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Moving Averages, Effizienzmarkthypothese und Finanzmärkte : eine modelltheoretische und empirische Betrachtung
Tröndle, Markus - 2011
Persistent link: https://www.econbiz.de/10009232628
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Essays on stochastic volatility
Nossman, Marcus - 2009
Persistent link: https://www.econbiz.de/10003837367
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Modellierung von Volatilitäten für Hedgefonds-Strategien
Füss, Roland; Rehkugler, Heinz - 2006
Persistent link: https://www.econbiz.de/10003376858
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Modelling dynamic portfolio risk using risk drivers of elliptical processes
Schmidt, Rafael (contributor);  … - 2007
-portfolio specific volatility indices called portfolio risk drivers. The dynamics of the risk drivers are modelled by multiplicative …. The proposed risk drivers capture the volatility structure of asset returns in different industry sectors. A …
Persistent link: https://www.econbiz.de/10003477096
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Real options valuation : the importance of stochastic process choice in commodity price modelling
Schöne, Max - 2015 - Aufl. 2015
Persistent link: https://www.econbiz.de/10010419770
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Modelling dynamic portfolio risk using risk drivers of elliptical processes
Schmidt, Rafael; Schmieder, Christian - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 229-244
Persistent link: https://www.econbiz.de/10009517641
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Economic foundation of asset price processes : with 1 table
Lüders, Erik - 2004 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001847263
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Long term forecasts of volatility in the market for crude oil : do futures prices offer any clues?
Brochu, Stephen M. - 2002
Persistent link: https://www.econbiz.de/10001875427
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Modelling Dynamic Portfolio Risk Using Risk Drivers of Elliptical Processes
Schmidt, Rafael - 2016
-portfolio specific volatility indices called portfolio risk drivers. The dynamics of the risk drivers are modelled by multiplicative …. The proposed risk drivers capture the volatility structure of asset returns in different industry sectors. A …
Persistent link: https://www.econbiz.de/10012989295
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Measuring international uncertainty using global vector autoregressions with drifting parameters
Pfarrhofer, Michael - 2019
vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model …
Persistent link: https://www.econbiz.de/10012052678