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Stock prices and monetary policy: Re-examining the issue in a New Keynesian model with endogenous investment

Grossi, Michele; Tamborini, Roberto - In: Economics: The Open-Access, Open-Assessment E-Journal 6 (2012) 2012-14, pp. 1-47

In this paper the authors present a New Keynesian quantitative model with endogenous investment and stock-market sector that may shed further light on two unsettled issues: whether central banks should include some financial indicator in their policy rules, and which indicator may be expected to...

Persistent link: https://www.econbiz.de/10010308738

Modelling trades-through in a limit order book using hawkes processes

Toke, Ioane Muni; Pomponio, Fabrizio - In: Economics: The Open-Access, Open-Assessment E-Journal 6 (2012) 2012-22, pp. 1-23

The authors model trades-through, i.e. transactions that reach at least the second level of limit orders in an order book. Using tick-by-tick data on Euronext-traded stocks, they show that a simple bivariate Hawkes process fits nicely their empirical observations of tradesthrough. The authors...

Persistent link: https://www.econbiz.de/10010309222

The bull and bear market model of Huang and Day : Some extensions and new results

Tramontana, Fabio; Westerhoff, Frank; Gardini, Laura - 2012

We develop a financial market model with interacting chartists and fundamentalists that embeds the famous bull and bear market model of Huang and Day as a special case. Their model is given by a one-dimensional continuous piecewise-linear map. Our model, on the other hand, is more flexible and...

Persistent link: https://www.econbiz.de/10010310936

Ökonometrische Modellierung von Transaktionsintensitäten auf Finanzmärkten

Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan; … - 1998

Wir verwenden eine neue, auf der Burr-Verteilung basierende Spezifikation aus der Familie der Autoregressive Conditional Duration (ACD) Modelle zur ökonometrischen Analyse der Transaktionsintensitäten während der Börseneinführung (IPO) der Deutsche Telekom Aktie. In diesem Fallbeispiel wird...

Persistent link: https://www.econbiz.de/10010316257

A multiple factor model for European stocks

Stephan, Thomas G.; Maurer, Raimond; Dürr, Martin - 2000

We present an empirical study focusing on the estimation of a fundamental multi-factor model for a universe of European stocks. Following the approach of the BARRA model, we have adopted a cross-sectional methodology. The proportion of explained variance ranges from 7.3% to 66.3% in the weekly...

Persistent link: https://www.econbiz.de/10010316262

Bias-free nonparametric estimation of intra-day trade activity measures

Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan - 2000

Persistent link: https://www.econbiz.de/10010316265

Optionspreistheorie bei vagen Daten

Korolev, Konstantin; Leifert, Kai D.; Rommelfanger, Heinrich - 1999

In der heutigen Theorie der Optionsbewertung wird davon ausgegangen, daß die Markterwartungen genau berechenbar sind … unscharfes Wissen über künftige Preisentwicklungen haben. Hierbei dient die Fuzzy Set Theorie zur Modellierung der nur … größenordnungsmäßig bekannten künftigen Aktienkurse. Es wird in dieser Arbeit zwischen der Optionspreistheorie und der Fuzzy Set Theorie …

Persistent link: https://www.econbiz.de/10010316280

Estimating the Expected Cost of Equity Capital Using Consensus Forecasts

Gebhardt, Günther; Daske, Holger; Klein, Stefan - 2004

In this study, we develop a technique for estimating a firm’s expected cost of equity capital derived from analyst consensus forecasts and stock prices. Building on the work of Gebhardt/Lee/-Swaminathan (2001) and Easton/Taylor/Shroff/Sougiannis (2002), our approach allows daily estimation,...

Persistent link: https://www.econbiz.de/10010316291

Kointegration von Aktienkursen

Krämer, Walter - 1997

Persistent link: https://www.econbiz.de/10010316605

On the existence of moments: With an application to German stock returns

Runde, Ralf; Scheffner, Axel - 1998

Stock returns are often modeled as having infinite second or fourth moments with consequences for test statistics which have not yet been fully explored. Conclusions on the existence of moments are usually drawn from a generalized Pareto or simple Pareto tail index estimate. In a recent study...

Persistent link: https://www.econbiz.de/10010316668