Narrow search
Showing 61 - 70 of 27,023
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Price discovery in government bond markets
Valseth, Siri - Universitetet <Stavanger> / School of Business … - 2011
interdealer trades, customer trades, trade types anddealer identities, the paper explores the role of dealers in the price …
Persistent link: https://www.econbiz.de/10009305184
Cover Image
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