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Finanzmarkteffizienz und Finanzmarktkrise

Seitz, Franz; Auer, Benjamin R. - In: Das Wirtschaftsstudium : wisu ; Zeitschrift für … 39 (2010) 1, pp. 62-66

Persistent link: https://www.econbiz.de/10003922986

The low return distortion of the Sharpe ratio

Auer, Benjamin R. - In: Financial markets and portfolio management 27 (2013) 3, pp. 299-306

Persistent link: https://www.econbiz.de/10009780274

Daily seasonality in crude oil returns and volatilities

Auer, Benjamin R. - In: Energy economics 43 (2014), pp. 82-88

Persistent link: https://www.econbiz.de/10010504173

Does the strength of capital market anomalies exhibit seasonal patterns?

Auer, Benjamin R. - In: Journal of economics and finance 43 (2019) 1, pp. 91-103

Persistent link: https://www.econbiz.de/10012171002

Can habit formation under complete market integration explain the cross-section of international equity risk premia?

Auer, Benjamin R. - In: Review of financial economics : RFE 22 (2013) 2, pp. 61-67

Persistent link: https://www.econbiz.de/10009737233

Can consumption-based asset pricing models using monetary conditioning variables explain the cross-section of German stock returns?

Auer, Benjamin R. - In: Applied economics 45 (2013) 25/27, pp. 3564-3573

Persistent link: https://www.econbiz.de/10010345895

Pure return persistence, Hurst exponents and hedge fund selection : a practical note

Auer, Benjamin R. - In: The journal of asset management 17 (2016) 5, pp. 319-330

Persistent link: https://www.econbiz.de/10011634661

Extreme value theory, asset ranking and threshold choice : a practical note on VaR estimation

Auer, Benjamin R. - In: Journal of risk 18 (2015/2016) 1, pp. 27-44

Persistent link: https://www.econbiz.de/10013262944

Is there a Friday the 13th Effect in Emerging Asian Stock Markets?

Auer, Benjamin R.; Rottmann, Horst - CESifo - 2013

In this article, we revisit the Friday the 13th effect discussed by Kolb and Rodriguez (1987) that has received increased interest in recent research. Using a dummy-augmented GARCH model, we investigate whether the occurrence of this superstitious calendar day has significant impact on the...

Persistent link: https://www.econbiz.de/10010697220

Daily seasonality in crude oil returns and volatilities

Auer, Benjamin R. - In: Energy Economics 43 (2014) C, pp. 82-88

In this article, we test for the existence of daily seasonality in returns and volatilities of crude oil. Using a dummy-augmented GARCH specification for the period from May 1987 to October 2013, our key findings are as follows: (i) Volatilities on Mondays are significantly higher than on all...

Persistent link: https://www.econbiz.de/10011100130