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To disclose or not to disclose: Transparency and liquidity in the structured product market
Friewald, Nils; Jankowitsch, Rainer; Subrahmanyam, Marti G. - 2014
We use a unique data set from the Trade Reporting and Compliance Engine (TRACE) to study liquidity e ffects in the US …
Persistent link: https://www.econbiz.de/10010368433
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Market transparency and the marking precision of bond mutual fund managers
Cici, Gjergji; Gibson, Scott; Gündüz, Yalin; Merrick, … - 2014
mutual fund managers before and after initiations of TRACE and introductions of issuers into Markit's CDS database …. Disseminated bonds show large and statistically significant decreases in mark dispersion around three key TRACE system rollout … events. Dispersion for large, investment grade bonds fell 20% to 83% after the start of TRACE reporting. A difference …
Persistent link: https://www.econbiz.de/10010369593
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Market transparency and the marking precision of bond mutual fund managers
Cici, Gjergji; Gibson, Scott; Gündüz, Yalin; Merrick, … - 2014
TRACE dissemination and introductions of issuers into Markit's Credit Default Swap spread database. We find large and … statistically significant decreases in mark dispersion of newly disseminated bonds around key TRACE system rollout events …. Dispersion for large, investment grade bonds fell 20% to 83% after the start of TRACE reporting. We also find evidence of …
Persistent link: https://www.econbiz.de/10010392313
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Die Versicherungsbranche unter FATCA
Witty, Magdalena; Kliebisch, Christine - 2012
Der Foreign Account Tax Compliance Act (FATCA) steht derzeit im Fokus der Finanzbranche. FATCA ist Teil des im März 2010 in Kraft getretenen sog. Hiring Incentives to Restore Employment Act (kurz: HIRE Act) und die US-amerikanische Antwort auf die derzeit stattfindende globale steuerliche...
Persistent link: https://www.econbiz.de/10010311019
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Alternative trading systems in the corporate bond market
Kozora, Matthew; Mizrach, Bruce Marshall; Peppe, Matthew; … - 2020
We investigate the trading of corporate bonds on alternative trading system (ATS) platforms. We draw a key distinction between request-for-quote (RFQ) and electronic communication network (ECN) trading protocols, which balance investors' preference for immediacy and anonymity. Trades on ATS...
Persistent link: https://www.econbiz.de/10012619515
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The conditional autoregressive wishart model for multivariate stock market volatility
Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - 2010
We propose a Conditional Autoregressive Wishart (CAW) model for the analysis of realized covariance matrices of asset returns. Our model assumes a generalized linear autoregressive moving average structure for the scale matrix of the Wishart distribution allowing to accommodate for complex...
Persistent link: https://www.econbiz.de/10010300501
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A generalization of Tyler's M-estimators to the case of incomplete data
Frahm, Gabriel; Jaekel, Uwe - 2009
Many different robust estimation approaches for the covariance or shape matrix of multivariate data have been established until today. Tyler's M-estimator has been recognized as the 'most robust' M-estimator for the shape matrix of elliptically symmetric distributed data. Tyler's Mestimators for...
Persistent link: https://www.econbiz.de/10010304422
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Multivariate analysis of cryptocurrencies
Candila, Vincenzo - In: Econometrics 9 (2021) 3, pp. 1-17
Recently, the world of cryptocurrencies has experienced an undoubted increase in interest. Since the first cryptocurrency appeared in 2009 in the aftermath of the Great Recession, the popularity of digital currencies has, year by year, risen continuously. As of February 2021, there are more than...
Persistent link: https://www.econbiz.de/10012696333
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A pitfall in using the characterization of Granger non-gausality in vector autoregressive models
Triacca, Umberto - In: Econometrics 3 (2015) 2, pp. 233-239
It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that...
Persistent link: https://www.econbiz.de/10011755279
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Step change point estimation in the multivariate-attribute process variability using artificial neural networks and maximum likelihood estimation
Maleki, Mohammad Reza; Amiri, Amirhossein; Mousavi, … - In: Journal of Industrial Engineering International 11 (2015) 4, pp. 505-515
In some statistical process control applications, the combination of both variable and attribute quality characteristics which are correlated represents the quality of the product or the process. In such processes, identification the time of manifesting the out-of-control states can help the...
Persistent link: https://www.econbiz.de/10011773110