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Hałoń, Edward (contributor) - 2000

Persistent link: https://www.econbiz.de/10004613329

Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - 2002

grosser Kursschwankungen anhand von täglichen Daten der Aktienmarktindices für Deutschland, Großbitannien, Frankreich, die …

Persistent link: https://www.econbiz.de/10010295729

Forecasting stock market volatility with macroeconomic variables in real time

Döpke, Jörg; Hartmann, Daniel; Pierdzioch, Christian - 2006

We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We used a statistical, a utility-based, and an options-based...

Persistent link: https://www.econbiz.de/10010295909

Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance

Herwartz, Helmut; Golosnoy, Vasyl - 2007

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

Persistent link: https://www.econbiz.de/10010296287

Steht der deutsche Aktienmarkt unter politischem Einfluss?

Gottschalk, Katrin; Bohl, Martin T. - 2005

Die vorliegende Arbeit untersucht den Zusammenhang zwischen politischen Zyklen und Aktienrenditen in Deutschland … für Deutschland keine Anomalienmuster in Akteinrenditen, die sich auf rechte oder linke Bundesregierungen zurückführen … lassen. In Übereinstimmungen mit den für die USA verfügbaren Evidenzen ist auch für Deutschland von einem politisch …

Persistent link: https://www.econbiz.de/10010296346

The Connection of Stock Markets Between Germany and the USA: New Evidence From a Co-integration Study

Eberts, Elke - 2003

This paper uses an empirical connection between real stock market indices of Germany and the USA for forecasting corresponding returns. We are starting from the random walk as the traditional forecasting model in stock market applications, extending it by co-integration. Since the cointegrating...

Persistent link: https://www.econbiz.de/10010297288

Multifaktormodelle zur Erklärung deutscher Aktienrenditen: eine empirische Analyse

Stehle, Richard; Schulz, Anja; Schröder, Michael; … - 2003

Bundesrepublik Deutschland die zeitliche Streuung von Aktienrenditen nur schlechter abbilden. Dagegen werden Portfolio-Renditen im …

Persistent link: https://www.econbiz.de/10010297296

The Impact of a Stock Market Downturn on Corporate Financing Activities in Germany

Westerheide, Peter; Meitner, Matthias - 2005

The paper analyses the potential impact of stock market developments on lending behaviour from different perspectives. First we scrutinize the impact of stock market movements on the banks' and on the borrowers' balance sheets. Subsequently we estimate aggregate credit supply and demand...

Persistent link: https://www.econbiz.de/10010297504

International Stock Return Predictability Under Model Uncertainty

Schrimpf, Andreas - 2008

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

Persistent link: https://www.econbiz.de/10010298059

Real-time price discovery in stock, bond and foreign exchange markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...

Persistent link: https://www.econbiz.de/10010298290

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