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Structuring volatile swiss interest rates : reconciling economic theory with empirical evidence?
Kunst, Robert M.; Polasek, Wolfgang - 1991
Persistent link: https://www.econbiz.de/10000833398
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The Asia financial crises and exchange rates : had there been volatility shifts for Asian currencies?
Oga, Takashi; Polasek, Wolfgang - 2010
We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. Our goal is to check if the characteristics of the volatility dynamics have changed in a K-state switching...
Persistent link: https://www.econbiz.de/10009733810
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Portfolio construction by volatility forecasts : does the covariance structure matter? Momtchil Pojarliev and Wolfgang Polasek
Pojarliev, Momtchil; Polasek, Wolfgang - In: Financial markets and portfolio management 17 (2003) 1, pp. 103-116
Persistent link: https://www.econbiz.de/10001929876
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Portfolio constructions with Bayesian GARCH forecasts
Polasek, Wolfgang; Momtchil, M. - In: Operations research proceedings 2000 : selected papers …, (pp. 119-126). 2001
Persistent link: https://www.econbiz.de/10001571447
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Volatility analysis during the Asia crisis : a multivariate GARCH-M model for stock returns in the US, Germany and Japan
Polasek, Wolfgang; Ren, Lei - 1999
Persistent link: https://www.econbiz.de/10001433783
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Value at risk estimation for stock indices using the Basle committee proposal from 1995
Pojarliev, Momtchil; Polasek, Wolfgang - 2000
Persistent link: https://www.econbiz.de/10001537678
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The Asia financial crises and exchange rates : had there been volatility shifts for Asian currencies?
Oga, Takashi; Polasek, Wolfgang - 2010
Persistent link: https://www.econbiz.de/10008661121
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The Asia financial crises and exchange rates: Had there been volatility shifts for Asian currencies?
Oga, Takashi; Polasek, Wolfgang - 2010
We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. Our goal is to check if the characteristics of the volatility dynamics have changed in a K-state switching...
Persistent link: https://www.econbiz.de/10010294017