Existing models of herding suffer from the drawback that conventional measures assume it is constant over time and independent of the state of the economy. This paper proposes a Markov switching herding model which supports the view that herding is not constant. By means of time-varying...

Schätzungen von Volatilitätsfunktionen des kurzfristigen Zinssatzes unter Verwendung von deutschen Daten Der vorliegende Artikel testet verschiedene Spezifikationen zur Modellierung des Euro-DM-3-Monats-Zinssatzes, wobei die Hypothese einiger Modelle, der zufolge der Daten generierende Prozeß...

The 4 th European Retail Investment Conference was hosted at Boerse Stuttgart, Germany, from May 17 th to 19 th 2017. The conference chairs invited academics and practitioners to participate and discuss empirical and theoretical research that investigates retail investor products and services,...

The present study conducts two different strategies in order to exploit the low-volatility anomaly in the U.S., the European and the German equity market. The first strategy uses quadratic optimization to calculate optimal portfolio weights. The second strategy sorts stocks into portfolio...

The modern financial market theory (MFMT) – based on the efficient market hypothesis, rational expectation theory, and modern portfolio theory – has become the standard approach in financial market economics. In this article, the MFMT will be critically ­reviewed using the logic of human...

Im finanzwirtschaftlich geprägten Schrifttum werden zur Schätzung von erwarteten Aktienrenditen derzeit im Wesentlichen zwei Ansätze diskutiert: Die Schätzung anhand vergangener Renditen oder die implizite Bestimmung auf Basis von Cash-flow-Prognosen. Diese Ansätze besitzen jedoch eine...

This study aimed to examine the macroeconomic and firm-specific determinants of financial performance using 121 listed non-life insurance companies from 48 African countries for the period 2008-2019. Panel data of 1452 observations were examined using both ordinary least squares and two-step...

This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed-span setting using bootstrap methods. Specifically, since standard wild bootstrap procedures deliver inconsistent inference, we propose a local Gaussian (LG) bootstrap, establish its first-order...

We experimentally investigated the relationship between participants' reliance on algorithms, their familiarity with the task, and the performance level of the algorithm. We found that when participants could freely decide on their final forecast after observing the one produced by the algorithm...

We offer retrospective and prospective assessments of the Diebold-Yilmaz connectedness research program, combined with personal recollections of its development. Its centerpiece in many respects is Diebold and Yilmaz (2014), around which our discussion is organized.