Narrow search
Showing 1 - 10 of 188
Cover Image
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
Cover Image
International asset prices : empirical evidence
Morales-Arias, Leonardo - 2009
Persistent link: https://www.econbiz.de/10003869496
Cover Image
Stock return prediction under GARCH : an empirical assessment
Herwartz, Helmut - In: International journal of forecasting 33 (2017) 3, pp. 569-580
Persistent link: https://www.econbiz.de/10011746190
Cover Image
Local trends in price-to-dividend ratios : assessment, predictive value, and determinants
Herwartz, Helmut; Rengel, Malte; Fang, Xu - In: Journal of money, credit and banking : JMCB 48 (2016) 8, pp. 1655-1690
Persistent link: https://www.econbiz.de/10011707949
Cover Image
Predicting Tail Risks by a Markov Switching MGARCH Model with Varying Copula Regimes
Fülle, Markus J.; Herwartz, Helmut - 2022
pandemic. We find that the MS-C-MGARCH model outperforms benchmark volatility models (MGARCH, C-MGARCH) in predicting expected …
Persistent link: https://www.econbiz.de/10013405757
Cover Image
A slowly evolving mean of the price-to-dividend ratio, its economic influences and predictive power for stock returns
Herwartz, Helmut; Rengel, Malte; Fang, Xu - In: An analysis of long-term influences on financial …, (pp. 7-41). 2014
Persistent link: https://www.econbiz.de/10010480408
Cover Image
Weekday dependence of German stock market returns
Herwartz, Helmut - 1999
Persistent link: https://www.econbiz.de/10001404961
Cover Image
Weekday dependence of German stock market returns
Herwartz, Helmut - 1999
exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible …
Persistent link: https://www.econbiz.de/10009580468
Cover Image
In-sample and out-of-sample prediction of stock market bubbles : cross-sectional evidence
Herwartz, Helmut; Cholodilin, Konstantin Arkadʹevič - In: Journal of forecasting 33 (2014) 1, pp. 15-31
Persistent link: https://www.econbiz.de/10010424900
Cover Image
In-sample and out-of-sample prediction of stock market bubbles : cross-sectional evidence
Herwartz, Helmut; Cholodilin, Konstantin Arkadʹevič - 2011
We evaluate the informational content of ex post and ex ante predictors of periods of excess stock (market) valuation. For a cross section comprising 10 OECD economies and a time span of at most 40 years alternative binary chronologies of price bubble periods are determined. Using these...
Persistent link: https://www.econbiz.de/10009579611