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~institution:"Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse"
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Härdle, Wolfgang
12
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Fengler, Matthias R.
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Hafner, Christian M.
5
Platen, Eckhard
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Spokojnyj, Vladimir G.
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
National Bureau of Economic Research
1,423
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
272
C.E.P.R. Discussion Papers
116
EconWPA
66
Institut für Schweizerisches Bankwesen <Zürich>
49
Society for Computational Economics - SCE
49
Federal Reserve Bank of St. Louis
42
Université Paris-Dauphine (Paris IX)
42
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39
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33
Ekonomiska forskningsinstitutet <Stockholm>
32
Bank of Canada
30
Centre for Analytical Finance <Århus>
28
Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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26
Chambre de commerce et d'industrie de Paris
25
CESifo
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24
Agricultural and Applied Economics Association - AAEA
23
Society for Economic Dynamics - SED
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
22
Rodney L. White Center for Financial Research
22
Federal Reserve Bank of San Francisco
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Institute of Finance and Accounting <London>
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Sonderforschungsbereich Ökonomisches Risiko <Berlin>
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Springer Fachmedien Wiesbaden
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Svenska Handelshögskolan <Helsinki>
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OECD
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International Monetary Fund
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Reserve Bank of Australia
18
Cowles Foundation for Research in Economics, Yale University
17
European Central Bank
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
17
London School of Economics (LSE)
17
National Centre of Competence in Research North South <Bern>
17
School of Economics and Management, University of Aarhus
17
Federal Reserve System / Division of Research and Statistics
16
Internationaler Währungsfonds / Research Department
16
Tinbergen Instituut
16
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Discussion papers of interdisciplinary research project 373
45
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
1
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ECONIS (ZBW)
46
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1
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:
2
Modeling the interdependence of
volatility
and inter-transaction duration processes
Grammig, Joachim
;
Wellner, Marc
-
1999
simultaneous estimation of the interdependent duration-
volatility
model. In an empirical application we utilize the model for an … indirect test of the hypothesis that
volatility
is caused by private information that affects prices when informed investors … trade. The result that
volatility
shocks significantly increase expected inter-transaction durations supports this …
Persistent link: https://www.econbiz.de/10009579173
Saved in:
3
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:
4
Risk premia and financial modelling without measure transformation
Platen, Eckhard
-
2000
This paper describes a financial market modelling framework that exploits the notion of a deflator . The denominations of the deflator measured in units of primary assets form a minimal set of basic financial quantities that completely specify the overall market dynamics, where deflated asset...
Persistent link: https://www.econbiz.de/10009612031
Saved in:
5
A local instrumental estimation method for generalized additive
volatility
models
Kim, Woocheol
;
Linton, Oliver
-
2000
We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has...
Persistent link: https://www.econbiz.de/10009612037
Saved in:
6
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:
7
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:
8
Semiparametric modelling of the cross-section of expected returns in the German stock market
Stehle, Richard
;
Bunke, Olaf
;
Sommerfeld, Volker
-
1997
According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...
Persistent link: https://www.econbiz.de/10009661022
Saved in:
9
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:
10
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
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