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Default probabilities and default correlations

Erlenmaier, Ulrich; Gersbach, Hans - 2001

Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...

Persistent link: https://www.econbiz.de/10010301737

How does European integration affect the European stock markets?

Erdogan, Burcu - 2009

This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...

Persistent link: https://www.econbiz.de/10010291779

How does European Integration affect the European Stock Markets?

Erdogan, Burcu - 2009

Persistent link: https://www.econbiz.de/10010300155

Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models

Conrad, Christian; Mammen, Enno - 2008

We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...

Persistent link: https://www.econbiz.de/10011422182

The intertemporal relation between expected return and risk on currency

Bali, Turan G.; Yilmaz, Kamil - 2009

The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets. This paper is the first to examine the presence and significance of an intertemporal relation between expected return and risk in the foreign exchange market. The paper provides...

Persistent link: https://www.econbiz.de/10010277261

Are correlations constant over time? Application of the CC-TRIGt-test to return series from different asset classes

Fischer, Matthias J. - 2007

A new test for constant correlation is proposed. Based on the bivariate Student-t distribution, this test is derived as Lagrange multiplier (LM) test. Whereas most of the traditional tests (e.g. Jennrich, 1970, Tang, 1995 and Goetzmann, Li & Rouwenhorst, 2005) specify the unknown correlations as...

Persistent link: https://www.econbiz.de/10010273762

Equity-Bond Returns Correlation and the Bond Yield: Evidence of Switching Behaviour from the G7 Markets

Humpe, Andreas; McMillan, David G. - In: Credit and Capital Markets – Kredit und Kapital 49 (2016) 3, pp. 415-444

Aktien-Anleihen Korrelation und Anleiherenditen: Nachweis von Wechselverhalten in den G7 Märkten In diesem Beitrag wird … die Korrelation zwischen den realen Aktienrenditen und denjenigen von Staatsanleihen innerhalb der G7-Länder analysiert …. Die etablierte Finanzmarkttheorie lässt eine positive Korrelation der Renditen erwarten. Allerdings zeigt die empirische …

Persistent link: https://www.econbiz.de/10014522949

The Covariance Structure of East and West German Incomes and its Implications for the Persistence of Poverty and Inequality

Biewen, Martin - 2002

Using data from the German Socio-Economic Panel (GSOEP), this paper analyzes the dynamics of equivalent income in Germany in the eighties and nineties. Special emphasis is given to the separation of permanent and transitory components, the persistence of transitory shocks and their implications...

Persistent link: https://www.econbiz.de/10010262791

On testing for diagonality of large dimensional covariance matrices

Kapetanios, George - 2004

Datasets in a variety of disciplines require methods where both the sample size and the dataset dimensionality are allowed to be large. This framework is drastically different from the classical asymptotic framework where the number of observations is allowed to be large but the dimensionality...

Persistent link: https://www.econbiz.de/10010284154

A new method for determining the number of factors in factor models with large datasets

Kapetanios, George - 2004

The paradigm of a factor model is very appealing and has been used extensively in economic analyses. Underlying the factor model is the idea that a large number of economic variables can be adequately modelled by a small number of indicator variables. Throughout this extensive research activity...

Persistent link: https://www.econbiz.de/10010284164

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