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Hedging performance and multiscale relationships in the German electricity spot and futures markets
Madaleno, Mara; Pinho, Carlos - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 26-62
We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing … in order to account for risk reduction through hedging. Results allow us to conclude that: dynamic hedging strategies … provide higher variance reductions in terms of hedging effectiveness; there is poor correlation among spot and futures, not …
Persistent link: https://www.econbiz.de/10011555959
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Fractional cointegration of voting and non-voting shares
Dittmann, Ingolf - 1998
Persistent link: https://www.econbiz.de/10000681350
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Nonlinear error correction and the efficient market hypothesis : the case of German dual-class shares
Breitung, Jörg; Wulff, Christian - 1999
The efficient market hypothesis implies that asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting far away. An attractive model that reconciles these two conflicting facts is the nonlinear error correction...
Persistent link: https://www.econbiz.de/10009581105
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Non-linear error correction and the efficient market hypothesis : the case of German dual-class shares
Breitung, Jörg; Wulff, Christian - In: German economic review 2 (2001) 4, pp. 419-434
Persistent link: https://www.econbiz.de/10001620840
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Fractional cointegration of preferred and common stocks : testing the efficient market hypothesis
Dittmann, Ingolf - 1998
Persistent link: https://www.econbiz.de/10001575629
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Nonlinear error correction and the efficient market hypothesis : the case of German dual-class shares
Breitung, Jörg; Wulff, Christian - 1999
Persistent link: https://www.econbiz.de/10001413057
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The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods
Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13
Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....
Persistent link: https://www.econbiz.de/10012039605
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Dividend yields for forecasting stock market returns
Belke, Ansgar; Polleit, Thorsten - 2004
Persistent link: https://www.econbiz.de/10013439386
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A parsimonious fundamental model for wholesale electricity markets : analysis of the plunge in German futures prices
Kallabis, Thomas; Pape, Christian; Weber, Christoph - 2015
The German market has seen a plunge in wholesale electricity prices from 2007 until 2014, when base futures prices dropped by more than 40 percent. In this paper we determine the fundamental components of electricity futures prices and quantify their impact on the price drop as well as on...
Persistent link: https://www.econbiz.de/10010528776