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Indeterminacy of rational expectations equilibria in sequential financial markets

Donati, Paola - 2003

We provide a general characterization of the structure of rational expectations equilibria of any degree of revelation for pure exchange, sequential economies, with deffinitely many states of private information, an incomplete financial market and nominal assets. We estimate the dimension of the...

Persistent link: https://www.econbiz.de/10009635915

Intergenerational altruism and neoclassical growth models

Michel, Philippe; Thibault, Emmanuel; Vidal, Jean-Pierre - 2004

This paper surveys intergenerational altruism in neoclassical growth models. It first examines Barro's approach to intergenerational altruism, whereby successive generations are linked by recursive altruistic preferences. Individuals have an altruistic concern only for their children, who in...

Persistent link: https://www.econbiz.de/10009639441

Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB

Vähämaa, Sami - 2004

This paper uses data on German government bond futures options to examine the behaviour of market expectations around monetary policy actions of the European Central Bank (ECB). In particular, this paper focuses on the asymmetries in bond market expectations, as measured by the skewness of...

Persistent link: https://www.econbiz.de/10009636538

The informational content of over-the-counter currency options

Christoffersen, Peter; Mazzotta, Stefano - 2004

Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset...

Persistent link: https://www.econbiz.de/10009639420

Modelling the implied probability of stock market movements

Glatzer, Ernst; Scheicher, Martin - 2003

In this paper we study risk-neutral densities (RNDs) for the German stock market. The use of option prices allows us to quantify the risk-neutral probabilities of various levels of the DAX index. For the period from December 1995 to November 2001, we implement the mixture of log-normals model...

Persistent link: https://www.econbiz.de/10009639855

Testing the asset pricing model of exchange rates with survey data

Naszodi, Anna - 2010

This paper proposes a new test for the asset pricing model of the exchange rate. It examines whether the way market … analysts generate their forecasts is closer to the one implied by the asset pricing model, or to any of those implied by some … alternative models. The asset pricing model is supported by the test since it has significantly better out-of-sample fit on survey …

Persistent link: https://www.econbiz.de/10009640340

Investors with too many options?

Dorn, Daniel - 2010

pricing is well understood. The search cost is estimated to average 1% of the amount invested, the same order of magnitude as …

Persistent link: https://www.econbiz.de/10009640343

The term structure of risk premia

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10009640393

A quantitative mirror on the Euribor market using implied probability density functions

Vincent-Humphreys, Rupert de; Puigvert Gutiérrez, … - 2010

This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over...

Persistent link: https://www.econbiz.de/10009640514

Systemic risk-taking

Korinek, Anton - 2011

pricing kernel that quantifies the state-contingent magnitude of such externalities and provides welfaretheoretic foundations …

Persistent link: https://www.econbiz.de/10009640834