Tse (1998) proposes a model which combines the fractionally integrated GARCH formulationof Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding,Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant...

We explore the pricing of variance risk by decomposing stocks' total variance into systematicand idiosyncratic return variances. While systematic variance risk exhibits a negative priceof risk, common shocks to the variances of idiosyncratic returns carry a large positive riskpremium. This...

This paper presents an equilibrium model that provides a rational explanation for twofeatures of data that have been considered puzzling: The positive relation between USdividend yields and nominal interest rates, often called the Fed-model, and the time-varying correlation of US stock and bond...

Serviceorientierte Architekturen ermöglichen, dass die IT-Unterstützungvon Prozessen als Portfolio aus einzelnen IT-Services verschiedener Lieferanten entworfenwerden kann. Die Gestaltung der Prozesse erfolgt dabei durch Auswahlentscheidungenzwischen potenziell einzubeziehenden IT-Services....