Narrow search
Showing 1 - 10 of 37,965
Cover Image
The term structure of bond market liquidity conditional on the economic environment : an analysis of government guaranteed bonds
Schuster, Philipp; Uhrig-Homburg, Marliese - 2012
We analyze the term structure of illiquidity premiums as the difference between the yield curves of two major bond segments that are both government guaranteed but differ in their liquidity. We show that its characteristics strongly depend on the economic situation. In crisis times, illiquidity...
Persistent link: https://www.econbiz.de/10009667173
Cover Image
Empirical pricing kernels and investor preferences
Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2007
three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …
Persistent link: https://www.econbiz.de/10003633572
Cover Image
Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …
Persistent link: https://www.econbiz.de/10003636008
Cover Image
Estimating the effects of the "flight to quality", with an application to German bond yields and interest payments
Boeing-Reicher, Claire; Boysen-Hogrefe, Jens - 2017
Recent calculations have suggested that the German federal government has saved roughly EUR 90-100 billion, cumulatively, due to low bond yields since the onset of the Euro crisis. In order to determine the contribution of the "flight to quality" to this sum, we define the flight to quality as a...
Persistent link: https://www.econbiz.de/10011685448
Cover Image
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.; Herwartz, Helmut - 1999
prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …
Persistent link: https://www.econbiz.de/10009580460
Cover Image
Trading the bond-CDS basis : the role of credit risk and liquidity
Gehde-Trapp, Monika - 2009
We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...
Persistent link: https://www.econbiz.de/10003919401
Cover Image
Implied basket correlation dynamics
Härdle, Wolfgang; Silyakova, Elena - 2012
of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …
Persistent link: https://www.econbiz.de/10009665551
Cover Image
Trading the bond-CDS basis: The role of credit risk and liquidity
Trapp, Monika - 2009
We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...
Persistent link: https://www.econbiz.de/10010302537
Cover Image
Implied basket correlation dynamics
Härdle, Wolfgang Karl; Silyakova, Elena - 2012
of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow … volatilities of stocks and implied volatility of the basket. To analyze this structure and the dynamics of the ICS we employ a …
Persistent link: https://www.econbiz.de/10010318771
Cover Image
Noise traders' trigger rates, FX options, and smiles
Pierdzioch, Christian - 2000
Persistent link: https://www.econbiz.de/10013261076