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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
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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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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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Market depth and order size : an analysis of permanent price effects of DAX futures' trades
Kempf, Alexander; Korn, Olaf - 1998 - Revised version: February 1998
In this paper we empirically analyze the permanent price impact of trades by investigating the relation between unexpected net order flow and price changes. We use intraday data on German index futures. Our analysis based on a neural network model suggests that the assumption of a linear impact...
Persistent link: https://www.econbiz.de/10011441131
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The power law and dividend yields
Lüders, Erik (contributor); Lüders-Amann, Inge (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002137150
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The connection of stock markets between Germany and the USA : new evidence from a co-integration study
Eberts, Elke (contributor) - 2003
Persistent link: https://www.econbiz.de/10001774217
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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 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
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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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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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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