Market Maker Inventory, Bid–Ask Spreads, and the Computation of Option Implied Risk Measures

Autor: Bjørn Eraker, Daniela Osterrieder

Publikováno v: Journal of Financial Econometrics.

We present empirical evidence showing that option-implied risk measures (OIRMs) are substantially impacted by bid–ask spreads in underlying options. Asking prices are more sensitive to shocks than bids, leading to highly skewed distributions of spr

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::ec2d8b80a8c0aa0cdf83c1c308d07aeb
https://doi.org/10.1093/jjfinec/nbac025

Evaluating Panel Regression Estimators in Corporate Finance: Evidence from CEO Pay

Autor: Ge Wu, Daniela Osterrieder, Darius Palia

Publikováno v: SSRN Electronic Journal.

The use of panel data in corporate finance is ubiquitous to estimate the impact of managers' and/or shareholders’ choices on firm value. We evaluate the properties of four existing and widely used estimators (pooled OLS, random-effects, first-diffe

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::9d95c78e90974c65ea1225e2e90079d4
https://doi.org/10.2139/ssrn.3168947

Risk and return: Long-run relations, fractional cointegration, and return predictability

Autor: Natalia Sizova, Tim Bollerslev, Daniela Osterrieder, George Tauchen

Publikováno v: Bollerslev, T, Osterrieder, D, Sizova, N & Tauchen, G 2013, ' Risk and return: Long-run relations, fractional cointegration, and return predictability ', Journal of Financial Economics, vol. 108, no. 2, pp. 409-424 . https://doi.org/10.1016/j.jfineco.2013.01.002

Univariate dependencies in market volatility, both objective and risk neutral, are best described by long-memory fractionally integrated processes. Meanwhile, the ex post difference, or the variance swap payoff reflecting the reward for bearing volat

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ca819a21fcd73f997f64209898e84fa3
https://doi.org/10.1016/j.jfineco.2013.01.002

Predicting Returns with a Co-Fractional VAR Model

Autor: Peter C. Schotman, Daniela Osterrieder

Publikováno v: SSRN Electronic Journal.

We use co-fractional models to evaluate the predictive relations between returns and a valuation ratio. The co-fractional model can handle situations where financial returns are predicted using persistent valuation ratios, like dividend to price. For

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::97cf53e5bc5332785b28f699670cdead
https://doi.org/10.2139/ssrn.1745020

Unbalanced Regressions and the Predictive Equation

Autor: Daniela Osterrieder, Daniel Ventosa-Santaulària, J. Eduardo Vera-Valdés

Publikováno v: Aalborg University
Osterrieder, D, Ventosa-Santaulària, D & Vera-Valdés, J E 2015 ' Unbalanced Regressions and the Predictive Equation ' Institut for Økonomi, Aarhus Universitet, Aarhus .
Osterrieder, D, Ventosa-Santaulària, D & Vera-Valdés, J E 2015 ' Unbalanced Regressions and the Predictive Equation ' Aarhus Universitetsforlag, pp. 1-56 . < http://pure.au.dk/portal/files/84755474/rp15_09.pdf >

Predictive return regressions with persistent regressors are typically plagued by (asymptotically) biased/inconsistent estimates of the slope, non-standard or potentially even spurious statistical inference, and regression unbalancedness. We alleviat

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::92e6111458a5830ae39c9ab781e4de50
https://vbn.aau.dk/en/publications/54765907-67a9-404b-ac79-ad39047ed42b