This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest a nonlinear asymmetric GARCH(NGARCH) model as a special case. Some of these models are…
In this paper, we analyze the investment and divestment patterns of different types of venture capitalists. Using a data set embracing all venture-backed IPOs that occurred on Germany's Neuer Markt we…
Non-technical Summary This study analyses the dollar exposure of large German companies, i.e. value change of companies associated with changes of the price of the US dollar, and the determinants of this…
This paper analyses the impact of the monetary regime change from the Bundesbank to the ECB in 1999 on inflation expectations. In the theoretical part, the Barro-Gordon model is used to derive the potential…
In this book the relation between the characteristics of investors' preferences and expectations and equilibrium asset price processes are analysed. It is shown that declining elasticity of the pricing kernel…
Foreign exchange intervention is frequently being used by central banks in countries which have a floating exchange rate. Most theoretical monetary policy models, however, do not take this phenomenon into…