Similar Search Results - EconBiz

Analyzing volatility transmission using group transfer entropy

Dimpfl, Thomas; Peter, Franziska Julia - In: Energy economics 75 (2018), pp. 368-376

Persistent link: https://www.econbiz.de/10011974349

Measuring 25 years of global equity market co-movement using a time-varying spatial model

Heil, Thomas L. A.; Peter, Franziska Julia; Prange, Philipp - In: Journal of international money and finance 128 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013438365

Intraday Value at Risk Estimation with Multivariate Intensity Models : An Application to Cryptocurrencies

Patino, Mariana; Peter, Franziska J. - 2023

We implement multivariate, self-exciting Peaks-over-Threshold (POT) methods to measure extremal losses in high-frequency return series of cryptocurrencies. For that purpose, we implement trivariate Hawkes-POT and the autoregressive conditional intensity ACI-POT models for Bitcoin, Ethereum, and...

Persistent link: https://www.econbiz.de/10014254807

How large is liquidity risk in an automated auction market?

Giot, Pierre; Grammig, Joachim - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 867-887

Persistent link: https://www.econbiz.de/10003233768

A family of autoregressive conditional duration models

Fernandes, Marcelo (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001703153

A family of autoregressive conditional duration models

Fernandes, Marcelo (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001955244

Non-monotonic hazard functions and the autoregressive conditional duration model

Grammig, Joachim; Maurer, Kai-Oliver - In: The econometrics journal 3 (2000) 1, pp. 16-38

Persistent link: https://www.econbiz.de/10001532205

Time varying trade intensities and the Deutsche Telekom IPO

Hujer, Reinhard; Grammig, Joachim; Kokot, Stefan - In: Jahrbücher für Nationalökonomie und Statistik 220 (2000) 6, pp. 689-714

Persistent link: https://www.econbiz.de/10001533951

Non-monotonic hazard functions and the autoregressive conditional duration model

Grammig, Joachim; Maurer, Kai-Oliver - 1999

Persistent link: https://www.econbiz.de/10001404960

Simultaneous modeling of price processes and transaction intensities

Grammig, Joachim; Hujer, Reinhard - In: Allgemeines statistisches Archiv : AStA ; journal of … 86 (2002) 1, pp. 31-52

Persistent link: https://www.econbiz.de/10001650465

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