Similar Search Results

Exchange rate volatility and international trade

Broll, Udo; Eckwert, Bernhard - In: Southern economic journal 66 (1999) 1, pp. 178-185

Persistent link: https://www.econbiz.de/10001409048

Local polynomial estimators of the volatility function in nonparametric autoregression

Härdle, Wolfgang - In: Journal of econometrics 81 (1997) 1, pp. 223-242

Persistent link: https://www.econbiz.de/10001336796

Consumption, inflation risk and dynamic hedging

Schubert, Stefan Franz; Broll, Udo - In: Contemporary economics 9 (2015) 2, pp. 171-179

Our study examines the behavior of a risk-averse investor who faces two sources of uncertainty: a random asset price and inflation risk. Both sources of uncertainty make it difficult to stabilize consumption over time. However, investors can enter risk-sharing markets, such as futures markets,...

Persistent link: https://www.econbiz.de/10011306018

Risk-constrained Kelly portfolios under alpha-stable laws

Wesselhöfft, Niels; Härdle, Wolfgang - In: Computational economics 55 (2020) 3, pp. 801-826

Persistent link: https://www.econbiz.de/10012223676

Investing with cryptocurrencies : a liquidity constrained investment approach

Trimborn, Simon; Li, Mingyang; Härdle, Wolfgang - In: Journal of financial econometrics 18 (2020) 2, pp. 280-306

Persistent link: https://www.econbiz.de/10012232957

Risk sharing markets and hedging a loan portfolio: a note

Broll, Udo; Guo, Xu; Welzel, Peter - In: Economics and business review 3 (2017) 4, pp. 47-54

Persistent link: https://www.econbiz.de/10011795807

Tail Event Driven ASset allocation: evidence from equity and mutual funds' markets

Härdle, Wolfgang; Lee, David Kuo Chuen; Nasekin, Sergey; … - In: The journal of asset management 19 (2018) 1, pp. 49-63

Persistent link: https://www.econbiz.de/10011847640

The dynamics of implied volatilities : a common principal components approach

Fengler, Matthias R.; Härdle, Wolfgang; Villa, Christophe - In: Review of derivatives research 6 (2003) 3, pp. 179-202

Persistent link: https://www.econbiz.de/10001905297

Discrete time option pricing with flexible volatility estimation

Härdle, Wolfgang; Hafner, Christian M. - In: Finance and stochastics 4 (2000) 2, pp. 189-207

Persistent link: https://www.econbiz.de/10001486714

Time inhomogenous multiple volatility modeling

Härdle, Wolfgang; Herwartz, Helmut; Spokojnyj, Vladimir G. - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 55-95

Persistent link: https://www.econbiz.de/10002220931