Johannes H. Breckenfelder

European Central Bank (ECB) - Financial Research

Economist

Sonnemannstrasse 20

D-60314 Frankfurt am Main

Germany

http://johannesbreckenfelder.eu/

SCHOLARLY PAPERS

5

DOWNLOADS
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Top 18,384

in Total Papers Downloads

2,141

CITATIONS

0

Scholarly Papers (5)

1.

Competition between High-Frequency Traders, and Market Quality

NYU Stern Microstructure Meeting 2013
Number of pages: 61 Posted: 14 May 2013 Last Revised: 04 Dec 2013
Johannes H. Breckenfelder
European Central Bank (ECB) - Financial Research
Downloads 874 (21,505)

Abstract:

competition, high-frequency trading, tick size harmonization, FESE, entry, exit

Sovereign to Corporate Risk Spillovers

Number of pages: 55 Posted: 02 Jul 2012 Last Revised: 20 Sep 2017
Patrick Augustin, Hamid Boustanifar, Johannes H. Breckenfelder and Jan Schnitzler
McGill University, Desautels Faculty of Management, BI Norwegian Business School, European Central Bank (ECB) - Financial Research and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 402 (59,587)

Abstract:

bailout, contagion, credit risk, Greece, risk transmission

Sovereign to Corporate Risk Spillovers

ECB Working Paper No. 1878
Number of pages: 58 Posted: 18 Jan 2016
Patrick Augustin, Hamid Boustanifar, Johannes H. Breckenfelder and Jan Schnitzler
McGill University, Desautels Faculty of Management, BI Norwegian Business School, European Central Bank (ECB) - Financial Research and VU University Amsterdam - Faculty of Economics and Business Administration
Downloads 75 (273,616)

Abstract:

bailout, contagion, credit risk, Greece, risk transmission

3.

Asymmetry Matters: A High-Frequency Risk-Reward Trade-Off

Number of pages: 46 Posted: 01 May 2011 Last Revised: 26 Jun 2012
Johannes H. Breckenfelder and Roméo Tédongap
European Central Bank (ECB) - Financial Research and ESSEC Business School
Downloads 370 (60,168)

Abstract:

realized variance, realized semivariance, stock market return predictability, asymmetric realized volatility, variance risk premium, high-frequency data, equilibrium asset pricing

4.

Bank and Sovereign Credit Risk: Spillover Effects from the ECB's Comprehensive Assessment

Number of pages: 40 Posted: 29 May 2015 Last Revised: 03 Mar 2017
Johannes H. Breckenfelder and Bernd Schwaab
European Central Bank (ECB) - Financial Research and European Central Bank (ECB) - Directorate General Research
Downloads 56 (124,165)

Abstract:

bank-sovereign nexus, risk contagion, stress test, European Central Bank, Comprehensive Assessment

5.

The ECB's Asset Purchase Programme: An Early Assessment

ECB Working Paper No. 1956
Number of pages: 62 Posted: 19 Sep 2016
Banque de France, European Central Bank (ECB) - Financial Research, European Central Bank (ECB) - Directorate General Research, European Central Bank (ECB) - Directorate General Research and European Central Bank (ECB)
Downloads 0 (140,748)

Abstract:

Unconventional Monetary Policy, Reanchoring Inflation Expectations, Transmission of Large-Scale Asset Purchases