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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 multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process conditional on information which is generated by...

Persistent link: https://www.econbiz.de/10009615423

Fitting the smile revisited : a least squares kernel estimator for the implied volatility surface

Fengler, Matthias R. (contributor); Wang, Qihua (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919426

Grundlagen und Konstruktion des VDAX-Volatilitätsindex der Deutschen Börse AG

Redelberger, Thomas - 1994

Persistent link: https://www.econbiz.de/10000973937

Leitfaden zu den Volatilitätsindizes der Deutschen Börse : Version 1.2

1997 - Dezember 1997

Persistent link: https://www.econbiz.de/10000975050

Privatanleger und Börse

1993

Persistent link: https://www.econbiz.de/10000877132

Frankfurter Börsenstatistik

Deutsche Börse AG - Frankfurt, M. : Dt. Börse - 1992(1993) - 1993(1994)

Persistent link: https://www.econbiz.de/10000505047

Tax clientele effects in the German bond market

Stehle, Richard; Jaschke, Stefan R.; Wernicke, S. - 1998

; duality theory ; term structure of interest rates ; smoothing splines ; tax clientele ; arbitrage bounds …

Persistent link: https://www.econbiz.de/10009574878

Volatility estimates of the short term interest rate with an application to German data

Dankenbring, Henning - 1998

theory but rather base the decision of the lag structure on a robust Lagrange Multiplier test. In contrast to U.S. data we …

Persistent link: https://www.econbiz.de/10009578570

Semiparametric modelling of the cross-section of expected returns in the German stock market

Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997

a comparable data set for Germany for the time period 1968-1990. We analyze this data set in order to identify a "best …/French for US stock returns is almost the best one in Germany. The book-to-market-ratio turns out to be the variable with highest …

Persistent link: https://www.econbiz.de/10009661022

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

We analyze daily changes of two log foreign exchange (FX) rates involving the Deutsche Mark (DEM) for the period 1975 - 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering we fit a GARCH(l,l)-model with leptokurtic...

Persistent link: https://www.econbiz.de/10009616784