estate markets
Schindler, Felix; Rottke, Nico; Füss, Roland - 2009
This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...
Persistent link: https://www.econbiz.de/10003881575
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Further evidence on the (in-) efficiency of the U.S. housing market
Schindler, Felix - 2010
Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further empirical evidence on the rejection of the...
Persistent link: https://www.econbiz.de/10003919079