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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
A contingent claims valuation model which allows to highlight the implications of program trading in spot markets for the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts is devoloped. The curvature of the volatility strike...
Persistent link: https://www.econbiz.de/10011476532
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Noise trading, central bank interventions, and the informational content of foreign currency options
Pierdzioch, Christian - 2001
Persistent link: https://www.econbiz.de/10001626608
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Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
Persistent link: https://www.econbiz.de/10013261076
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Predictability of tail risks of Canada and the U.S. over a century : the role of spillovers and oil tail risks
Salisu, Afees A.; Gupta, Rangan; Pierdzioch, Christian - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013413542
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Housing starts in Canada, Japan, and the United States : do forecasters herd?
Pierdzioch, Christian; Ruelke, Jan-Christoph; … - 2012
Canada, Japan, and the United States, we did not find evidence of forecaster herding. On the contrary, forecasters anti …-herding seems to vary over time. For Canada and the United States, we found that more pronounced anti-herding leads to lower …
Persistent link: https://www.econbiz.de/10009559146
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Housing starts, forecaster herding, and the Livingston survey
Pierdzioch, Christian; Ruelke, Jan-Christoph - In: International journal of economics and finance 4 (2012) 7, pp. 52-56
Persistent link: https://www.econbiz.de/10009620540
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On the loss function of the Bank of Canada : a note
Pierdzioch, Christian; Ruelke, Jan-Christoph; … - In: Economics letters 115 (2012) 2, pp. 155-159
Persistent link: https://www.econbiz.de/10009615861
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Housing starts in Canada, Japan, and the United States : do forecasters herd?
Pierdzioch, Christian; Ruelke, Jan-Christoph; … - In: The journal of real estate finance and economics 45 (2012) 3, pp. 754-773
Persistent link: https://www.econbiz.de/10009685390
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Die Debatte um die Transparenz der Geldpolitik der Europäischen Zentralbank
Pierdzioch, Christian; Stadtmann, Georg - In: Zeitschrift für das gesamte Kreditwesen : Pflichtblatt … 56 (2003) 1, pp. 28-33
Persistent link: https://www.econbiz.de/10001722290
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Housing Starts in Canada, Japan, and the United States : Do Forecasters Herd?
Ruelke, Jan C. - 2012
Canada, Japan, and the United States, we did not find evidence of forecaster herding. On the contrary, forecasters anti … to vary over time. For Canada and the United States, we found that more prounounced anti-herding leads to lower forecast …
Persistent link: https://www.econbiz.de/10013097798