This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

The 27th SUERF Colloquium in Munich in June 2008: New Trends in Asset Management: Exploring the Implications was already topical in the Summer of 2008. The subsequent dramatic events in the Autumn of 2008 made the presentations in Munich even more relevant to investors and bankers that want to...

The asset value of government has traditionally been seen as the accounting value of public assets. We develop a detailed financial economics view on sovereign asset values using market measures to arrive at implied sovereign asset values. We establish definition and dependencies within the...

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...

The paper explores the consequences of SEC detection of illegal insider trading on subsequent insider trading activities. We hypothesize that individuals with private information update their subjective probabilities of getting caught and are less likely to exploit material, non-public...

This paper investigates whether information complementarities can explain the strong patterns of sectoral comovement observed empirically. It tests the theoretical model by Veldkamp and Wolfers (2007), which suggests that firms' output decisions are based on aggregate information rather than...

Forming expectations about the future path of the economy and the own business prospects is not costless for a firm. Instead, acquiring and processing the relevant macroeconomic information requires valuable resources. One important source of information that provides a coding service is the...

We propose a new monetary policy surprise measure based on cojumps in tick-data of a short and long term interest rate. We extend a recently proposed test for cojumps to distinguish policy announcements that shift the short and long end of the yield curve in the same direction (level shift) and...