Search Results - "Raunig, Burkhard"

Journal Article

Firm credit risk in normal times and during the crisis: are banks less risky?

by 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...”

Publication

Background indicators

by 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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Publication

On The Interpretation of Instrumental Variables in the Presence of Specification Errors: A Causal Comment

by 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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Journal Article

Do Banks Lend Less in Uncertain Times?

by 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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Journal Article

Are economic tracking portfolios useful for forecasting output and inflation in Austria?

by 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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Journal Article

The longer-horizon predictability of German stock market volatility

by 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...”

Journal Article

A value-at-risk analysis of credit default swaps

by Raunig, Burkhard Scheicher, Martin Published in The journal of risk (01.07.2011)

“...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...”

Journal Article

Detecting ARCH Effects in Non-Gaussian Time Series

by 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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Journal Article

Money Market Uncertainty and Retail Interest Rate Fluctuations: A Cross-Country Comparison

by Raunig, Burkhard Scharler, Johann Published in German economic review (Oxford) (01.05.2009)

“...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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Journal Article

Evaluating density forecasts from models of stock market returns

by De Raaij, Gabriela Raunig, Burkhard Published in The European journal of finance (01.04.2005)

“...Density forecasts have become important in finance and play a key role in modern risk management. Using a flexible density forecast evaluation framework that...”

Journal Article

Heterogeneities within Industries and Structure-Performance Models

by Mueller, Dennis C Raunig, Burkhard Published in Review of industrial organization (01.12.1999)

“...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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Journal Article

The predictability of exchange rate volatility

by 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...”