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Nonlinear dynamics : evidence for a small stock exchange

Scheicher, Martin - In: Empirical economics : a journal of the Institute for … 24 (1999) 1, pp. 45-59

Persistent link: https://www.econbiz.de/10001353414

A switching ARCH model for German DAX index

Kaufmann, Sylvia (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 4, pp. 1-35

Persistent link: https://www.econbiz.de/10003559162

The pricing of subprime mortgage risk in good times and bad : evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - In: Applied financial economics 19 (2009) 22/24, pp. 1925-1945

This article investigates the pricing of subprime mortgage risk using data for the ABX.HE indices, which have become a key barometer of market conditions during the recent financial crisis. After a discussion of ABX index mechanics and observed pricing patterns, we use regression analysis to...

Persistent link: https://www.econbiz.de/10003921106

The network structure of the CDS market and its determinants

Peltonen, Tuomo; Scheicher, Martin; Vuillemey, Guillaume - In: Journal of financial stability 13 (2014), pp. 118-133

Persistent link: https://www.econbiz.de/10011288870

Central clearing and collateral demand

Duffie, Darrell; Scheicher, Martin; Vuillemey, Guillaume - In: Journal of financial economics 116 (2015) 2, pp. 237-256

Persistent link: https://www.econbiz.de/10011348524

Asset correlations and credit portfolio risk : an empirical analysis

Duellmann, Klaus; Scheicher, Martin; Schmieder, Christian - In: The journal of credit risk : published quarterly by … 4 (2008/09) 2, pp. 37-62

Persistent link: https://www.econbiz.de/10003749331

What moves the tail? : The determinants of the option-implied probability density function of the DAX index

Glatzer, Ernst; Scheicher, Martin - In: The journal of futures markets 25 (2005) 6, pp. 515-536

Persistent link: https://www.econbiz.de/10002846386

Makroökonomische Krisentests : erste Ergebnisse für Österreich

Kalirai, Harvir; Scheicher, Martin - In: Finanzmarktstabilitätsbericht (2002), pp. 64-82

Persistent link: https://www.econbiz.de/10001710791

Modelling the implied probability of stock market movements

Scheicher, Martin; Glatzer, Ernst - In: Economic & financial modelling : a journal of the … 10 (2003) 4, pp. 153-197

Persistent link: https://www.econbiz.de/10001883022

Wie wahrscheinlich sind Kurseinbrüche auf dem deutschen Aktienmarkt?

Glatzer, Ernst; Scheicher, Martin - In: Finanzmarktstabilitätsbericht (2001), pp. 177-188

Persistent link: https://www.econbiz.de/10001649644