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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

Sign restrictions and statistical identification under volatility breaks : simulation based evidence and an empirical application to monetary policy analysis ; conference paper

Herwartz, Helmut; Plödt, Martin - 2014

Apart from a priori assumptions on instantaneous or long run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, second order heterogeneity of systems of times series can be fruitfully exploited for...

Persistent link: https://www.econbiz.de/10010482469

Unterschiedliche Volatilitätsregime am deutschen Rentenmarkt

Herwartz, Helmut; Reimers, Hans-Eggert - 1999

Persistent link: https://www.econbiz.de/10001404957

Structural analysis of portfolio risk using beta impulse response functions

Hefner, Christian M.; Herwartz, Helmut - In: Statistica Neerlandica : journal of the Netherlands … 52 (1998) 3, pp. 336-355

Persistent link: https://www.econbiz.de/10001352924

State dependence of aggregated risk aversion : evidenve for the German stock market

Hansen, Marc; Herwartz, Helmut; Rengel, Malte - In: Journal of applied economics 17 (2014) 2, pp. 257-281

Persistent link: https://www.econbiz.de/10011554687

Multivariate volatility models

Fengler, Matthias; Herwartz, Helmut; Raters, F. H. C. - In: Applied quantitative finance, (pp. 25-37). 2017

Persistent link: https://www.econbiz.de/10011794951

A structural approach to identify financial transmission in distinguished scenarios of crises

Herwartz, Helmut; Roestel, Jan - 2018

behind narrative sign restrictions and allows to extract time varying contemporaneous effects and volatility transmission … from conventional reduced form volatility models with dynamic correlations. We find the market value of banking …

Persistent link: https://www.econbiz.de/10011903210