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Time-Varying Market Price of Risk in the CAPM-Approaches, Empirical Evidence and Implications
Hafner, C.; Herwartz, H. - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005838234
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Option Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis
Hafner, C.; Herwartz, H. - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005838325
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Testing for Linear Autoregressive Dynamics under Heteroskedasticity
Hafner, C.; Herwartz, H. - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005742907
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A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series
BOSSAERTS, P.; W. H"ARDLE; HAFNER, C. - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005794934
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Foreign Exchange Rates Have Surprising Volatility
BOSSAERTS, P.; HAFNER, C.; W. H"ARDLE - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005794978
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Flexible Stochastic Volatility Structures for High Frequency Financial Data
Feldmann, D.; Härdle, W.; Hafner, C.; Hoffmann, A. - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005795128
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Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models
Hafner, C. - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005795145
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Fourth moments of multivariate GARCH processes
Hafner, C. - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005795175
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Discrete Time Option Pricing with Flexible Volatility Estimation
Härdle, W.; Hafner, C. - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005796167
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Unterschiedliche Volatilitätsregime am deutschen Rentenmarkt
Herwartz, H.; Reimers, H. - Sonderforschungsbereich 373, Quantifikation und …
Persistent link: https://www.econbiz.de/10005838262