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~institution:"Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse"
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Härdle, Wolfgang
27
Lütkepohl, Helmut
23
Saikkonen, Pentti
17
Gil-Alaña, Luis A.
15
Breitung, Jörg
12
Herwartz, Helmut
12
Güth, Werner
11
Föllmer, Hans
10
Küchler, Uwe
9
Yang, Lijian
9
Fengler, Matthias R.
7
Lanne, Markku
7
Schweizer, Martin
7
Burda, Michael C.
6
Candelon, Bertrand
6
Giesecke, Kay
6
Hafner, Christian M.
6
Mammen, Enno
6
Mertens, Antje
6
Werwatz, Axel
6
Hildebrandt, Lutz
5
Holtemöller, Oliver
5
Horst, Ulrich
5
Jaschke, Stefan R.
5
Kleinow, Torsten
5
Linton, Oliver
5
Müller, Wieland
5
Schulz, Rainer
5
Sperlich, Stefan
5
Strobel, Martin
5
Trenkler, Carsten
5
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5
Weder, Mark
5
Wolters, Jürgen
5
Bank, Peter
4
Boztuğ, Yasemin
4
Brüggemann, Ralf
4
Buckwar, Evelyn
4
Engelmann, Dirk
4
Gushchin, Alexander A.
4
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
National Bureau of Economic Research
9,532
Forschungsinstitut zur Zukunft der Arbeit
479
International Monetary Fund (IMF)
435
OECD
421
Edward Elgar Publishing
416
Ekonomiska forskningsinstitutet <Stockholm>
314
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
314
Springer Fachmedien Wiesbaden
306
International Monetary Fund
299
Center for Economic Research <Tilburg>
293
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260
Institut für Weltwirtschaft
216
IGI Global
214
World Bank
198
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151
Internationaler Währungsfonds / Research Department
147
Foerder Institute for Economic Research <Tēl-Āvîv>
130
Umeå universitet
128
Universitat Pompeu Fabra / Departament d'Economia i Empresa
120
Zentrum für Europäische Wirtschaftsforschung
118
University of Exeter / Department of Economics
109
Université catholique de Louvain / Institut de recherches économiques et sociales <1941-1960>
106
Social Systems Research Institute
105
Federal Reserve Bank of St. Louis
94
Springer-Verlag GmbH
92
Massachusetts Institute of Technology / Department of Economics
89
Australian National University / Faculty of Economics and Commerce
88
C.E.P.R. Discussion Papers
88
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86
Johns Hopkins University / Department of Economics
86
Universitetet i Oslo / Økonomisk institutt
86
Centre for Analytical Finance <Århus>
85
Federal Reserve Bank of San Francisco
85
Columbia University / Department of Economics
84
Institut für Schweizerisches Bankwesen <Zürich>
83
William Davidson Institute <Ann Arbor, Mich.>
83
Erasmus Research Institute of Management
80
Federal Reserve System / Division of Research and Statistics
80
Technische Universität Dresden / Fakultät Wirtschaftswissenschaften
80
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Discussion papers of interdisciplinary research project 373
334
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ECONIS (ZBW)
334
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1
Common factors governing VDAX movements and the maximum loss
Härdle, Wolfgang
;
Schmidt, Peter
-
2000
tool for options portfolios using the "Maximum Loss" methodology based on Principal Components. -- Implied
Volatility
; DAX …
Persistent link: https://www.econbiz.de/10009612026
Saved in:
2
Cyclical correlations, credit contagion, and portfolio losses
Giesecke, Kay
(
contributor
);
Weber, Stefan
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001919109
Saved in:
3
Quantile hedging
Föllmer, Hans
;
Leukert, Peter
-
1998
which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic
volatility
; value at …
Persistent link: https://www.econbiz.de/10009574876
Saved in:
4
A note on stochastic
volatility
, GARCH models, and hyperbolic distributions
Jaschke, Stefan R.
-
1997
We establish a relation between stochastic
volatility
models and the class of generalized hyperbolic distributions …
Persistent link: https://www.econbiz.de/10009577459
Saved in:
5
Flexible stochastic
volatility
structures for high frequency financial data
Feldmann, David
;
Härdle, Wolfgang
;
Hafner, Christian M.
; …
-
1998
Stochastic
Volatility
(SV) models are widely used in financial applications. To decide whether standard parametric …
Persistent link: https://www.econbiz.de/10009578026
Saved in:
6
Modelling exchange rates
volatility
with multivariate long-memory ARCH processes
Teyssière, Gilles
-
1999
-
Rev.
, and the Deutschmark-US dollar. The
estimation
results for both models show: (i) that the unrestricted model outperforms …
Persistent link: https://www.econbiz.de/10009579181
Saved in:
7
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:
8
Semiparametric diffusion
estimation
and application to a stock market index
Härdle, Wolfgang
;
Kleinow, Torsten
;
Korostelev, …
-
2001
The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...
Persistent link: https://www.econbiz.de/10009613611
Saved in:
9
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
Saved in:
10
Estimation
and arbitrage opportunities for exchange rate baskets
Mercurio, Danilo
;
Torricelli, Costanza
-
2001
estimation
…
Persistent link: https://www.econbiz.de/10009613598
Saved in:
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