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examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are …
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This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error …
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In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially …
Persistent link: https://www.econbiz.de/10003750067
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volatility estimation is considered. The empirical analysis is performed on futures contracts of both the Standard and Poors 500 … importance of taking asymmetric effects (leverage effects) into account in volatility forecasts when it comes to risk management …
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The taxation of dividends in Germany underwent major changes. We analyze the implications of these changes for the valuation of DAX futures contracts and test the resulting hypotheses empirically. We find that dividend taxation cannot explain the level of deviations from the cost-of-carry...
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