Narrow search
Showing 1 - 10 of 140
Cover Image
On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven
Herwartz, Helmut - 2003
In this paper bilateral models formalizing monthly growth of US imports and exports are employed to investigate the potential of nonlinear relationships linking exchange rate uncertainty and trade growth. Parametric linear and nonlinear as well as semiparametric time series models are evaluated...
Persistent link: https://www.econbiz.de/10010296439
Cover Image
Econometric analysis of high frequency data
Herwartz, Helmut - In: Allgemeines statistisches Archiv : AStA ; journal of … 90 (2006) 1, pp. 89-104
Persistent link: https://www.econbiz.de/10003285327
Cover Image
International asset prices : empirical evidence
Morales-Arias, Leonardo - 2009
Persistent link: https://www.econbiz.de/10003869496
Cover Image
Volatility impulse responses for multivariate GARCH models : an exchange rate illustration
Hafner, Christian M.; Herwartz, Helmut - In: Journal of international money and finance 25 (2006) 5, pp. 719-740
Persistent link: https://www.econbiz.de/10003404968
Cover Image
Econometric analysis of high frequency data
Herwartz, Helmut - In: Modern econometric analysis : surveys on recent …, (pp. 87-102). 2006
Persistent link: https://www.econbiz.de/10003375829
Cover Image
Portfolio performance and the Euro : prospects for new potential EMU members
Haselmann, Rainer; Herwartz, Helmut - In: Journal of international money and finance 27 (2008) 2, pp. 314-330
Persistent link: https://www.econbiz.de/10003687539
Cover Image
A dynamic copula approach to recovering the index implied volatility skew
Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 457-493
Persistent link: https://www.econbiz.de/10009571516
Cover Image
Option pricing under time varying correlation with conditional dependence : a copula based approach to recover the index skew from the constituent dynamics
Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - 2010
Persistent link: https://www.econbiz.de/10009240321
Cover Image
Forecasting realized range volatility : a regime-switching approach
Ma, Feng; Liu, Li; Liu, Zhichao; Wei, Yu - In: Applied economics letters 22 (2015) 16/18, pp. 1361-1365
Persistent link: https://www.econbiz.de/10011380188
Cover Image
Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications
Herwartz, Helmut; Reimers, Hans-Eggert - 2001
We analyze daily changes of two log foreign exchange (FX) rates involving the Deutsche Mark (DEM) for the period 1975 - 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering we fit a GARCH(l,l)-model with leptokurtic...
Persistent link: https://www.econbiz.de/10009616784