Zobrazeno 1 - 9
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pro vyhledávání: '"Kathi Schlepper"'
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
Journal of Financial and Quantitative Analysis. 55:193-221
We study quantitative easing (QE) policies from a microstructure perspective, drawing on intraday transaction-level data for German bonds (purchased under the Eurosystem’s QE program). An initial analysis of purchase decisions reveals that portfoli
Publikováno v:
SSRN Electronic Journal.
This paper analyzes the inflation processes of twelve Euro Area countries over the period 1984:q1-2017:q4. The stylized features of inflation uncover its changing nature and cross-country heterogeneity, in terms of mean, volatility and persistence. A
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the public sector purchase program (PSPP) of the ECB/Eurosystem. This paper is
Autor:
Kathi Schlepper
Publikováno v:
SSRN Electronic Journal.
In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures market. Using a new dataset based on microseconds, the focus of the study is on the reaction of high-frequency traders (HFTs) to ma
Publikováno v:
SSRN Electronic Journal.
We propose an approach to estimate and explain the risk premium in carbon and energy futures markets. First, we develop a parsimonious and robust state space model that allows for a time-varying risk premium and apply it to CO2, oil, and gas futures