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Dorn, Daniel - 2010

During the last decade, markets for covered warrants (bank-issued options) have flourished in Europe and Asia. In these markets, investors often face a choice between many instruments that differ only slightly from each other. Based on retail trades in call options on the German DAX index, this...

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

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

An empirical analysis of price setting behaviour in the Netherlands in the period 1998-2003 using micro data

Jonker, Nicole; Folkertsma, Carsten; Blijenberg, Harry - 2004

In this paper we examine pricing behaviour of retail firms in the Netherlands during 1998-2003 using a large database with monthly price quotes of 49 articles, representing different product types. We have conducted this study in order to gain in sight in the degree of nominal rigidity of...

Persistent link: https://www.econbiz.de/10009639473

Besser, aber noch nicht die Besten : unternehmenspolitische Maßnahmen zur Steigerung der Wettbewerbsfähigkeit Europas ; Arbeitsdokument der Kommissionsdienststellen

Europäische Kommission - 2000

Will die Europäische Union ihr erklärtes Ziel erreichen, sich zur wettbewerbsfähigsten und dynamischsten wissensbasierten Wirtschaft der Welt zu entwickeln, dann muss sie ihre Wettbewerbsleistung drastisch steigern. Obwohl sie die besten makroökonomischen Bedingungen des Jahrzehnts und...

Persistent link: https://www.econbiz.de/10009635873

Volatility of interest rates in the euro area

Cassola, Nuno; Morana, Claudio - 2003

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission along the euro area money market yield curve. A new multivariate unobserved components model is proposed allowing for both long-memory and stationary cyclical dynamics. Using...

Persistent link: https://www.econbiz.de/10009635972

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

Vähämaa, Sami - 2004

expectations, as measured by the skewness of option-implied probability distributions of future bond yields. The results show that …

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

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

data than simpler models including the random walk. The traditional test based on forecasting ability is applied as well …

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

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 statistical moments of these option-implied probability density functions are documented until April 2010. Particular … attention is given to how these probability density functions, and their associated summary statistics, reacted to the unfolding …

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