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~isPartOf:"Applied quantitative finance"
~isPartOf:"CEGE Discussion Papers, Number 295 - November 2016"
~person:"Herwartz, Helmut"
~subject:"GARCH"
~subject:"Theory"
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Herwartz, Helmut
Raters, F. H. C.
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Applied quantitative finance
CEGE Discussion Papers, Number 295 - November 2016
Economics working paper
8
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
7
Journal of econometrics
6
Cege discussion paper
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Discussion papers of interdisciplinary research project 373
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International journal of forecasting
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SFB 373 Discussion Papers
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SFB 649 discussion paper
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of forecasting
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Oxford bulletin of economics and statistics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
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Annales d'économie et de statistique
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Applied quantitative finance : theory and computational tools
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CEGE Discussion Paper 375- July 2019
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CORE discussion papers : DP
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Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics
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EUI working paper
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Ecological economics : the transdisciplinary journal of the International Society for Ecological Economics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Finance : revue de l'Association Française de Finance
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International journal of central banking : IJCB
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International journal of theoretical and applied finance
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Monetary Policy Shocks, Set-identifying Restrictions, and Asset Prices : A Benchmarking Approach for Analyzing Set-identified Models
Uhrin, Gábor
-
2016
A central question for monetary policy is how asset prices respond to a monetary policy shock. We provide evidence on this issue by augmenting a monetary SVAR for US data with an asset price index, using set-identifying structural restrictions. The impulse responses show a positive asset price...
Persistent link: https://www.econbiz.de/10012978776
Saved in:
2
VaR in high dimensional systems - a conditional correlation approach
Herwartz, Helmut
;
Pedrinha, B.
;
Raters, F. H. C.
- In:
Applied quantitative finance
,
(pp. 3-23)
.
2017
Persistent link: https://www.econbiz.de/10011794950
Saved in:
3
Multivariate volatility models
Fengler, Matthias
;
Herwartz, Helmut
;
Raters, F. H. C.
- In:
Applied quantitative finance
,
(pp. 25-37)
.
2017
Persistent link: https://www.econbiz.de/10011794951
Saved in:
4
VaR in high dimensional systems : a conditional correlation approach
Herwartz, Helmut
;
Pedrinha, Bruno
- In:
Applied quantitative finance
,
(pp. 83-102)
.
2009
Persistent link: https://www.econbiz.de/10003745954
Saved in:
5
Multivariate volatility models
Fengler, Matthias R.
;
Herwartz, Helmut
- In:
Applied quantitative finance
,
(pp. 313-326)
.
2009
Persistent link: https://www.econbiz.de/10003746416
Saved in:
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