We examine here the risk-adjusted performance of European mutual funds offered in Germany which invest in euro-denominated investment grade corporate bonds. The funds are evaluated employing a single-index model and several multi-index and asset-class-factor models. In order to account for the...

Bundesschatzbriefe gehören zu den beliebtesten Anlageformen deutscher Privatanleger.Trotzdem stehen fundierte empirische Analysen hinsichtlich der genauen Werteder Bundesschatzbriefe und damit letztlich eine Überprüfung der "objektiven" Attraktivität dieser Finanztitel in der Verkaufsphase...

This thesis addresses the high-frequency price formation in the European Union Emissions Trading Scheme (EU ETS). In particular, it deals with high-frequency price reactions of European Union Allowances (EUAs) to scheduled macroeconomic and regulatory announcements. The work incorporates several...

We have developed a new test against spurious long memory based on the invarianceof long memory parameter to aggregation. By using the local Whittleestimator, the statistic takes the supremum among combinations of paired aggregatedseries. Simulations show that the test performs good in nite...

We show that tests for a break in the persistence of a time series in the classicalI(0) - I(1) framework have serious size distortions when the actual data generatingprocess exhibits long-range dependencies. We prove that the limiting distributionof a CUSUM of squares based test depends on the...