Kerstin Kehrle

Independent

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

1.

The Information Content of Option Demand

Swiss Finance Institute Research Paper No. 12-43
Number of pages: 60 Posted: 16 Oct 2012 Last Revised: 14 Sep 2015
Kerstin Kehrle and Tatjana Xenia Puhan
Independent and University of Mannheim - Department of International Finance
Downloads 801 (29,497)

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Option Demand, Market Sidedness, Open Interest, Liquidity, Market Microstructure

2.

A New Marked Point Process Model for the Federal Funds Rate Target: Methodology and Forecast Evaluation

Number of pages: 44 Posted: 13 Mar 2006 Last Revised: 14 Aug 2014
Joachim Grammig and Kerstin Kehrle
Eberhard Karls Universitaet Tübingen and Independent
Downloads 305 (98,353)

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Marked Point Process, Autoregressive Conditional Hazard Model, Autoregressive Conditional Multinomial Model, Probability Forecast, Forecast Evaluation

International Price Discovery in Stock Markets - A Unique Intensity Based Information Share

Number of pages: 33 Posted: 21 Oct 2009 Last Revised: 23 Apr 2010
Kerstin Kehrle and Franziska J. Peter
Independent and Eberhard Karls Universität Tübingen
Downloads 191 (157,352)

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Price Discovery, Multivariate Autoregressive Conditional Intensity, Cross-Listed Stocks

International Price Discovery in Stock Markets - A Unique Intensity Based Information Share

Number of pages: 39 Posted: 13 Mar 2010
Kerstin Kehrle and Franziska J. Peter
Independent and Eberhard Karls Universität Tübingen
Downloads 76 (315,865)

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