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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/10005530978
In this paper the authors estimate 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. The authors have applied an innovative test procedure to a new,...
Persistent link: https://www.econbiz.de/10005428427
In this article a study of the option‐implied probability density function (PDF) of German stock returns is presented. The use of option prices allows for the quantification of the risk‐neutral probability of large movements in the DAX index. Using daily data for the period from December...
Persistent link: https://www.econbiz.de/10011198055
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
In this paper a data set with price records collected for the computation of the Austrian CPI is used to estimate the average frequency of price changes and the duration of price spells to provide empirical evidence on the degree and characteristics of price rigidity in Austria. Depending on the...
Persistent link: https://www.econbiz.de/10010727859
Persistent link: https://www.econbiz.de/10005075522
We provide empirical evidence on the degree and characteristics of price rigidity in Austria by estimating the average frequency of price changes and the duration of price spells from a large data set of individual price records collected for the computation of the Austrian CPI.
Persistent link: https://www.econbiz.de/10005020324
The consumer price index commonly computed by national statistical agencies can be interpreted as a weighted average of price indices for individual households, with the weights proportional to the total consumption expenditure of each household. In other words, the aggregate consumer price...
Persistent link: https://www.econbiz.de/10005669120
The last few decades have seen a decline in the household saving rate in Austria and other industrial countries. Using an error correction model, this paper shows that in Austria personal saving decisions are influenced by income growth, real interest rates, inflation, social security...
Persistent link: https://www.econbiz.de/10005627538
The growing theoretical and empirical literature suggests that globalization may have reduced inflation, particularly in high-income countries. Austria’s integration in the world economy has made a quantum leap over the past decade. Has this development dampened inflation in Austria? This...
Persistent link: https://www.econbiz.de/10005627541