Finance theory does not provide a comprehensive framework for explaining risk management within the imperfect financial environment in which firms operate. Corporate managers, however, rank risk management as…
This paper investigates empirically the interrelationships between the daily stock market returns of the Nikkei 225, DAX and Dow Jones Industrial index. Contrary to former work this paper uses the succession of…
In this paper, a short survey is given on the contents and some problems of the theory of optimal currency areas. In addition, a new criterion for the assessment of the optimality of a currency area is proposed:…
This paper investigates the determinants of transaction price changes during BUND-future trading at Deutsche Terminborse (DTB) and London International Financial Futures Exchange (LIFFE). The analysis uses the…
Contributions to Edited Volumes and Conference Proceedings
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1996
This paper evaluates the profitability of applying four different volatility forecastingmodels to the trading of straddles on the German stock market index DAX. Special carehas been taken to use simultaneous…
In this article we examine how model selection in neural networks can be guided by statistical procedures such as hypotheses tests,information criteria and cross validation. The application of these methods in…
Various empirical studies have shown that the time-varying volatility of asset returns can be described by GARCH (generalised autoregressive conditional heteroskedasticity) models. The corresponding GARCH option…