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1by Raunig, Burkhard Published in Applied economics (21.05.2015)“...Bank solvency was a major issue during the financial crisis of 2007-2009, but bank credit default swap (CDS) spreads were almost always below nonbank CDS...”
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2by Raunig, Burkhard Published in Econometrics (2019)“...It is customary to assume that an indicator of a latent variable is driven by the latent variable and some random noise. In contrast, a background indicator is...”
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3by Raunig, Burkhard Published in Econometrics (2017)“...Swamy et al. (2015) argue that valid instruments cannot exist when a structural model is misspecified. This note shows that this is not true in general. In...”
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4by Raunig, Burkhard Scharler, Johann Sindermann, Friedrich Published in Economica (London) (01.10.2017)“...We study the development of bank lending in the USA after four large jumps in uncertainty using an event study approach. We find that more liquid banks slow...”
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5by Raunig, Burkhard Published in Applied financial economics (01.09.2007)“...We construct economic tracking portfolios from Austrian stock market returns, euro/dollar exchange rate changes and changes in the oil price to extract...”
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6by Raunig, Burkhard Published in International journal of forecasting (01.04.2006)“...This paper examines the predictability of the volatility of the German DAX stock index over a range of 1–45 trading days with a new test procedure. In contrast...”
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7“...We investigate the risk of holding credit default swaps (CDSs) in the trading book and compare the value-at-risk (VaR) of a CDS position with the VaR for...”
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8by Raunig, Burkhard Published in Journal of financial econometrics (20080000)“...Engles ARCH test has become the standard test for ARCH effects in applied work. Under non-normality the true rejection probability of this test can differ...”
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9“...This paper analyzes empirically the relationship between money market uncertainty and unexpected deviations in retail interest rates in a sample of ten OECD...”
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10“...Density forecasts have become important in finance and play a key role in modern risk management. Using a flexible density forecast evaluation framework that...”
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11“...This paper tests whether the results from standard structure-conduct-performance [SCP] models estimated at the industry level are sensitive to the degree of...”
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12by Raunig, Burkhard Published in Economics letters (2008)“...The model-free test procedure used in this paper suggests that exchange rate volatility is hard to predict more than 1 month ahead with time series methods...”
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