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Volatilitätsschätzung und -prognose mit ARCH- und GARCH-Modellen : eine empirische Analyse des deutschen Aktienmarktes

Islami, Mevlud; Kelmendi, Granit - 2012

Persistent link: https://www.econbiz.de/10011547124

Forecasting high-frequency volatility shocks : an analytical real-time monitoring system

Kömm, Holger - 2016 - 1st ed. 2016

Persistent link: https://www.econbiz.de/10011411472

A spot-forward model for electricity prices with regime shifts

Paraschiv, Florentina; Fleten, Stein-Erik; Schürle, Michael - In: Energy economics 47 (2015), pp. 142-153

Persistent link: https://www.econbiz.de/10011527263

Proximity-structured multivariate volatility models

Caporin, Massimiliano; Paruolo, Paolo - In: Econometric reviews 34 (2015) 1/5, pp. 559-593

Persistent link: https://www.econbiz.de/10011373256

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

Persistent link: https://www.econbiz.de/10011476532

The effectiveness of the FX market interventions of the Bundesbank during the Louvre period : an options-based analysis

Pierdzioch, Christian - 2000

period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …

Persistent link: https://www.econbiz.de/10011476547

Pricing German Energiewende products : intraday cap/floor futures

Hinderks, W. J.; Wagner, Andreas - In: Energy economics 81 (2019), pp. 287-296

Persistent link: https://www.econbiz.de/10012172724

Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations

Lansing, Kevin J.; Ma, Jun - In: Journal of international money and finance 70 (2017), pp. 62-87

Persistent link: https://www.econbiz.de/10011752316

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

Modeling and forecasting realized volatility in German-Austrian continuous intraday electricity prices

Ciarreta, Aitor; Muniain, Peru; Zarraga, Ainhoa - In: Journal of forecasting 36 (2017) 6, pp. 680-690

Persistent link: https://www.econbiz.de/10011861404