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Kreditsicherheiten, Risikoallokation und Inflation der Vermögenswerte
Neuberger, Doris - In: Ökonomie und Ökologie : Festschrift für Joachim …, (pp. 209-222). 1999
Persistent link: https://www.econbiz.de/10001431849
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Mathematical models for the assessment of collapse in oil prices
Shera, Muhammad; Preda, Vasile - 2018
Persistent link: https://www.econbiz.de/10012302306
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Volatility and correlation forecasting
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2006
Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …
Persistent link: https://www.econbiz.de/10003338446
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Continuous time approximations to GARCH and stochastic volatility models
Lindner, Alexander M. - In: Handbook of financial time series, (pp. 481-496). 2009
Persistent link: https://www.econbiz.de/10003834175
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Hashing GARCH : a reassessment of volatility forecasting performance
Christodoulakis, George A.; Satchell, Stephen - In: Forecasting volatility in the financial markets, (pp. 227-247). 2007
Persistent link: https://www.econbiz.de/10003872943
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Long memory in stochastic volatility
Harvey, Andrew C. - In: Forecasting volatility in the financial markets, (pp. 351-363). 2007
Persistent link: https://www.econbiz.de/10003873010
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GARCH processes - some exact results, some difficulties and a suggested remedy
Knight, John L.; Satchell, Stephen - In: Forecasting volatility in the financial markets, (pp. 365-389). 2007
Persistent link: https://www.econbiz.de/10003873026
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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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Unconditional mean, volatility, and the FOURIER-GARCH representation
Pascalau, Razvan; Thomann, Christian; Gregoriou, Greg N. - In: Financial econometrics modeling : derivatives pricing, …, (pp. 90-106). 2011
Persistent link: https://www.econbiz.de/10008988010
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A Bayesian perspective on mixed GARCH models with jumps
Chen, Cathy W. S.; Lin, Edward M. H.; Lin, Yi-ru - In: Uncertainty analysis in econometrics with applications …, (pp. 141-154). 2013
Persistent link: https://www.econbiz.de/10009711157