Burkhard Raunig

Austrian National Bank - Economic Studies Division

POB 61

Vienna, A-1011

Austria

SCHOLARLY PAPERS

8

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CITATIONS

2

Scholarly Papers (8)

A Value at Risk Analysis of Credit Default Swaps

ECB Working Paper No. 968
Number of pages: 34 Posted: 20 Nov 2008
Burkhard Raunig and Martin Scheicher
Austrian National Bank - Economic Studies Division and European Central Bank (ECB)
Downloads 499 (54,531)

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Credit Default Swap, Value at Risk, Structural Credit Risk Models

A Value at Risk Analysis of Credit Default Swaps

Bundesbank Series 2 Discussion Paper No. 2008,12
Number of pages: 44 Posted: 08 Jun 2016
Burkhard Raunig and Martin Scheicher
Austrian National Bank - Economic Studies Division and European Central Bank (ECB)
Downloads 67 (339,607)

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Credit default swap, Value at Risk, Capital structure arbitrage

2.

New Evidence on the Longer Horizon Predictability of Return Volatility of the German DAX: An Assessment with Model-Free Test Procedures

Number of pages: 24 Posted: 01 Mar 2002
Burkhard Raunig
Austrian National Bank - Economic Studies Division
Downloads 150 (194,466)

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Financial returns volatility, predictability, forecasting, interval forecast evaluation, density forecast evaluation

3.

Detecting Autoregressive Conditional Heteroskedasticity in Non-Gaussian Time Series

EFMA 2004 Basel Meetings Paper
Number of pages: 26 Posted: 28 May 2004
Burkhard Raunig
Austrian National Bank - Economic Studies Division
Downloads 146 (198,782)

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ARCH, GARCH, hypothesis testing

4.

The Credit Risk of Banks and Non-Banks During the Crisis: Evidence from the CDS Market

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 40 Posted: 17 Sep 2011
Burkhard Raunig
Austrian National Bank - Economic Studies Division
Downloads 129 (219,539)
Citation 2

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Banks, credit risk, credit default swap, financial crisis, loss given default, risk premium

5.

Money Market Uncertainty and Retail Interest Rate Fluctuations: A Cross-Country Comparison

Number of pages: 16 Posted: 22 Feb 2007
Burkhard Raunig and Johann Scharler
Austrian National Bank - Economic Studies Division and University of Linz - Department of Economics
Downloads 115 (239,237)

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Interest Rate Pass-Through, Relationship Banking, Conditional Volatility

6.

Evaluating Density Forecasts with an Application to Stock Market Returns

Bundesbank Series 1 Discussion Paper No. 2002,08
Number of pages: 37 Posted: 08 Jun 2016
Burkhard Raunig and Gabriela De Raaij
Austrian National Bank - Economic Studies Division and affiliation not provided to SSRN
Downloads 7 (598,305)

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Density forecasting, Forecast evaluation, Risk management, GARCH-models

7.

Do Banks Lend Less in Uncertain Times?

Economica, Vol. 84, Issue 336, pp. 682-711, 2017
Number of pages: 30 Posted: 01 Sep 2017
Burkhard Raunig, Friedrich Sindermann and Johann Scharler
Austrian National Bank - Economic Studies Division, Government of Austria - Parliamentary Budget Office and University of Innsbruck
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8.

Detecting Arch Effects in Non-Gaussian Time Series

Journal of Financial Econometrics, Vol. 6, Issue 2, pp. 271-289, 2008
Posted: 10 Jul 2008
Burkhard Raunig
Austrian National Bank - Economic Studies Division

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C12, C14, C22, C52, ARCH, GARCH, bootstrap, Monte Carlo tests, distributional assumptions