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~institution:"Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse"
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Theorie
256
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95
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95
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54
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54
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53
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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
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10
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9
Yang, Lijian
9
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7
Lanne, Markku
7
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7
Weder, Mark
7
Werwatz, Axel
7
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6
Candelon, Bertrand
6
Giesecke, Kay
6
Hafner, Christian M.
6
Jaschke, Stefan R.
6
Mammen, Enno
6
Mertens, Antje
6
Müller, Wieland
6
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6
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5
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5
Horst, Ulrich
5
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5
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5
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5
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5
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5
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5
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5
Wolters, Jürgen
5
Bank, Peter
4
Boztuğ, Yasemin
4
Brüggemann, Ralf
4
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4
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4
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
National Bureau of Economic Research
10,759
International Monetary Fund (IMF)
1,059
International Monetary Fund
507
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
504
Forschungsinstitut zur Zukunft der Arbeit
479
Edward Elgar Publishing
422
OECD
373
Institut für Weltwirtschaft
360
Ekonomiska forskningsinstitutet <Stockholm>
327
Springer Fachmedien Wiesbaden
313
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299
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290
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271
IGI Global
216
C.E.P.R. Discussion Papers
189
Internationaler Währungsfonds / Research Department
159
Centre for Economic Policy Research
155
Kiel Institute for the World Economy
142
Federal Reserve Bank of St. Louis
132
Zentrum für Europäische Wirtschaftsforschung
132
Foerder Institute for Economic Research <Tēl-Āvîv>
131
Umeå universitet
128
Universitat Pompeu Fabra / Departament d'Economia i Empresa
126
Institute for the Study of Labor (IZA)
121
World Bank Group
113
University of Exeter / Department of Economics
109
Université catholique de Louvain / Institut de recherches économiques et sociales <1941-1960>
108
Institut für Schweizerisches Bankwesen <Zürich>
106
Social Systems Research Institute
105
Federal Reserve Bank of San Francisco
103
EconWPA
100
Federal Reserve System / Board of Governors
95
HAL
95
William Davidson Institute <Ann Arbor, Mich.>
94
Springer-Verlag GmbH
92
Federal Reserve Bank of New York
90
Massachusetts Institute of Technology / Department of Economics
90
Universitetet i Oslo / Økonomisk institutt
89
Australian National University / Faculty of Economics and Commerce
88
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Discussion papers of interdisciplinary research project 373
341
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ECONIS (ZBW)
341
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1
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341
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1
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:
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
A local instrumental
estimation
method for generalized additive
volatility
models
Kim, Woocheol
;
Linton, Oliver
-
2000
already discussed in the literature. We also propose a new
estimation
procedure based on a localization of the econometric …
Persistent link: https://www.econbiz.de/10009612037
Saved in:
4
Semiparametric modelling of the cross-section of expected returns in the German stock market
Stehle, Richard
;
Bunke, Olaf
;
Sommerfeld, Volker
-
1997
partial
correlation
with the stock return. In most of the annual regressions the corresponding coefficients have the correct …
Persistent link: https://www.econbiz.de/10009661022
Saved in:
5
Weekday dependence of German stock market returns
Herwartz, Helmut
-
1999
exchange the paper compares
estimation
results of parametric and nonparametric autoregressive models with respect to possible … against time varying means and
correlation
of return data in parametric models and to obtain confidence bands for …
Persistent link: https://www.econbiz.de/10009580468
Saved in:
6
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:
7
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:
8
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:
9
Financial price fluctuations in a stock market model with many interacting agents
Horst, Ulrich
-
2001
We consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on the previous states of their "neighbors" and on a random signal about the...
Persistent link: https://www.econbiz.de/10009613599
Saved in:
10
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:
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