We investigate the price dynamics of two illiquid agricultural futures contracts traded at the European Exchange in Frankfurt. Based on constant and time-varying vector error correction models, we measure the contribution of each futures market to price discovery. Although results from the...

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...

Technological progress allows Internet Service Providers (ISPs) to carry out network manage-ment practices in a discriminatory fashion without being detected by their customers. This creates an opportunity that providers will exploit this information asymmetry in an opportunistic way by blocking...

In this paper, we show that large inflows into commodity investments, a recent phenomenon known as financialization, has changed the behavior and dependence structure between commodities and the general stock market. The common perception is that the increase in comovements is the result of...

Using the contingent claim approach and market data on sovereign credit default swaps we assess the drivers of a country s risk perception. Deriving market-based asset values for a set of advanced economies we gain insights into the capital markets perspectives on sovereign creditworthiness. We...

We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an equivalent martingale measure is a folk theorem, see...

Network neutrality and alleged discriminatory practices on the part of ISPs regarding the transmission of Internet data packets has been the subject of notable scholarly discussion and appears to be a widespread phenomenon. However, it is noteworthy that actual consumer discrimination has only...

We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coeffcient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...

We study the role of stress induced by time constraints on investors’ decision making. The need to perform contemporaneous tasks and external interference such as arriving unexpectedly late to work, might exacerbate acute stress and its impact on decision making. Accumulated laboratory...

In light of the recent large swings in stock and housing prices accompanied by ample global liquidity, the role of monetary policy in the build-up of asset price bubbles has been questioned. This paper will contribute to the debate whether central banks can and should stronger "lean against the...