Niko Dötz

Deutsche Bundesbank - Economics Department

Wilhelm-Epstein-Strasse 14

60431 Frankfurt am Main

Germany

SCHOLARLY PAPERS

6

DOWNLOADS

420

SSRN CITATIONS

3

CROSSREF CITATIONS

6

Scholarly Papers (6)

1.

What Can EMU Countries’ Sovereign Bond Spreads Tell Us About Market Perceptions of Default Probabilities During the Recent Financial Crisis?

Deutsche Bundesbank Discussion Paper No. 11/2010
Number of pages: 44 Posted: 08 Mar 2012
Christoph A. Fischer and Niko Dötz
Deutsche Bundesbank and Deutsche Bundesbank - Economics Department
Downloads 103 (355,809)
Citation 3

Abstract:

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sovereign bond spread, GARCH-in-mean, default probability

2.

Decomposition of Country-Specific Corporate Bond Spreads

Bundesbank Discussion Paper No. 37/2014
Number of pages: 29 Posted: 21 Jun 2016
Niko Dötz
Deutsche Bundesbank - Economics Department
Downloads 93 (379,863)
Citation 2

Abstract:

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structural models, credit spreads, risk premiums

Redemptions and Asset Liquidations in Corporate Bond Funds

Deutsche Bundesbank Discussion Paper No. 11/2019
Number of pages: 40 Posted: 12 Apr 2019
Niko Dötz and Mark Andreas Weth
Deutsche Bundesbank - Economics Department and Deutsche Bundesbank - Economics Department
Downloads 72 (446,169)

Abstract:

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Corporate bond funds, Ownership, Portfolio liquidity, Strategic complementarities

Redemptions and Asset Liquidations in Corporate Bond Funds

Discussion Paper, Deutsche Bundesbank No 11/2019
Number of pages: 40 Posted: 07 May 2019
Niko Dötz and Mark Andreas Weth
Deutsche Bundesbank - Economics Department and Deutsche Bundesbank - Economics Department
Downloads 15 (770,410)

Abstract:

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Corporate bond funds, Ownership, Portfolio liquidity, Strategic complementarities

4.

Time-Varying Contributions by the Corporate Bond and CDS Markets to Credit Risk Price Discovery

Bundesbank Series 2 Discussion Paper No. 2007,08
Number of pages: 48 Posted: 08 Jun 2016
Niko Dötz
Deutsche Bundesbank - Economics Department
Downloads 58 (491,475)
Citation 1

Abstract:

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price discovery, credit risk, corporate bonds, credit derivatives, Kalman filter

Cash Holdings of German Open-End Equity Funds: Does Ownership Matter?

Number of pages: 48 Posted: 20 Nov 2013
Niko Dötz and Mark Andreas Weth
Deutsche Bundesbank - Economics Department and Deutsche Bundesbank - Economics Department
Downloads 33 (633,418)

Abstract:

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cash holdings, equity funds, ownership, strategic complementarities, financial crisis

Cash Holdings of German Open-End Equity Funds: Does Ownership Matter?

Bundesbank Discussion Paper No. 47/2013
Number of pages: 48 Posted: 21 Jun 2016
Niko Dötz and Mark Andreas Weth
Deutsche Bundesbank - Economics Department and Deutsche Bundesbank - Economics Department
Downloads 13 (790,083)

Abstract:

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cash holdings, equity funds, ownership, strategic complementarities, financial crisis

6.

What Can Emu Countries' Sovereign Bond Spreads Tell Us About Market Perceptions of Default Probabilities During the Recent Financial Crisis?

Bundesbank Series 1 Discussion Paper No. 2010,11
Number of pages: 44 Posted: 08 Jun 2016
Niko Dötz and Christoph A. Fischer
Deutsche Bundesbank - Economics Department and Deutsche Bundesbank
Downloads 33 (611,968)

Abstract:

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Sovereign bond spread, GARCH-in-mean, default probability