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Adäquate Modellierung von Finanzzeitreihen und Parameterschätzung in Modellen mit autoregressiver bedingter Heteroskedastie

Brechtmann, Markus - 1998

Persistent link: https://www.econbiz.de/10000675119

A Bayesian Re-Interpretation of "significant" empirical financial research

Kellner, Ralf; Rösch, Daniel - In: Finance research letters 38 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012485268

Stochastic tail index model for high frequency financial data with Bayesian analysis

Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487

Persistent link: https://www.econbiz.de/10012110325

Nichtparametrische Schätzung bedingter Quantile in Zeitreihen : mit Anwendungen auf Finanzmarktdaten

Abberger, Klaus - 1996 - 1. Aufl.

Persistent link: https://www.econbiz.de/10013260341

Regime switches in the risk-return trade-off

Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - 2013

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong evidence for regime changes in the risk-return relation. This...

Persistent link: https://www.econbiz.de/10010225468