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  1. Essays in empirical dynamic asset pricing
    methods and applications in foreign exchange
    Autor*in: Umlandt, Dennis
    Erschienen: 2020

    Standort:
    Universitätsbibliothek Kiel, Zentralbibliothek
    Signatur:
    TH 12963
    Fernleihe:
    uneingeschränkte Fernleihe, Kopie und Ausleihe
    Standort:
    Universitätsbibliothek Kiel, Zentralbibliothek
    Signatur:
    TH 12963 Archivexpl
    Fernleihe:
    uneingeschränkte Fernleihe, Kopie und Ausleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    C 282990
    Fernleihe:
    uneingeschränkte Fernleihe, Kopie und Ausleihe
    Export in Literaturverwaltung   RIS-Format
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    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Beteiligt: Reitz, Stefan (AkademischeR BetreuerIn)
    Sprache: Englisch
    Medientyp: Dissertation
    Format: Druck
    Schlagworte: Kapitalmarkttheorie; Wechselkurs; Risikoprämie; Kapitalmarktrendite; Schätzung; Welt
    Umfang: 125 Blätter, Illustrationen, Diagramme
    Bemerkung(en):

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    Dissertation, Christian-Albrechts-Universität zu Kiel, 2019
  2. Foreign exchange dealer asset pricing
    Autor*in: Reitz, Stefan; Umlandt, Dennis
    Erschienen: [2019]
    Verlag:  Deutsche Bundesbank, Frankfurt am Main

    We show that excess returns to the carry trade can be interpreted as compensation for foreign exchange dealers' capital risk. Given that the top market makers in foreign exchange are at the heart of the market's information aggregation process we... mehr

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    Standort:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 12
    Fernleihe:
    keine Fernleihe

     

    We show that excess returns to the carry trade can be interpreted as compensation for foreign exchange dealers' capital risk. Given that the top market makers in foreign exchange are at the heart of the market's information aggregation process we also suggest that it is their marginal value of wealth which prices foreign currencies. Consistent with this hypothesis the empirical results show that shocks to the equity capital ratios of the top three foreign exchange dealers have explanatory power for the cross-sectional variation in expected currency market returns, while those of the average dealer provide no substantial additional information.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9783957296375
    Weitere Identifier:
    hdl: 10419/204657
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; no 2019, 39
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  3. Dynamic mixture vector autoregressions with score-driven weights
    Autor*in: Gretener, Alexander Georges; Neuenkirch, Matthias; Umlandt, Dennis
    Erschienen: April 2023
    Verlag:  CESifo, Munich, Germany

    We propose a novel dynamic mixture vector autoregressive (VAR) model in which time-varying mixture weights are driven by the predictive likelihood score. Intuitively, the state weight of the k-th component VAR model in the subsequent period is... mehr

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    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63
    Fernleihe:
    keine Fernleihe

     

    We propose a novel dynamic mixture vector autoregressive (VAR) model in which time-varying mixture weights are driven by the predictive likelihood score. Intuitively, the state weight of the k-th component VAR model in the subsequent period is increased if the current observation is more likely to be drawn from this particular state. The model is not limited to a specific distributional assumption and allows for straight-forward likelihood-based estimation and inference. We conduct a Monte Carlo study and find that the score-driven mixture VAR model is able to adequately filter and predict the mixture dynamics from a variety of different data generating processes, which other observation-driven dynamic mixture VAR models cannot appropriately handle. Finally, we illustrate our approach by an application where we model the conditional joint distribution of economic and financial conditions and derive generalized impulse responses.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/272010
    Schriftenreihe: CESifo working papers ; 10366 (2023)
    Schlagworte: dynamic mixture models; generalized autoregressive score models; macro-finance linkages; nonlinear VAR
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  4. Dynamic mixture vector autoregressions with score-driven weights
    Autor*in: Gretener, Alexander Georges; Neuenkirch, Matthias; Umlandt, Dennis
    Erschienen: [2022]
    Verlag:  Universität Trier, Trier

    We propose a novel dynamic mixture vector autoregressive (VAR) model in which timevarying mixture weights are driven by the predictive likelihood score. Intuitively, the state weight of the k-th component VAR model in the subsequent period is... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 434
    Fernleihe:
    keine Fernleihe

     

    We propose a novel dynamic mixture vector autoregressive (VAR) model in which timevarying mixture weights are driven by the predictive likelihood score. Intuitively, the state weight of the k-th component VAR model in the subsequent period is increased if the current observation is more likely to be drawn from this particular state. The model is not limited to a specific distributional assumption and allows for straightforward likelihood-based estimation and inference. We conduct a Monte Carlo study and find that the score-driven mixture VAR model is able to adequately filter the mixture dynamics from a variety of different data generating processes which most other observation-driven dynamic mixture VAR models cannot appropriately cope with. Finally, we illustrate our approach by an application where we model the conditional joint distribution of economic and financial conditions and derive generalized impulse responses.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/272353
    Schriftenreihe: Research papers in economics ; no. 22, 2
    Schlagworte: Dynamic Mixture Models; Generalized Autoregressive Score Models; Macro-Financial Linkages; Nonlinear VAR
    Umfang: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  5. (Almost) recursive identification of monetary policy shocks with economic parameter restrictions
    Autor*in: Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis
    Erschienen: [2023]
    Verlag:  Universität Trier, Trier

    Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 434
    Fernleihe:
    keine Fernleihe

     

    Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization problem under non-linear constraints using an augmented Lagrange solution approach, which adjusts the VAR coefficients to meet the theoretical requirements. In a generalization, we allow for a (minimal) rotation of the Cholesky matrix in addition to the parameter restrictions. Based on a Monte Carlo study and an empirical application, we show that particularly the "almost recursively identified approach with parameter restrictions" leads to a solution that avoids an estimation bias, generates theory-consistent impulse responses, and is as close as possible to the recursive scheme.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/274112
    Auflage/Ausgabe: First Draft: January 9, 2023
    Schriftenreihe: Research papers in economics ; no. 23, 1
    Schlagworte: Monetary Policy Transmission; Non-Linear Optimization; Price Puzzle; Recursive Identification; Rotation; Sign Restrictions
    Umfang: 1 Online-Ressource (circa 30 Seiten)
  6. (Almost) recursive identification of monetary policy shocks with economic parameter restrictions
    Autor*in: Burgard, Jan Pablo; Neuenkirch, Matthias; Umlandt, Dennis
    Erschienen: January 2023
    Verlag:  CESifo, Munich, Germany

    Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the... mehr

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63
    Fernleihe:
    keine Fernleihe

     

    Recursively identified vector autoregressive (VAR) models often lead to a counterintuitive response of prices (and output) shortly after a monetary policy shock. To overcome this problem, we propose to estimate the VAR parameters under the restriction that economic theory is not violated, while the shocks are still recursively identified. We solve this optimization problem under non-linear constraints using an augmented Lagrange solution approach, which adjusts the VAR coefficients to meet the theoretical requirements. In a generalization, we allow for a (minimal) rotation of the Cholesky matrix in addition to the parameter restrictions. Based on a Monte Carlo study and an empirical application, we show that particularly the "almost recursively identified approach with parameter restrictions" leads to a solution that avoids an estimation bias, generates theory-consistent impulse responses, and is as close as possible to the recursive scheme.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/271863
    Schriftenreihe: CESifo working papers ; 10219 (2023)
    Schlagworte: monetary policy transmission; non-linear optimization; price puzzle; recursive identification; rotation; sign restrictions
    Umfang: 1 Online-Ressource (circa 31 Seiten), Illustrationen