Narrow search
Showing 1 - 10 of 108
Cover Image
Modelling the implied probability of stock market movements
Glatzer, Ernst; Scheicher, Martin - 2003
In this paper we study risk-neutral densities (RNDs) for the German stock market. The use of option prices allows us to quantify the risk-neutral probabilities of various levels of the DAX index. For the period from December 1995 to November 2001, we implement the mixture of log-normals model...
Persistent link: https://www.econbiz.de/10009639855
Cover Image
The term structure of risk premia
Berg, Tobias - 2010
This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...
Persistent link: https://www.econbiz.de/10009640393
Cover Image
A quantitative mirror on the Euribor market using implied probability density functions
Vincent-Humphreys, Rupert de; Puigvert Gutiérrez, … - 2010
This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over...
Persistent link: https://www.econbiz.de/10009640514
Cover Image
Exchange rates and fundamentals
Engel, Charles; West, Kenneth David - 2003
Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...
Persistent link: https://www.econbiz.de/10009635953
Cover Image
International equity flows and returns
Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004
model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain … investors of different sophistication, and (ii) investor sophistication matters for performance in both public equity and … prices there have recently been rising. The results suggest that heterogeneity within the foreign investor population is much …
Persistent link: https://www.econbiz.de/10009636533
Cover Image
Exchange rate risks and asset prices in a small open economy
Derviz, Alexis - 2004
The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be established as long as one is able to observe a proxy...
Persistent link: https://www.econbiz.de/10009636537
Cover Image
Do demographic changes affect risk premiums?
Ang, Andrew; Maddaloni, Angela - 2003
We examine the link between equity risk premiums and demographic changes using a very long sample over the whole twentieth century for the US, Japan, UK, Germany and France, and a shorter sample covering the last third of the twentieth century for fifteen countries. We find that demographic...
Persistent link: https://www.econbiz.de/10009639859
Cover Image
Multimarket trading and the cost of debt
Petrasek, Lubomir - 2010
Global bonds are international securities designed to be traded and settled efficiently in multiple markets. This paper studies global bonds to examine the effects of multimarket trading on corporate bond liquidity, prices, and the cost of debt. Using a sample of primary and secondary market...
Persistent link: https://www.econbiz.de/10009640328
Cover Image
Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB
Vähämaa, Sami - 2004
This paper uses data on German government bond futures options to examine the behaviour of market expectations around monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market expectations, as measured by the skewness of...
Persistent link: https://www.econbiz.de/10009636538
Cover Image
The informational content of over-the-counter currency options
Christoffersen, Peter; Mazzotta, Stefano - 2004
Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset...
Persistent link: https://www.econbiz.de/10009639420