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ECB announcements and stock market volatility
Neugebauer, Frederik - 2019
This paper documents that ECB announcements increase the stock market volatility in the euro area (EA) on the same day …. I consider two volatility measures from January 1998 to May 2019. First, a realized volatility measure uses intraday … data for 8 different stock market indices. Second, a range measure approximates volatility using daily prices from 11 …
Persistent link: https://www.econbiz.de/10012286218
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Stock market spread trading : Argentina and Brazil stock indexes
Batten, Jonathan A.; Szilágyi, Péter G.; Wong, … - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 61-76
Persistent link: https://www.econbiz.de/10010465142
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Horizontal product differentiation with limited attentive consumers
Saur, Marc P.; Schlatterer, Markus G.; Schmitt, … - 2019
We analyze the effects of consumers' limited attention on welfare in a model of horizontal product differentiation. We present a novel approach of modeling limited attention: an attention radius. Each consumer only notices goods that are within her attention radius, i.e., goods that are...
Persistent link: https://www.econbiz.de/10012287658
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Anchoring, reference prices, and list price collusion
Paha, Johannes - 2019
The firms in this model set non-binding list prices before competing for buyers by non-cooperatively granting discounts. Each firm has an incentive to set a high list price if, for example, the customers anchor their willingness-to-pay on the list price. However, list price competition occurs if...
Persistent link: https://www.econbiz.de/10012314193
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Uncertainty, investment, and managerial incentives
Glover, Brent; Levine, Oliver - In: Journal of monetary economics 69 (2015), pp. 121-137
Persistent link: https://www.econbiz.de/10011326673
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Incomplete financial markets and jumps in asset prices
Crès, Hervé; Markeprand, Tobias; Tvede, Mich - In: Economic theory : official journal of the Society for … 62 (2016) 1/2, pp. 201-219
Persistent link: https://www.econbiz.de/10011554148
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Stochastic sensitivity of bull and bear states
Jungeilges, Jochen A.; Maklakova, Elena; Perevalova, Tatyana - In: Journal of economic interaction and coordination 17 (2022) 1, pp. 165-190
Persistent link: https://www.econbiz.de/10013171505
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Time scale and fractionality in financial time series
Sproul, Thomas W. - In: Agricultural finance review 76 (2016) 1, pp. 76-93
Persistent link: https://www.econbiz.de/10011695555
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Winners and losers from price-level volatility : money taxation and information frictions
Cozzi, Guido; Goenka, Aditya; Kang, Minwook; Shell, Karl - In: Sunspots and non-linear dynamics : essays in honor of …, (pp. 287-402). 2017
Persistent link: https://www.econbiz.de/10011850418
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Density forecasts and the leverage effect : evidence from observation and parameter-driven volatility models
Catania, Leopoldo; Nonejad, Nima - In: The European journal of finance 26 (2020) 2/3, pp. 100-118
Persistent link: https://www.econbiz.de/10012207189