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How safe was the "safe haven"? : Financial market liquidity during the 1998 turbulences

Upper, Christian - 2000

bonds in Germany. This feature is particularly attractive for the bond market, where OTC transactions account for most … trading. The volatility of yields of the four bonds more than doubled in the wake of the Russian devaluation on August 17th …

Persistent link: https://www.econbiz.de/10001455520

How Safe Was the "Safe Haven"? Financial Market Liquidity During the 1998 Turbulences

Upper, Christian - 2016

Persistent link: https://www.econbiz.de/10012991314

The short-term relationships among the U.S., German and Greek bond markets in times of financial crises : a Bayesian analysis of exogeneity in the VAR-SV model

Modrzejewska, Anita; Pajor, Anna - In: Argumenta oeconomica 38 (2017) 1, pp. 257-283

Persistent link: https://www.econbiz.de/10012284664

Scarcity effects of QE : a transaction-level analysis in the Bund market

Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017

This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the Public Sector Purchase Program (PSPP) of the ECB/Eurosystem. This paper is the first to match high-frequency QE purchase...

Persistent link: https://www.econbiz.de/10011632212

Scarcity effects of QE : a transaction-level analysis in the Bund market

Schlepper, Kathi; Hofer, Heiko; Riordan, Ryan; … - 2017

Persistent link: https://www.econbiz.de/10011752683

Is there excess comovement of bond yields between countries?

Sutton, Gregory D. - 1997

Persistent link: https://www.econbiz.de/10013431821

Volatility estimates of the short term interest rate with an application to German data

Dankenbring, Henning - 1998

find that the volatility depends on either the interest rate level or information shocks but not on both. Finally, we … propose to describe the short term interest rate's dynamics by means of an AR(1) model with stochastic volatility. -- Term … Structure Models ; Stochastic Volatility ; ARCH …

Persistent link: https://www.econbiz.de/10009578570

Estimates of the short-term rate process in an arbitrage-free framework

Kazemi, Hossein; Mahdavi, Mahnaz; Salazar, Brett - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 577-589

Persistent link: https://www.econbiz.de/10002171480

Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

Brandt, Michael W.; Santa-Clara, Pedro - In: Journal of financial economics 63 (2002) 2, pp. 161-210

Persistent link: https://www.econbiz.de/10001636757

Brokers and business cycles: does financial market volatility cause real fluctuations?

Döpke, Jörg; Pierdzioch, Christian - In: Kredit und Kapital 34 (2001) 3, pp. 327-355

Persistent link: https://www.econbiz.de/10001623779