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~person:"Andersen, Torben"
~person:"Herwartz, Helmut"
~person:"Medeiros, Marcelo C."
~subject:"Germany"
~type_genre:"Non-commercial literature"
~type_genre:"Working Paper"
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Andersen, Torben
Herwartz, Helmut
Medeiros, Marcelo C.
Bachmann, Ronald
18
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15
Zimmermann, Klaus F.
13
Mertens, Antje
12
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11
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11
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10
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9
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9
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8
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8
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7
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7
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7
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7
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7
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7
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7
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6
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
6
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3
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ECONIS (ZBW)
13
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1
Correcting the errors : a note on
volatility
forecast evaluation based on high-frequency data and realized volatilities
Andersen, Torben
(
contributor
);
Bollerslev, Tim
(
contributor
)
-
2002
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001947554
Saved in:
2
Option pricing under time varying correlation with conditional dependence : a copula based approach to recover the index skew from the constituent dynamics
Fengler, Matthias R.
;
Herwartz, Helmut
;
Werner, Christian
-
2010
Persistent link: https://www.econbiz.de/10009240321
Saved in:
3
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:
4
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:
5
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:
6
The distribution of exchange rate
volatility
Andersen, Torben
(
contributor
)
-
1999
Persistent link: https://www.econbiz.de/10001427024
Saved in:
7
Multivariate
volatility
models
Fengler, Matthias R.
;
Herwartz, Helmut
-
2001
Persistent link: https://www.econbiz.de/10001659915
Saved in:
8
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
Persistent link: https://www.econbiz.de/10001631316
Saved in:
9
Modeling and forecasting realized
volatility
Andersen, Torben
(
contributor
)
-
2001
Persistent link: https://www.econbiz.de/10001561837
Saved in:
10
Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis
Hafner, Christian M.
;
Herwartz, Helmut
-
1999
Persistent link: https://www.econbiz.de/10001413478
Saved in:
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