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Firm Migration and Stock Returns
Puopolo, Giovanni W. - Finrisk - 2009
This paper studies the asset pricing implications of a general equi-librium model in which real investment is …
Persistent link: https://www.econbiz.de/10009022140
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Preisbildungssysteme in der Milchwirtschaft - Ein Überblick über die Supply Chain Milch
Hellberg-Bahr, Anneke; Pfeuffer, Martin; Steffen, Nina; … - Universität <Göttingen> / Department für … - 2010
Der Milchstreik im Jahr 2008 machte auf die Problematik der geringen Erzeugerpreise für Milch aufmerksam und lösteDiskussionen um die Verteilung der Erlöse entlang derWertschöpfungskette (WSK) Milch aus. Vor diesem Hintergrundführte das Bundeskartellamt im Jahr 2009 eine Sektoruntersuchung...
Persistent link: https://www.econbiz.de/10009129504
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THE FISCAL THEORY OF THE PRICE LEVEL PUZZLE: A NON-RICARDIAN VIEW
Bénassy, Jean-Pascal - Centre pour la Recherche Economique et Ses Applications … - 2011
The fiscal theory of the price level says that the price level can be made determinate if thegovernment uses fiscal policies such that government liabilities explode unless the price inthe first period is at the “right” level. The policy implications are disturbing, as they callfor rather...
Persistent link: https://www.econbiz.de/10009138463
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Asset Pricing with Matrix Jump Diffusions
Leippold, Markus; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010
applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …
Persistent link: https://www.econbiz.de/10009248844
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Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency
Conrad, Christian; Rittler, Daniel; Rotfuß, Waldemar - Alfred-Weber-Institut für Sozial- und …; … - 2010
In this paper we model the adjustment process of European Union Allowance(EUA) prices to the releases of announcements at high-frequency controlling forintraday periodicity, volatility clustering and volatility persistence. We ¯nd thatthe high-frequency EUA price dynamics are very well captured...
Persistent link: https://www.econbiz.de/10009249002
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Does the “Bund” dominate price discovery in Euro bond futures?Examining information shares
Fricke, Christoph; Menkhoff, Lukas - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2010
This paper examines the relative information shares of the Bund, i.e. the ten-year Euro bondfuture contract on German sovereign debt, versus two futures with shorter maturity. We findthat the Bund is most important but does not dominate price discovery. The other contractsalso have relevant –...
Persistent link: https://www.econbiz.de/10009302617
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Price Impact and Portfolio Impact
Cvitanić, Jakša; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2010
We study survival, price impact and portfolio impact in heterogeneouseconomies. We show that, under the equilibrium risk-neutral measure,long-run price impact is in fact equivalent to survival, whereas longrunportfolio impact is equivalent to survival under an agent-specic,wealth-forward...
Persistent link: https://www.econbiz.de/10009305110
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Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - Bank für Internationalen Zahlungsausgleich <Basel> - 2008
Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. We find that one can...
Persistent link: https://www.econbiz.de/10009305112
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Three Solutions to the Pricing Kernel Puzzle
Hens, Thorsten; Reichlin, Christian - Swiss National Centre of Competence in Research North … - 2010
The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market … returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are … risk-averse and have common andtrue beliefs, the pricing kernel is a decreasing function of aggregateresources. If at least …
Persistent link: https://www.econbiz.de/10009305117
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Liquidity Models in Continuous and Discrete Time
Roch, Alexandre F.; Gökay, Selim; Soner, H. Mete - Swiss National Centre of Competence in Research North … - 2010
The study of liquidity in financial markets either invokes the ease with whichfinancial securities can be bought and sold, or addresses the ability to tradewithout triggering important changes in asset prices. More specifically, onecan think of liquidity as an exogenous measure of the added...
Persistent link: https://www.econbiz.de/10009305121