University of St. Gallen - School of Finance
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Credit spreads, structural models, quantile regression, counterfactual analysis, ambiguity aversion
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File name: DP8714.
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ambiguity aversion, counterfactual analysis, credit spreads, quantile regression, structural models
credit spreads, structural models, quantile regression, counterfactual analysis, ambiguity aversion
Contagion, state-dependent sensitivity value-at-risk (SDSVaR), quantile
Change-point tests; correlation breaks; dynamic conditional correlation (DCC); multivariate GARCH models; spurious conditional correlation
Change-point tests, correlation breaks, dynamic conditional correlation (DCC), multivariate GARCH models, spurious conditional correlation
Emerging markets, Asia, Latin America, Eastern Europe, hedge funds, Johansen cointegration test, asset allocation, portfolio diversification
Implied volatility, VIX and VDAX indices, bivariate VECH GARCH model, macroeconomic announcements
securitized real estate, weak-form market efficiency, random walk hypothesis, variance ratio tests, runs test, trading strategies
Portfolio optimization, Portfolio revision, Jackknife, Transaction costs
Financial crises, macroeconomic announcements, price discovery process, information transmission process, high-frequency data
Risk spillovers, state-dependent sensitivity value-at-risk (SDSVaR), quantile regression, financial institutions, hedge funds
Electricity Futures, Fundamental Model, Derivatives Pricing, Forward-looking Information, Enlargement of Filtrations
Spatial autocorrelation, volatility spillover effects, contagion, dynamic panel estimation, GARCH process
Government partisanship, stock market performance, elections, GARCH modeling, political information, price formation
REITs, fundamental value, geographic diversification, information diffusion, risk spillovers, state-dependent sensitivity VaR (SDSVaR)
Corporate Bonds, Liquidity, Transparency, Information Quality, Financial Crises
Government partisanship, stock market performance, industrial sectors, German federal elections, GARCH modeling, redistribution
Electricity Pricing, Fundamental Model, Multi-Market Modeling, Derivatives
Energy Market Coupling, Electricity Market Reforms, Explicit and Implicit Auction, Price Convergence
Partisan effects, U.S. presidential election, prediction markets, systematic risk, conditional and implied volatility, instrumental variable estimation
Divided Government, Economic Policy, Financial Risk, Volatility, Stock Markets
Multivariate dynamic copulas, regime-switching copulas, dynamic conditional correlation (DCC) model, forecast performance, tail dependence
Information density, jump identification, macroeconomic announcements, noisy information, price discovery process
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: j-6229.
File name: j-6229.
Private Equity, Buyout, Deal sourcing, Networks, Educational Tie, MBA
house price inflation, demand and supply factors, federal funds rate, monetary policy
Classification and Regression Tree (CART) Technique, Forecast Evaluation, Hedonic Pricing Model, Rental Prices, Spatiotemporal Autoregressive (STAR) Model
Commercial real estate, cross-sectional dependence, opaque markets, spatial econometrics, market transparency
File name: REEC.
REITs, fundamental value, geographic diversification, risk spillovers, state-dependent sensitivity VaR (SDSVaR)
Panel cointegration analysis, FMOLS regression, error correction model, urban rent models, German office market
Spatial regression, Hedonic price model, Anisotropic spatial correlation, Simultaneous autoregressive model, Housing market
Corporate governance, corporate performance, firm value, leverage, managerial ownership, REITs
Regime-switching, non-linear estimation, time-varying rental adjustment process, rental cycle, UK real estate market
Smooth transition (auto) regression (STAR) models, non-linear estimation technique, (time-varying) rental adjustment process, rental cycle, UK real estate market
Venture capital investment, macro economy, cointegration test, VECM, Granger causality, variance decomposition
Quantile regression, funds of hedge funds, performance, asset under management, fund age, fund manager's experience
Fixed income portfolios, copula opinion pooling (COP) methodology, portfolio optimization, Monte Carlo simulations, hedge funds, robust Bayesian methods, non-normal return distributions, co-dependent markets, prior and posterior allocation
Commodities, risk management, value-at-risk (VaR), GARCH modelling, conditional autoregressive value-at-risk (CAViaR), quantile regression
Housing market, macroeconomy, panel cointegration, FMOLS, DOLS
private real estate, property companies, REITs, equity market, correlation structure, investment horizon, cointegration analysis, Johansen test, stock market
Hedge fund strategies, Stock markets, Tactical and strategic asset allocation, Portfolio optimization, Multivariate cointegration analysis, Johansen test
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