Similar Search Results

Non-linear volatility modeling in classical and Bayesian frameworks with applications to risk management

Miazhynskaia, Tatiana; Dockner, Engelbert J.; … - In: Adaptive information systems and modelling in economics …, (pp. 73-98). 2005

Persistent link: https://www.econbiz.de/10003319811

Volatility forecasts and the profitability of automated trading strategies

Dockner, Engelbert J.; Strobl, Günter - In: Optimal control and dynamic games : applications in …, (pp. 121-139). 2005

Persistent link: https://www.econbiz.de/10003108038

Evaluating volatility forecasts and empirical distributions in Value at Risk models

Dockner, Engelbert J.; Scheicher, Martin - In: Finanzmarkt und Portfolio-Management 13 (1999) 1, pp. 39-55

Persistent link: https://www.econbiz.de/10001518563

Die Quantifizierung und Prognose des Marktrisikos

Dockner, Engelbert J. - In: Wege zur Ganzheit : Festschrift für J. Hanns Pichler …, (pp. 799-809). 1996

Persistent link: https://www.econbiz.de/10001296812

Bifurcation routes to volatility clustering under evolutionary learning

Gaunersdorfer, Andrea; Hommes, Cars H.; Wagener, … - In: Journal of economic behavior & organization : JEBO 67 (2008) 1, pp. 27-47

Persistent link: https://www.econbiz.de/10003762670

A nonlinear structural model for volatility clustering

Gaunersdorfer, Andrea; Hommes, Cars H. - In: Long memory in economics : with 50 tables, (pp. 265-288). 2006

Persistent link: https://www.econbiz.de/10003375647

Bifurcation routes to volatility clustering

Gaunersdorfer, Andrea; Hommes, Cars H.; Wagener, … - 2000

A simple asset pricing model with two types of adaptively learning traders,fundamentalists and technical analysts, is studied. Fractions of these tradertypes, which are both boundedly rational, change over time according toevolutionary learning, with technical analysts conditioning their...

Persistent link: https://www.econbiz.de/10011313936

Bifurcation routes to volatility clustering

Gaunersdorfer, Andrea; Hommes, Cars H.; Wagener, … - 2000

Persistent link: https://www.econbiz.de/10001554484

Bifurcation Routes to Volatility Clustering

Gaunersdorfer, Andrea; Hommes, Cars; Wagener, Florian O.O. - 2001

Persistent link: https://www.econbiz.de/10010325037

A nonlinear structural model for volatility clustering

Gaunersdorfer, Andrea; Hommes, Cars H. - Wirtschaftsuniversität <Wien> - 2000

A simple nonlinear structural model of endogenous belief heterogeneity is proposed. News about fundamentals is an IID random process, but nevertheless volatility clustering occurs as an endogenous phenomenon caused by the interaction between different types of traders, fundamentalists and...

Persistent link: https://www.econbiz.de/10005841640