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  • Search: subject:"Overlapping data"
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Year of publication
Subject
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overlapping data 5 Börsenkurs 3 Schätzung 3 density evaluation 3 option prices 3 risk-neutral density 3 Aktienindex 2 Aktienoption 2 Deutschland 2 Estimation 2 Hedging 2 Overlapping data 2 Prognoseverfahren 2 Share price 2 Statistische Verteilung 2 ARCH model 1 ARCH-Modell 1 Agribusiness 1 American exchange rate options 1 CAPM 1 Capital income 1 Commodity derivative 1 Commodity exchange 1 Cross hedge 1 Currency derivative 1 Demand and Price Analysis 1 Density evaluation 1 Derivat 1 Derivative 1 Deutscher Aktienindex 1 Economic exposure 1 Estimation theory 1 Evaluating Density Forecasts 1 Exchange rate 1 Exchange rate exposure 1 Exchange rate risk 1 Financial Economics 1 Forecasting model 1 Foreign exchange management 1 Fractional integration 1
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Online availability
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Free 5 Undetermined 4
Type of publication
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Article 5 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 7 Undetermined 2
Author
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Craig, Ben R. 4 Keller, Joachim 4 Glatzer, Ernst 3 Scheicher, Martin 3 Anderson, John D. 1 Brorsen, B. Wade 1 Brorsen, Wade 1 Clark, Steven 1 Coggin, T. 1 Harri, Ardian 1 Hedegaard, Esben 1 Hodrick, Robert J. 1 Kim, Seon-Woong 1 Muhammad, Andrew 1 Santi Termprasertsakul 1 Snaith, Stuart 1 Wood, Andrew 1 Yoon, Byung-Sam 1
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Institution
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Deutsche Bundesbank 2
Published in...
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Discussion Paper Series 1 1 Discussion Paper Series 1: Economic Studies 1 Discussion Paper Series 2: Banking and Financial Studies 1 Discussion paper / Deutsche Bundesbank 1 Economics letters 1 Empirical Economics 1 Journal of Agricultural and Applied Economics 1 Journal of agricultural and applied economics : JAEE 1 Journal of banking & finance 1
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Source
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ECONIS (ZBW) 4 RePEc 4 EconStor 1
Showing 1 - 9 of 9
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The exchange rate exposure puzzle : the long and the short of it
Snaith, Stuart; Santi Termprasertsakul; Wood, Andrew - In: Economics letters 159 (2017), pp. 204-207
Persistent link: https://www.econbiz.de/10011903518
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Estimating the risk-return trade-off with overlapping data inference
Hedegaard, Esben; Hodrick, Robert J. - In: Journal of banking & finance 67 (2016), pp. 135-145
Persistent link: https://www.econbiz.de/10011634670
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Estimating a Demand System with Seasonally Differenced Data
Harri, Ardian; Brorsen, B. Wade; Muhammad, Andrew; … - In: Journal of Agricultural and Applied Economics 42 (2010) 02
estimator is used, there is no advantage to using overlapping data in estimating a demand system. …Several recent papers have used annual changes and monthly data to estimate demand systems. Such use of overlapping … data introduces a moving average error term. This paper shows how to obtain consistent and asymptotically efficient …
Persistent link: https://www.econbiz.de/10008530503
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Cross hedging winter canola
Kim, Seon-Woong; Brorsen, Wade; Yoon, Byung-Sam - In: Journal of agricultural and applied economics : JAEE 47 (2015) 4, pp. 462-481
Persistent link: https://www.econbiz.de/10011618285
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The forecast ability of risk-neutral densities of foreign exchange
Craig, Ben R.; Keller, Joachim - Deutsche Bundesbank - 2005
We estimate the process underlying the pricing of American options by using higher-order lattices combined with a multigrid method. This paper also tests whether the risk-neutral densities given from American options provide a good forecasting tool. We use a nonparametric test of the densities...
Persistent link: https://www.econbiz.de/10005082756
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The Forecasting Performance of German Stock Option Densities
Keller, Joachim; Glatzer, Ernst; Craig, Ben R.; … - 2003
In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and...
Persistent link: https://www.econbiz.de/10010295765
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The Forecasting Performance of German Stock Option Densities
Keller, Joachim; Glatzer, Ernst; Craig, Ben R.; … - Deutsche Bundesbank - 2003
In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and...
Persistent link: https://www.econbiz.de/10005083099
Saved in:
Cover Image
The forecasting performance of German stock option densities
Craig, Ben R.; Glatzer, Ernst; Keller, Joachim; … - 2003
In this paper we will be estimating risk-neutral densities (RND) for the largest euro area stock market (the index of which is the German DAX), reporting their statistical properties, and evaluating their forecasting performance. We have applied an innovative test procedure to a new, rich, and...
Persistent link: https://www.econbiz.de/10011432259
Saved in:
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Are U.S. stock prices mean reverting? Some new tests using fractional integration models with overlapping data and structural breaks
Clark, Steven; Coggin, T. - In: Empirical Economics 40 (2011) 2, pp. 373-391
Persistent link: https://www.econbiz.de/10008925356
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