Reher, Gerrit: Policy shifts and Markov-switching in financial markets. 2010
Inhalt
- Introduction
- An exact pricing formula for European call options on zero-coupon bonds in the run-up to a currency union
- Introduction
- Previous results on exchange-rate and interest-rate dynamics
- Bond and option valuation
- Simulation study
- Conclusions
- Appendix
- Figures
- Tables
- Markov-switching in conditional heteroskedasticity models: a unifying framework with an application to the German stock market
- Introduction
- A general Markov-switching GARCH model
- Empirical application
- Conclusion
- Appendix
- Figures
- Tables
- Short-selling constraints and stock-return volatility: empirical evidence from the German stock market
- Introduction
- A Markov-switching GARCH framework
- Data and estimation results
- Conclusions
- Appendix
- Figures
- Table
- Conclusions
- References
- Programming Codes for Chapter 2
- Programming Codes for Chapter 3
- Programming Codes for Chapter 4