We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for the motion in time of the expected conditional second power moment. This interpretation is used to show how these models may be generalized, if we use alternative measures of...

Information-theoretic approaches still play a minor role in financial market analysis. Nonetheless, there have been two very similar approaches evolving during the last years, one in so-called econophysics and the other in econometrics. Both generalize the notion of GARCH processes in an...

Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for financial return data because they are able to capture volatility clustering as well as leptokurtic unconditional distributions which result from the assumption of conditionally...

Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for financial return data because they are able to capture volatility clustering as well as leptokurtic unconditional distributions which result from the assumption of conditionally...

The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are identified to have predictive power: an auto-regressive...

Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for financial return data because they are able to capture volatility clustering as well as leptokurtic unconditional distributions which result from the assumption of conditionally...

Innovation research and organizational practice often focuses on R&D investments and activitiescarried out in designated departments and controlled processes. Anecdotal evidence tells us,however, that this centralized and formalistic approach to innovation is often insufficient. Asignificant...

In diesem Beitrag diskutieren wir die Idee, Konzepte aus den Bereichen der Community-Unterstützung und ubiquitären Benutzungsschnittstellen auf die Unterstützung von Innovationin Unternehmen anzuwenden. Unser Fokus liegt dabei auf der frühen Phase desInnovationsprozesses – der...

Die interaktive Wertschöpfung hybrider Leistungen erfreut sich wachsender Verbreitung undBedeutung. Für Unternehmen birgt sie als Grundlage nachhaltiger Innovationsstrategiendarüber hinaus besonderes ökonomisches Potential, da eine erfolgreiche Implementierungüber inkrementelle...