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The impact of a stock market downturn on corporate financing activities in Germany
Meitner, Matthias (contributor);  … - 2005
reveals no major importance of the bank balance sheet channel for the relationship between stock market volatility and …
Persistent link: https://www.econbiz.de/10003268547
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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
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Stale information, shocks and volatility
Gropp, Reint (contributor); Kadareija, Arjan (contributor) - 2007
We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using … high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock … that, as the publicly available information becomes stale, volatility effects and its persistance should increase, as the …
Persistent link: https://www.econbiz.de/10003435444
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Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX : eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose
Entorf, Horst (contributor); Steiner, Christian (contributor) - 2006
Persistent link: https://www.econbiz.de/10003273181
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Modeling asset returns : a comparison of theoretical and empirical models
Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - Rev. version
a nonlinear asymmetric GARCH (NGARCH) model as a special case. Some of these models are empirically motivated ad … 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
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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 …
Persistent link: https://www.econbiz.de/10011448270
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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
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The behaviour of noise traders : empirical evidence on purchases of business magazines
Czarnitzki, Dirk; Stadtmann, Georg - 2000
According to the prospect theory financial investors tend to sell winners too early and ride losers too long. Therefore, demand for financial advise should be high in a bull market and low in a bear market. Thus, we test the hypothesis whether the demand for business magazines is somehow related...
Persistent link: https://www.econbiz.de/10011445202
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International stock return predictability under model uncertainty
Schrimpf, Andreas (contributor) - 2008
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...
Persistent link: https://www.econbiz.de/10003728591
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Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for Western investors
Schröder, Michael - 2000
This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...
Persistent link: https://www.econbiz.de/10011444904