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~isPartOf:"Discussion papers of interdisciplinary research project 373"
~person:"Andersen, Torben"
~person:"Herwartz, Helmut"
~person:"Medeiros, Marcelo C."
~subject:"Estimation"
~type_genre:"Working Paper"
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Estimation
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Volatilität
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Andersen, Torben
Herwartz, Helmut
Medeiros, Marcelo C.
Härdle, Wolfgang
4
Mertens, Antje
4
Fengler, Matthias R.
3
Hafner, Christian M.
2
Teyssière, Gilles
2
Bergemann, Annette
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Discussion papers of interdisciplinary research project 373
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
6
Econometric Institute research papers
4
Texto para discussão / Pontifícia Universidade Católica do Rio de Janeiro, Departamento de Economia
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ECONIS (ZBW)
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On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the Group of Seven
Herwartz, Helmut
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001918978
Saved in:
2
Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications
Herwartz, Helmut
;
Reimers, Hans-Eggert
-
2001
- 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for
volatility
e1ustering … prices. Having identified subperiods of homogeneous
volatility
dynamics we concentrate on stylized facts to distinguish these …
volatility
regimes. The bottom level of estimated
volatility
turns out be considerably higher during the second part of the …
Persistent link: https://www.econbiz.de/10009616784
Saved in:
3
Multivariate
volatility
models
Fengler, Matthias R.
;
Herwartz, Helmut
-
2001
Multivariate
Volatility
Models belong to the class of nonlinear models for financial data. Here we want to focus on …
Persistent link: https://www.econbiz.de/10009615423
Saved in:
4
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.
;
Herwartz, Helmut
-
1999
prices caused by stochastic
volatility
. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …
Persistent link: https://www.econbiz.de/10009580460
Saved in:
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