Springer Science and Business Media LLC
1555-4961
1555-497X
Cơ quản chủ quản: N/A
Phân tích ảnh hưởng
Các bài báo tiêu biểu
An application of the Black–Litterman model with EGARCH-M-derived views for international portfolio management
Tập 21 Số 2 - Trang 147-166 - 2007
Correlations and business cycles of credit risk: Evidence from bankruptcies in Germany
Tập 17 - Trang 309-331 - 2003
Three aspects of the Swiss term structure: an empirical survey
Tập 21 - Trang 221-240 - 2007
The term structure is an important transmitter of, and indicator for, monetary
policy. This paper studies the Swiss term structure using monthly data from 1989
to 2005. We study the impact of the new monetary policy strategy that the Swiss
National Bank (SNB) adopted at the beginning of 2000 on three aspects of the
term structure. First, we test the expectations hypothesis and find it confirmed
at...
Staged Financing of Start-ups
Tập 20 - Trang 185-203 - 2006
From a theoretical perspective, staged financing of start-ups mainly serves to
reduce agency risks for investors dealing with founders. This risk reduction is
partly offset by the transaction costs caused by staged financing. From the
perspective of founders, staging can reduce the cost of equity, but it also
increases the share of external company and market risks they have to bear. Our
empirical...
Euan Sinclair: Option Trading—Pricing and Volatility Strategies and Techniques
Tập 25 - Trang 339-340 - 2011
Interest Rates and Exchange Rate Movements: Analyzing Short-term Investments in Long-term Bonds
Tập 20 - Trang 205-220 - 2006
Tests of the uncovered interest rate parity (UIP) are subject to various data
problems when long-term interest rates are applied: due to the long investment
period, time intervals for measuring exchange rate movements are usually
overlapping and therefore not independent. This shortfall can be prevented by
considering short-term investments in long-term bonds instead of investments to
maturity. Th...
Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering
Tập 25 - Trang 477-478 - 2011
Price–volume relations of DAX companies
Tập 21 - Trang 353-379 - 2007
This study provides empirical evidence of the joint dynamics between stock
returns and trading volume using stock data of DAX companies. Contemporaneous as
well as dynamic interactions are investigated for a period from January 1994 to
December 2005 on a daily basis. Our results suggest that there is almost no
relationship between stock return levels and trading volume in either direction.
We find...