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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

Modeling asset returns : a comparison of theoretical and empirical models

Lüders, Erik (contributor); Schröder, Michael (contributor) - 2004 - Rev. version

large economies, USA, United Kingdom, Germany, France and Japan. The empirical results show that although the pure NGARCH … 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

Multifaktormodelle zur Erklärung deutscher Aktienrenditen : eine empirische Analyse

Ziegler, Andreas; Schröder, Michael; Schulz, Anja; … - In: Schmalenbachs Zeitschrift für betriebswirtschaftliche … 59 (2007) 3, pp. 355-389

Persistent link: https://www.econbiz.de/10003462138

Über den Zusammenhang von Finanzmarkterwartungen : USA und Deutschland

König, Heinz; Dornau, Robert; Schröder, Michael - In: Währungsunion und Weltwirtschaft : Festschrift für …, (pp. 295-309). 1999

Persistent link: https://www.econbiz.de/10001387467

Multifaktormodelle zur Erklärung deutscher Aktienrenditen : eine empirische Analyse

Ziegler, Andreas; Eberts, Elke; Schröder, Michael; … - 2003

Persistent link: https://www.econbiz.de/10013428577

Ein dynamisches Hürdenmodell für diskrete Transaktionspreisänderungen auf Finanzmärkten

Liesenfeld, Roman - In: Empirische Wirtschaftsforschung : Methoden und …, (pp. 153 - 177). 2003

Persistent link: https://www.econbiz.de/10014554667

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

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

Investments in CEE capital markets : benefits from diversification and optimal portfolios

Schröder, Michael - In: The new capital markets in Central and Eastern Europe : …, (pp. 466-482). 2001

Persistent link: https://www.econbiz.de/10001586668

The power law and dividend yields

Lüders, Erik (contributor); Lüders-Amann, Inge (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002137150