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Econometric analysis of high frequency data

Herwartz, Helmut - In: Modern econometric analysis : surveys on recent …, (pp. 87-102). 2006

Persistent link: https://www.econbiz.de/10003375829

On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the group of seven

Herwartz, Helmut - In: Review of world economics 139 (2003) 4, pp. 650-682

Persistent link: https://www.econbiz.de/10001915170

Econometric analysis of high frequency data

Herwartz, Helmut - In: Allgemeines statistisches Archiv : AStA ; journal of … 90 (2006) 1, pp. 89-104

Persistent link: https://www.econbiz.de/10003285327

International asset prices : empirical evidence

Morales-Arias, Leonardo - 2009

Persistent link: https://www.econbiz.de/10003869496

Volatility impulse responses for multivariate GARCH models : an exchange rate illustration

Hafner, Christian M.; Herwartz, Helmut - In: Journal of international money and finance 25 (2006) 5, pp. 719-740

Persistent link: https://www.econbiz.de/10003404968

Portfolio performance and the Euro : prospects for new potential EMU members

Haselmann, Rainer; Herwartz, Helmut - In: Journal of international money and finance 27 (2008) 2, pp. 314-330

Persistent link: https://www.econbiz.de/10003687539

A dynamic copula approach to recovering the index implied volatility skew

Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - In: Journal of financial econometrics : official journal of … 10 (2012) 3, pp. 457-493

Persistent link: https://www.econbiz.de/10009571516

Option pricing under time varying correlation with conditional dependence : a copula based approach to recover the index skew from the constituent dynamics

Fengler, Matthias R.; Herwartz, Helmut; Werner, Christian - 2010

Persistent link: https://www.econbiz.de/10009240321

Empirical modeling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications

Herwartz, Helmut; Reimers, Hans-Eggert - 2001

We analyze daily changes of two log foreign exchange (FX) rates involving the Deutsche Mark (DEM) for the period 1975 - 1998, namely FX-rates measured against the US dollar (USD) and the Japanese yen (JPY). Ta account for volatility e1ustering we fit a GARCH(l,l)-model with leptokurtic...

Persistent link: https://www.econbiz.de/10009616784

State dependence of aggregated risk aversion : evidenve for the German stock market

Hansen, Marc; Herwartz, Helmut; Rengel, Malte - In: Journal of applied economics 17 (2014) 2, pp. 257-281

Persistent link: https://www.econbiz.de/10011554687