Since the introduction of the autoregressive conditional heteroskedastic (ARCH) model in Engle (1982), numerous applications of this modeling strategy have already appeared. A common finding in many of these studies with high frequency financial or monetary data concerns the presence of an...

Diese Dissertation untersucht die Messung finanzieller Risiken und besteht aus vier eigenständigen Forschungspapieren über die Analyse, Modellierung und Vorhersage solcher Risiken in verschiedenen wirtschaftlichen Szenarien. Die gegenwärtigen Risikomaße ignorieren größtenteils das...

In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows beyond the walls of the academia, as the security exchanges recognize the importance of the concept and plan to adopt unique measures of liquidity and publish them in the...