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Three Essays in Empirical Asset Pricing
Jacobs, Thomas A. - 2010
Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon …
Persistent link: https://www.econbiz.de/10009477864
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Exchange Rate Volatility and Regime Change:Visegrad Comparison
Kocenda, Evžen; Valachy, Juraj - 2006
We analyze exchange rate volatility in the Visegrad Four countries in the course of their abandoning tight regimes for more flexible ones. We account for path dependence, asymmetric shocks, movements in interest rates, and allow for generalized error distribution. The overall findings are that...
Persistent link: https://www.econbiz.de/10009476919
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Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad
Valachy, Juraj; Ko?enda, Evžen - 2003
Exchange rate stability was defined as one of the prerequisites for monetary integration in Europe. In this paper, we analyze recent developments in the volatility of exchange rates of the Central European countries (the Visegrad Group) and a selected group of European Union countries (the...
Persistent link: https://www.econbiz.de/10009477538
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The drivers of European banks’ US dollar debt issuance : opportunistic funding in times of crisis?
Romo González, Luna - 2016
En este estudio investigamos los determinantes de las emisiones denominadas en dólares de deuda a largo plazo por parte de la banca europea. Para ello empleamos una base de datos que permite explorar los factores que, según la literatura, explican las emisiones en moneda extranjera. Incluimos...
Persistent link: https://www.econbiz.de/10012530514
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The Inconvenience Cost: A Portfolio Approach to Non-Convergence Between Cash and Futures Prices
Adjemian, Michael K.; Kuethe, Todd H.; Kunda, Eugene L. - 2010
, significant arbitrage opportunities over the second halfof the last decade. Yet, terminal elevator operators—perhaps the only … demonstrates conditions under which a profit maximizing warehouseman foregoes available arbitrage. We find that making delivery …
Persistent link: https://www.econbiz.de/10009446079
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Agricultural Arbitrage, Adjustment Costs, and the Intensive Margin
Tack, Jesse B.; LaFrance, Jeffrey T. - 2010
supports these assumptions. An empirical application of the arbitrage equations providesevidence that risk aversion and …
Persistent link: https://www.econbiz.de/10009446523
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Changes in Trading Volume and Return Volatility Associated with S&P 500 Index Additions and Deletions
Lin, Cheng-I Eric - 2007
volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected … by arbitrage mechanism that brings both markets to equilibrium. When arbitrage opportunities arise, arbitrageurs buy … return to theoretical levels. Such mechanical arbitrage trading tends to create large order flows that could be difficult for …
Persistent link: https://www.econbiz.de/10009475070
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Die Ermittlung des Conversion Factors im Futures-Handel
Wöster, Christoph - 2005
Börsengehandelte Termingeschäfte sind durch eine starke Standardisierung der Verträge geprägt, die sich auch auf das zu liefernde Basisinstrument erstreckt. Mit Auflegung eines Terminkontrakts werden die Wertpapiere benannt, die der Erfüllung des Geschäfts dienen können. Weicht deren...
Persistent link: https://www.econbiz.de/10009452486
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Identifying Arbitrage Opportunities in E-Markets
Debenham John - 2002
use the advice available tothem to identify arbitrage opportunities, and second how the market willevolve through …
Persistent link: https://www.econbiz.de/10009482394
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Beiträge zur Analyse von Finanzmarktmodellen mit Transaktionskosten
Claas Prelle - 2007
Gegenstand dieser Arbeit ist die Untersuchung von Finanzmarktmodellen, die für den An- und Verkauf von Finanzgütern anfallende Kosten berücksichtigen, sogenannte Transaktionskosten. Zentrales Thema ist dabei ein Portfoliooptimierungsproblem in einem Black-Scholes-Modell mit n Aktien bei...
Persistent link: https://www.econbiz.de/10009429000