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application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of … the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best …

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Modellrisiko bei der Bewertung von Optionen in einem Vergleich von Modellen mit stochastischer Volatilität

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Negative volatility spillovers in the unrestricted ECCC-GARCH model

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This paper considers a formulation of the extended constant or time-varying conditional correlation GARCH model which allows for volatility feedback of either sign, i.e., positive or negative. In the previous literature, negative volatility spillovers were ruled out by the assumption that all...