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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
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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
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Bootstrap inference in single equation error correction models
Herwartz, Helmut; Neumann, Michael H. - 2000
assumptions on weak exogeneity and cointegration. We consider OLS-based tests on long-run relationships, weak exogeneity and short … correction models ; panel cointegration analysis ; bootstrap …
Persistent link: https://www.econbiz.de/10009612036
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Forecasting performance of market share attraction models : a comparison of different models assuming that competitors’ actions are forecasts
Klapper, Daniel; Herwartz, Helmut - 1998
Persistent link: https://www.econbiz.de/10009578563
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Weekday dependence of German stock market returns
Herwartz, Helmut - 1999
The so-called 'Monday effect ' has been found for various stock markets of the world. The empirical finding that Monday returns are significantly smaller than returns measured for the remaining days of the week calls the efficiency hypothesis for pricing processes operating on stock markets into...
Persistent link: https://www.econbiz.de/10009580468