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A Discrete Sine Transform for Multi-Scales Realized Volatility Measures
Curci, Giuseppe; Corsi, Fulvio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006
In this study new realized volatility measures based on Multi-Scale regression and Discrete Sine Transform (DST … returns which permits to optimally disentangle the volatility signal of the underlying price process from the market …-Scales DST realized volatility estimator which is robust against a wide class of noise contaminations and model misspecifications …
Persistent link: https://www.econbiz.de/10005859008
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A Discrete Sine Transform for Multi-Scales Realized Volatility Measures
Curci, Giuseppe; Corsi, Fulvio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006
In this study new realized volatility measures based on Multi-Scale regression and Discrete Sine Transform (DST … returns which permits to optimally disentangle the volatility signal of the underlying price process from the market …-Scales DST realized volatility estimator which is robust against a wide class of noise contaminations and model misspecifications …
Persistent link: https://www.econbiz.de/10005859009
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Status Quo Bias and the Number of Alternatives - An Empirical Illustration from the Mutual Fund Industry
Kempf, Alexander; Ruenzi, Stefan - 2005
Die empirische Kapitalmarktforschung der letzten Jahre hat gezeigt, dass sich Individuen auf Finanzmärkten nicht immer rational verhalten. Ein Phänomen, das in diesem Zusammenhang untersucht wurde, ist der sogenannte Status-Quo Bias. Individuen unterliegen einem Status-Quo Bias, wenn sie...
Persistent link: https://www.econbiz.de/10005854146
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Family Matters: The Performance Flow Relationship in the Mutual Fund Industry
Kempf, Alexander; Ruenzi, Stefan - 2004
In diesem Papier untersuchen wir empirisch, welche Determinanten es für die Mittelzufüsse in Investmentfonds gibt. Es …
Persistent link: https://www.econbiz.de/10005854265
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Portfolio Disclosure, Portfolio Selection and Mutual Fund Performance Evaluation
Kempf, Alexander; Kreuzberg, Klaus - 2004
Nach §44 Investmentgesetz (InvG) sind Investmentfonds verpflichtet, im Rahmen ihres regelmäßigen Berichtswesens den …
Persistent link: https://www.econbiz.de/10005854234
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Are There Disadvantaged Clienteles inMutual Funds?
Jank, Stephan - Centre for Financial Research <Köln> - 2011
This paper studies the flow-performance relationship of three di®erent investorgroups in mutual funds: Households, financial corporations, and insurance compa-nies and pension funds, establishing the following findings: Financial corporationshave a strong tendency to chase past performance and...
Persistent link: https://www.econbiz.de/10009302610
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The Influence of Buy-Side Analysts on Mutual Fund Trading
Frey, Stefan; Herbst, Patrick - Centre for Financial Research <Köln> - 2010
We present evidence of the impact of buy-side analysts on the behavior and performanceof fund managers. Using data provided by a large global asset manager,we relate buy-side analysts’ recommendations to fund transactions on a daily basis.Our results show that buy-side analysts have a...
Persistent link: https://www.econbiz.de/10009302628
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‘When There is no Place to Hide’: Correlation Riskand the Cross-Section of Hedge Fund Returns
Buraschi, Andrea; Kosowski, Robert; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010
This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework and investment mandate imply that hedge funds can be severely exposed tocorrelation risk: Hedge funds ability to enter long-short positions can be useful to reduce marketbeta,...
Persistent link: https://www.econbiz.de/10009248845
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Kombinierte Liquiditäts- und Solvenzkennzahlen und ein darauf basierendes Insolvenzprognosemodell für deutsche GmbHs
Perederiy, Volodymyr - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Eine große Herausforderung der multivariablen Analyse mit bilanziellen Kennzahlen besteht in der Identifikation derjenigen Kennzahlen, die zur besten Modellperformance führen und dabei möglichst leicht interpretierbar und intuitiv bleiben. Die Menge der in Frage kommenden Kennzahlen ist in...
Persistent link: https://www.econbiz.de/10005860838
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Optimal Taxation:The Design of Child Related Cash- and In-Kind-Benefits
Haan, Peter; Wrohlich, Katharina - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007
This paper contributes to the debate about the optimal design of tax-transfer systems. Basedon the theory of optimal taxation, combined with microsimulation and microeconometrictechniques we derive the welfare function which makes the current German tax and transfersystem for single women optimal...
Persistent link: https://www.econbiz.de/10005861525