Showing 1 - 10 of 463
Japan. We also test for the presence of causality-in-mean and volatility spillovers. The econometric framework is a four … found to play a role in a minority of cases, with mixed signs. Finally, most cases of volatility spillovers occur from …
Persistent link: https://www.econbiz.de/10009481428
In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...
Persistent link: https://www.econbiz.de/10009462193
into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …
Persistent link: https://www.econbiz.de/10009460735
volatility on foreign exchange markets. Starting point is the market participant's microeconomic investment decision, which is … trading volume and volatility on foreign exchange markets. We apply various two-country-models with representative market …
Persistent link: https://www.econbiz.de/10009471738
We quantify the effects on contingent claim valuation of using an estimator for the volatility of a geometric Brownian … motion (GBM) process. That is, we show what difficulties can arise when failing to account for estimation risk. Our working … problem uses a direct estimator of volatility based on the sample standard deviation of increments from the underlying …
Persistent link: https://www.econbiz.de/10009476145
subsectors, at least not given the used identification strategy. This could be due to the fact that this theory regards the …
Persistent link: https://www.econbiz.de/10009433722
standard and international trade. The estimation results allow us to formulate some interesting policy conclusions. …
Persistent link: https://www.econbiz.de/10009467122
mid-1980s, in contrast to the simultaneous volatility decline of most aggregates, including overall hours and employment … the skill premium, it is interesting to check its short-run implications for employment volatility. The numerical results … DSGE models' implications for overall labor market' volatility. …
Persistent link: https://www.econbiz.de/10009450956
Charakterisierung der Geldpolitik wird dann die Zinsstruktur unter der Annahme fehlender Arbitragemöglichkeiten hergeleitet. Das …. Die Analyse offenbart, dass der "curvature"-Faktor informativer in Bezug auf die zukünftige Entwicklung der Zinsstruktur …
Persistent link: https://www.econbiz.de/10009467089
In der vorliegenden Arbeit werden im theoretischen Teil die bekannten Verfahren zur Schätzung der deutschen Zinsstrukturkurve vorgestellt.Im praktischen Teil werden drei Modelle an Hand von wöchentlichen Anleihepreisdaten von Januar 1999 bis Dezember 2000 miteinanderverglichen. Außerdem...
Persistent link: https://www.econbiz.de/10009471672