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Kreditderivate : Überblick und Auswirkungen auf Geldpolitik und Finanzmarktstabilität

Scheicher, Martin - In: Finanzmarktstabilitätsbericht (2003), pp. 108-126

Persistent link: https://www.econbiz.de/10001815320

Nonlinear dynamics : evidence for a small stock exchange

Scheicher, Martin - In: Empirical economics : a journal of the Institute for … 24 (1999) 1, pp. 45-59

Persistent link: https://www.econbiz.de/10001353414

An analysis of euro area sovereign CDS and their relation with government bonds

Fontana, Alessandro; Scheicher, Martin - 2010

This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010. We first compare the determinants of CDS spreads and bond spreads and...

Persistent link: https://www.econbiz.de/10008746582

A switching ARCH model for German DAX index

Kaufmann, Sylvia (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 4, pp. 1-35

Persistent link: https://www.econbiz.de/10003559162

The forecasting performance of German stock option densities

Craig, Ben R.; Glatzer, Ernst; Keller, Joachim; … - 2003

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...