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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
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A Comparative Analysis of Water Service Delivery in Germany and South Africa
Freese, Ulrich; Mayer, Peter; Treptow, Joyce; Weaver, David - Fachhochschule <Osnabrück> / Fakultät Wirtschafts- … - 2011
Water is a vital resource for human existence on earth. The importance of this resource to the wellbeingof mankind and the general scarcity of drinking water which is expected to grow requires thepublic to reflect on the best ways to address demand and supply issues. Therefore, the discourse...
Persistent link: https://www.econbiz.de/10009305179
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Price discovery in government bond markets
Valseth, Siri - Universitetet <Stavanger> / School of Business … - 2011
This paper investigates the process of price discovery in government bond markets.By using a new data set including interdealer trades, customer trades, trade types anddealer identities, the paper explores the role of dealers in the price formation processand seeks to identify their sources of...
Persistent link: https://www.econbiz.de/10009305184
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What factors aect the Oslo Stock Exchange?
Næs, Randi; Skjeltorp, Johannes A.; Ødegaard, Bernt Arne - Universitetet <Stavanger> / School of Business … - 2009
This paper analyzes return patterns and determinants at the Oslo Stock Ex-change (OSE) in the period 1980{2006. We nd that a three-factor model con-taining the market, a size factor and a liquidity factor provides a reasonable t forthe cross-section of Norwegian stock returns. As expected, oil...
Persistent link: https://www.econbiz.de/10009305197
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Pay-What-You-Want – A New Participative Pricing Mechanism
Kim, Ju-Young; Natter, Martin; Spann, Martin - Universität <Frankfurt, Main> / Lehrstuhl für … - 2008
Pay-What-You-Want (PWYW) is a new participative pricing mechanism whereby consumershave maximum control over the price …
Persistent link: https://www.econbiz.de/10009360492
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An Assortment-Wide Decision-Support System for DynamicPricing and Promotion Planning in DIY Retailing
Natter, Martin; Reutterer, Thomas; Mild, Andreas; … - Universität <Frankfurt, Main> / Lehrstuhl für … - 2007
profitliftingeffects into the optimal pricing model. The methodology was developed andimplemented at bauMax, an Austrian Do …
Persistent link: https://www.econbiz.de/10009360494
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An encompassing viewon markdown pricing strategies: an analysisof the Austrian mobile phone market
Reiner, Gerald; Natter, Martin - Universität <Frankfurt, Main> / Lehrstuhl für … - 2005
Fierce competition and rapid technological progress have considerablyreduced the life cycle length for mobile phones in the last decade. Once a newmobile phone is launched, providers on the market under consideration practice amarkdown strategy. Profits of the providers are generated mainly via...
Persistent link: https://www.econbiz.de/10009360498
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Evaluation of Aggressive Competitive PricingStrategies
Natter, Martin; Hruschka, Harald - Universität <Frankfurt, Main> / Lehrstuhl für … - 1998
competitors. With more aggressive policies, the average pricing level decreases and the averagedifference between high and low …
Persistent link: https://www.econbiz.de/10009360501